How macroeconomic factors influence stock index :: Evidence from Indonesian financial crisis

AKBAR, Syariful, Prof.Dr. Zaki Baridwan, MSc

2002 | Tesis | Magister Manajemen

Tujuan dan riset ini adalah untuk melihat pengaruh faktor-faktor makro ekonomi terhadap indeks harga saham di pasar modal Indonesia selama krisis ekonomi. Dalam pasar modal Asia Tenggara, penurunan kondisi ekonomi selama empat tahun terakhir telah mengakibatkan penurunan kinerja pasar modal. Hal ini dapat dilihat dengan larinya investor, yang tentu saja, membawa keluar modal yang telah mereka tanam. Alat uji statistik yang digunakan adalah persamaan regresi linear berganda, tes hipotesis, dan tes Chow. Secara umum, terdapat penurunan nilai Indeks Harga Saham Gabungan (IHSG), dan kenaikan angka Pendapatan Nasional Bruto (PNB) selama krisis ekonomi. Fluktuasi yang besar terjadi pada angka inflasi, suku bunga bank, dan nilai tukar terhadap Dollar Amerika. Krisis keuangan di Indonesia berefek negatif terhadap IHSG. Dalam waktu sebelum krisis, fluktuasi IHSG dapat dijelaskan sebesar 82,5% oleh faktor-faktor ekonomi makro. Akan tetapi, situasi berbalik pada waktu krisis ekonomi. Fluktuasi IHSG selama krisis hanya dapat dijelaskan oleh faktor-faktor ekonomi makro sebesar 30,8%. Keadaan tersebut mengindikasikan adanya faktor lain diluar faktor ekonomi makro yang mempengaruhi kinerja pasar modal, seperti kebijakan pemerintah, ketidakefisienan pasar, nilai kapitalisasi pasar modal, jumlah investor luar negeri, dan resiko investasi di suatu negara (country risk).

The purpose of this research is to discover the effect of macroeconomics indicators to the composite stock price index on Indonesian stock market during the economic crisis. On the South East Asia capital market, the worsening of economic conditions in the last four years has had an impact on the degradation in the performance. This degradation in performance brings about losses to investors and who consequently, take their funds out of the capital market. Basically, the statistical tools will be used here are the multiple linear regression, hypothesis testing, and the Chow-test. In general, there is a decrease in Jakarta Composite Stock Price Index but an increasing amount of GNP during the crisis. A large amount of variation of inflation rate, interest rate, and the foreign exchange rate also found during the crisis period. The Indonesian financial crisis affeets negatively on the Jakarta Composite Stock Price Index. At the time before crisis, the fluctuation of the Jakarta Composite Stock Price Index can be explained as much as 82.5% by macroeconomic factors. But, the conditions reverse during the crisis period. The fluctuation of the Jakarta Composite Stock Price Index during the crisis can be explained as much as 30.8% from the influence of macroeconomic factors. This situation indicates of other factors affect the stock market performance during the crisis period, such as government policy, inefficiency market, market capitalization, foreign investors, and country risk.

Kata Kunci : Macroeconomic, GNP, Inflation Rate, Interest Rate, Foreign Exchange Rate, Stock Index, Financial Marker. Indonesian Financial Crisis, Faktor makro ekonomi, Pendapatan Nasional Bruto, laju inflasi, nilai suku bunga bank, nilai tukar rupiah, krisis keuang