Analisis pengaruh suku bunga, inflasi, gdp terhadap hubungan saham dan obligasi di Indonesia

Pramudito, Aria (2011) Analisis pengaruh suku bunga, inflasi, gdp terhadap hubungan saham dan obligasi di Indonesia. Bachelor thesis, Universtitas Pelita Harapan.

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Abstract

This research has the objective to investigate the dynamic relationship between stocks and bonds in Indonesia. Some literature says that the relationship between stocks and bonds in different countries is different depending on the level of the economy of the country. So the topic of dynamic relationship between stocks and bonds are still very interesting for investigation. Another goal of this research is to examine the economic factors affect any movement between stocks and bonds. There are three economic factors that will be examine their effects on the stock and bond. The three economic factors are interest rates, inflation and GDP. The method applied in this research is using Generalized Autoregresive Conditional Heteroskedasticity to discover the influence of these factors and using Vector Error Correction Model to figure out the third of these factors of shock. The results show that interest rates and GDP has significant influence toward relationship between stocks and bond. Meanwhile inflation does not have significant effects. Other results suggest that interest rates and inflation shock has a negative response at the beginning of the period. While the GDP shock responded positively by the correlation between stocks and bonds since the start of the period / Penelitian ini mempunyai tujuan untuk menyelidiki hubungan dinamis antara saham dan obligasi di Indonesia. Beberapa literatur mengatakan bahwa hubungan antara saham dan obligasi di berbagai negara berbeda tergantung pada tingkat ekonomi negara. Sehingga topik hubungan dinamis antara saham dan obligasi masih sangat menarik untuk diteliti. Tujuan lain dari penelitian ini adalah untuk menguji faktor-faktor ekonomi yang mempengaruhi hubungan antara saham dan obligasi. Ada tiga faktor ekonomi yang akan diteliti pengaruhnya pada saham dan obligasi. Tiga faktor ekonomi adalah suku bunga, inflasi dan GDP. Metode yang diterapkan dalam penelitian ini adalah menggunakan Generalized Autoregresive Conditional Heteroskedasticity untuk meneliti sejauh mana pengaruh dari faktor-faktor tersebut dan menggunakan Vector Error Correction Model untuk mengetahui shock dari ketiga faktor tersebut. Hasil penelitian menunjukkan bahwa suku bunga dan GDP memiliki pengaruh signifikan terhadap hubungan antara saham dan obligasi. Sementara itu inflasi tidak memiliki efek signifikan. Hasil lain menunjukkan bahwa shock tingkat suku bunga dan inflasi memiliki respon negatif pada awal periode. Sementara shock GDP direspon positif oleh korelasi antara saham dan obligasi sejak awal periode

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