Hubungan antara harga minyak mentah internasional dengan indeks pasar saham Indonesia menggunakan non-linear cointegration test = Relationship between International Crude Oil with Indonesian Stock Market Using Non-Linear Cointegration Test

Susanto, Probo (2018) Hubungan antara harga minyak mentah internasional dengan indeks pasar saham Indonesia menggunakan non-linear cointegration test = Relationship between International Crude Oil with Indonesian Stock Market Using Non-Linear Cointegration Test. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dalam Tugas Akhir ini akan dilakukan uji kointegrasi antara pasar saham Indonesia (IHSG) dengan minyak mentah internasional pada periode 5 Oktober 2000 sampai 2 Juni 2017 menggunakan uji kointegrasi non-linier. Uji ini tidak menerima hubungan jangka panjang antar variabel untuk rentang data secara keseluruhan. Untuk mendapatkan hasil yang lebih baik pada hubungan jangka panjang antara IHSG dan international crude oil, berdasarkan structural break yang membagi data menjadi 4 fase. Uji kointegrasi non-linier mengindikasikan adanya hubungan jangka panjang antara IHSG dan international crude oil pada fase 1 dan 3 untuk periode 5 Oktober 2000 hingga 29 Agustus 2006 dan 12 Agustus 2008 hingga 3 November 2014. Granger Causality Test menunjukkan bahwa harga international crude oil mempengaruhi IHSG di fase 1 dengan tidak adanya hubungan timbal balik seperti yang terjadi pada fase 3. Dalam beberapa kondisi, pergerakan dari IHSG dan international crude oil akan saling memberikan dampak yang berbeda.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Susanto, ProboNIM1305001619UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorSembiring, Ukur AriantoNIDN0311056901UNSPECIFIED
Thesis advisorFerdinand, Ferry VincenttiusNIDN0323059001UNSPECIFIED
Additional Information: SK 112-13 SUS h 2018; 31001000149741
Uncontrolled Keywords: IHSG; International crude oil; Cointegration; Non-linear; Granger causality test
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Mrs Veronica Fitri Astuti
Date Deposited: 12 May 2021 14:20
Last Modified: 16 Nov 2021 13:35
URI: http://repository.uph.edu/id/eprint/18478

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