Paramastri, Raden Rara Fabiola Sari (2024) Dampak pengaruh variabel makroekonomi terhadap imbal hasil indeks harga saham gabungan (periode 2009–2023) = The effect of macroeconomic variables on the return of the Jakarta composite index (evidence from 2009 - 2023). Bachelor thesis, Universitas Pelita Harapan.
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Abstract
Tujuan dari penulisan ini adalah untuk menganalisa pengaruh variabel makroekonomi terhadap imbal hasil Indeks Harga Saham Gabungan (IHSG) secara jangka panjang maupun jangka pendek. Variabel yang digunakan dalam penelitian yaitu inflasi (CPI), nilai tukar USD/IDR (USDIDR), peredaran uang (M2), Produk Domestik Bruto (PDB), neraca dagang (TB), harga minya dunia yang diwakilkan oleh WTI (WTI). Model autoregressive distributed lag (ARDL) digunakan untuk penelitian dan menggunakan data triwulanan untuk periode sample 2009 Q2 - 2023 Q4. Hasil penelitian menunjukkan bahwa nilai tukar USD/IDR berpengaruh signifikan secara jangka panjang. Sementara CPI, M2, TB, dan WTI tidak berpengaruh signifikan secara jangka panjang. Secara jangka pendek, USD/IDR dan CPI pada dua periode sebelumnya berpengaruh signifikan secara jangka pendek. Berikutnya, nilai tukar USD/IDR memiliki pengaruh negatif secara jangka panjang maupun jangka pendek, sementara CPI pada dua periode sebelumnya memiliki pengaruh negatif dalam jangka pendek. / The objective of this study is to analyze the impact of macroeconomic variables on the return of the Jakarta Composite Index (IHSG) in both the long run and the short run. The variables used in this research include inflation (CPI), the exchange rate (USD/IDR), money supply (M2), Gross Domestic Product (GDP), trade balance (TB), and global oil prices represented by West Texas Intermediate (WTI). The study employs the Autoregressive Distributed Lag (ARDL) model, utilizing quarterly data for the sample period from Q2 2009 to Q4 2023. The findings indicate that the exchange rate (USD/IDR) has a significant impact in the long run, whereas CPI, M2, TB, and WTI do not exhibit significant long-run effects. In the short run, both the exchange rate (USD/IDR) and CPI from two previous periods have a significant effect. Furthermore, the exchange rate (USD/IDR) has a negative impact in both the long run and the short run, while CPI from two previous periods negatively affects the IHSG return in the short run.
Item Type: | Thesis (Bachelor) |
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Creators: | Creators NIM Email ORCID Paramastri, Raden Rara Fabiola Sari NIM01015220029 sparamastri@gmail.com UNSPECIFIED |
Contributors: | Contribution Contributors NIDN/NIDK Email Thesis advisor Handoko, Liza NIDN0315019003 liza.handoko@uph.edu |
Uncontrolled Keywords: | ARDL model; variabel makroekonomi; Indeks Harga Saham Gabungan (IHSG); ARDL model; macroeconomic variables; Jakarta Composite Index (JCI). |
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management Current > Faculty/School - UPH Karawaci > Business School > Management |
Depositing User: | RADEN RARA FABIOLA SARI PARAMASTRI |
Date Deposited: | 25 Mar 2025 09:35 |
Last Modified: | 25 Mar 2025 09:35 |
URI: | http://repository.uph.edu/id/eprint/67938 |