ANALISIS PENGARUH NILAI TUKAR DOLLAR/RUPIAH, HARGA MINYAK DUNIA, DOW JONES INDUSTRIAL AVERAGE, INDEKS NIKKEI, INDEKS HANGSENG, DAN ALIRAN DANA ASING TERHADAP INDEKS HARGA SAHAM GABUNGAN (Studi Kasus di Bursa Efek Indonesia Periode Tahun 2004-2014)

SYNDHAK CANDRA N., Abdul Halim, Prof., Dr., M.B.A., Ak., CA.

2016 | Tesis | S2 Manajemen

Kemajuan perekonomian suatu negara sangat erat kaitannya dengan kegiatan investasi di berbagai bidang dimana salah satunya adalah investasi di sektor keuangan yang saat ini telah mengalami peningkatan pesat. Salah satu cara untuk mengetahui kondisi pasar keuangan suatu negara adalah melalui pasar modal yang dapat dilihat dari Indeks Harga Saham Gabungan tersebut. Faktor-faktor yang dapat mempengaruhi pergerakan indeks saham suatu negara antara lain perubahan tingkat suku bunga bank sentral, indeks harga saham negara sekitarnya, keadaan ekonomi global, tingkat harga energi, nilai tukar mata uang, kestabilan politik suatu negara (Blanchard, 2006). Penelitian ini bertujuan untuk menganalisis pengaruh Nilai Tukar Dollar/Rupiah, Harga Minyak Dunia, Dow Jones Industrial Average, Indeks Nikkei, Indeks Hangseng dan Aliran Dana Asing terhadap Indeks Harga Saham Gabungan (Studi Kasus di Bursa Efek Indonesia Periode Tahun 2004-2014). Penelitian ini menggunakan data sekunder time series yang didapat dari Bank Indonesia, Bursa Efek Indonesia, Yahoo Finance, dan US Energy Information Administration yang dianalisis dengan model ARCH/GARCH. Hasil penelitian menunjukkan bahwa nilai tukar Dollar/Rupiah, harga Minyak Dunia, Dow Jones Industrial Average, dan indeks Hangseng berpengaruh positif dan signifikan terhadap IHSG sehingga meningkatnya nilai variabel tersebut akan mengakibatkan nilai IHSG cenderung naik. Sebaliknya jika keempat variabel tersebut turun akan mengakibatkan nilai IHSG cenderung turun. Indeks Nikkei dan Aliran Dana Asing berpengaruh negatif dan signifikan terhadap IHSG.

A countrys economic progress was strongly related to the investment activities in various fields, where one of them was the financial investment which had been increasing rapidly. One of the way to determine the financial market condition of a country was through the capital market, which could be seen from the Composite Stock Price Index (IHSG). Other factors that affected the stock index movement of a country, among others, were central bank interest rate, surrounding countries stock price index, global economic condition, energy price rate, currency exchange rate, country political stability (Blanchard, 2006). This study aimed to analyze the effect of exchange rate of USD/IDR, World Oil Price, Dow Jones Industrial Average, Nikkei Index, Hangseng Index, and net foreign funds to the Composite Stock Price Index (A Case Study in Indonesia Stock Market Period 2004-2014). This study used time series secondary data which was gained from Bank of Indonesia, Indonesia Stock Exchange, Yahoo Finance, and US Energy Information Administration which were analyzed with ARCH/ GARCH models. The result of this study showed that exchange rate of USD/IDR, World Oil Price, Dow Jones Industrial Average, and Hangseng Index had a positive and significant effect to the IHSG, thus, increasing the value of these variables tend to increase the value of IHSG. Conversely, decreasing the four variables would decrease the value of IHSG as well. Nikkei Index and foreign funds had negative and significant effect to IHSG.

Kata Kunci : exchange rate of USD/IDR, World Oil Price, Dow Jones Industrial Average, Nikkei Index, Hangseng Index, net foreign funds, IHSG, ARCH-GARCH