Analisis integrasi dan pengaruh makroekonomi terhadap indeks saham sektoral di bursa efek indonesia (studi kasus pada periode tahun 2009-2016)

Shafadina, Ridia (2019) Analisis integrasi dan pengaruh makroekonomi terhadap indeks saham sektoral di bursa efek indonesia (studi kasus pada periode tahun 2009-2016). Masters thesis, Institut Pertanian Bogor.

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Official URL: http://lib.sb.ipb.ac.id/

Abstract

The phenomenon of capital market integration has been creating a domino effect or Contagion Effect. Simply, domino effect or chain reaction is a cumulative effect produced when one event initiates a succession of similar events. Contagion effect can be resulted from the economic dependence relationship such as similarities in macroeconomics. Macroeconomics factor that affects the Stock Indices is the change of interest rate in central bank, the condition of global economy, world’s energy price, political stability in a country and etc (Blanchard, 2006). The purposes of this research was analyzing the integration on sector indexes in Indonesia’s Stock Exchange within 2009-2016, analyzing the effects of macroeconomics towards sector stock indexes in Indonesia’s Stock Exchange within 2009-2016, and analyzing which sector stock indexes that were dominant in Indonesia’s Stock Exchange within 2009-2016. The analysis methods used here were VAR and VECM. The research finding showed that there was integration among the sector stock in Indonesia’s Stock Exchange. It had a meaning that there was a relationship between one to another sector. The result of causality tests explained that exchange rate, BI rate, and inflation had causal relationship to the nine sectors, i.e. agriculture sector, mining sector, basic industry and chemicals sector, miscellaneous industry sector, consumer goods sector, property and real estate sector, consumer goods industry sector, transportation and infrastructure sector, financial sector, trade sector, services and investment. Meanwhile, the world’s oil price affected the eight sectors except agriculture sector. Those nine factors gave negative response toward the inflation shocks and BI rate, but it gave positive response toward world’s oil price fluctuation. The fluctuation toward exchange rate had been positively responded by basic industry and chemicals sector, consumer goods industry sector, property and real estate sector, miscellaneous industry sector, transportation and infrastructure sector, financial sector, and trade sector, services and investment. Meanwhile, the agriculture sector, mining sector, and miscellaneous industry sector responded negatively toward fluctuation of exchange rate. Miscellaneous industry had the biggest contribution among the sectors in the fluctuation in prices experienced by IHSG. Meanwhile, the sector of trade, services, and investment had the lowest contribution in affecting the fluctuation of IHSG

Item Type: Thesis (Masters)
Uncontrolled Keywords: indeks saham sektoral, integrasi, makroekonomi, VAR/VECM sector stock indices, integration, macroeconomics, VAR/VECM
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 18 Jun 2019 05:10
Last Modified: 18 Jun 2019 05:10
URI: http://repository.sb.ipb.ac.id/id/eprint/3363

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