Pengaruh inflasi, suku bunga, nilai tukar, dan harga komoditas terhadap indeks harga saham gabungan dan indeks saham sektoral di bursa efek Indonesia

Bongra, Sandry (2020) Pengaruh inflasi, suku bunga, nilai tukar, dan harga komoditas terhadap indeks harga saham gabungan dan indeks saham sektoral di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian bertujuan dalam menganalisa adanya faktor-faktor yang memperngaruhi terhadap Indeks Harga Saham Gabungan (IHSG) dan Indeks Harga Saham Sektoral. Faktor yang dianggap mempengaruhi adalah harga emas dunia, minyak,gas, batubara, tembaga, inflasi, suku bunga, dan nilai tukar (kurs).Penelitian ini dibuat karena masih terdapat perbedaan hasil penelitian antara penelitian yang satu dengan yang lain serta ingin menunjukan hasil terbaru hingga tahun 2019. Data yang digunakan adalah data time series bulanan dari periode April 2006 sampai Juni 2019 dengan metode regresi berganda, sample yang digunakan sebanyak 159 data. Penelitian ini menggunakan software eviews untuk menguji hipotesisnya. Populasi dari penelitian ini berasal dari Bursa Efek Indonesia, Hasil penelitian menunjukkan bahwa harga emas tidak berpengaruh terhadap IHSG dan Saham Sektoral. Harga Minyak, Gas, Batubara, Tembaga, dan Suku Bunga dan Kurs, berpengaruh secara signifikan dan arah positif terhadap IHSG dan Saham Sektoral Sedangkan Inflasi dan Suku Bunga berpengaruh signifikan dan arah negative terhadap IHSG dan Saham Sektoral. / The research aims to analyze the existence of factors that influence the IDX Composite and Sectoral Stock Index. The factors that are considered influential are world gold prices, oil, gas, coal, copper, inflation, interest rates, and exchange rates. This research was made because there are still differences in research results between one research with another and want to show the latest results until 2019. The data used are monthly time series data from the period April 2006 to June 2019 with multiple regression methods, the sample used is 159 data. This study uses eviews software to test the hypothesis. The population of this study came from the Indonesia Stock Exchange. The results showed that the price of gold had no effect on the IDX Composite and Sectoral Stocks. Oil, Gas, Coal, Copper Prices, and Interest Rates and Exchange Rates, have a significant effect and a positive direction on IDX Composite and Sectoral Stock, While Inflation and Interest Rates have a significant effect and a negative direction on IDX Composite and Sectoral Stock.

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