Analisa pengaruh variabel makroekonomi dan harga cpo global terhadap volatilitas indeks harga saham sawit (ihss)

Visudha, Sudana (2016) Analisa pengaruh variabel makroekonomi dan harga cpo global terhadap volatilitas indeks harga saham sawit (ihss). Masters thesis, Institut Pertanian Bogor.

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Abstract

tock Price Index is constructed as a guide for investors to monitor the movement of shares of a company that being regarded as an investment portfolio. Macroeconomic variables and the risk level also need to be known in order to produce the best and profitable portfolio. This study is aimed to construct an index that is devoted to oil palm plantation subsector and called "Indeks Harga Saham Sawit (IHSS)", a guide for investors to invest in palm plantation industry, to assist them in taking decision whether to enter or exit from the business. There are currently nine sectoral indices issued by IDX (Indonesia Stock Exchange), which are Agriculture, Mining, Basic Industry, Various Industry, Consumption, Property and Real Estate, Infrastructure, Finance, and Trade. Preparation of the index is using the Weighted Average Market Value Index, with a sample of 12 companies of oil palm fields in Indonesia by taking the time span 2010-2015. Risk is calculated by measuring the volatility using ARCH / GARCH. Seeing the effect of variable macroeconomic variables such as interest rate, inflation, IPI, USD exchange rate and CPO Global on volatility index by multiple regression in order to analyze the partial or total movement of IHSS more easily. Results from the study show that palm oil stocks is quite risky because the value of high volatility, and among five macroeconomic variables, just a variable IPI that does not significantly influence the volatility of IHSS. This index has been built on the basis that there is no dominant company, indicated from the number of Herfindahl Index < 1. The IHSS indicates issuers in palm subsector are not the driving force of IHSG because the capitalization value is not big, as the shares move to the opposite direction of IHSG. Investment in palm share has quite high risk, that visible from the persistent volatility of the index. Macroeconomic variables, namely food industry production index, inflation, SBI interest rate, exchange rate, CPO global price, partially or jointly affect the volatility of IHSS. Efforts to attract community to invest can be done through improved literacy related to available options in the capital markets. People's interest in investing in the capital markets cannot be separated from the expectations towards the earnings and the inherent risks in the existing instruments. Share price index reflects the movement of stock prices. Frensidy (2006) mentions that intuitively, most stocks move in line with the movement of the index.

Item Type: Thesis (Masters)
Additional Information: 24(E48)Vis a
Uncontrolled Keywords: Harga CPO global, Indeks harga saham, Makroekonomi, Regresi Linear, Volatilitas, time series. CPO global price, Linear regression, Macroeconomic, Price share index, Volatility,
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 11 Apr 2017 04:52
Last Modified: 23 Oct 2019 02:20
URI: http://repository.sb.ipb.ac.id/id/eprint/2906

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