VARIABEL EKONOMI MAKRO DAN INDEKS HARGA SAHAM GABUNGAN: STUDI KASUS DI BURSA EFEK INDONESIA [JURNAL]
OLEH : Herman Ruslim
PENERBIT : F akul t a s E kono mi Lhtiv e r s i t a s T ar umana gar a J akar t a
Email : herntanr u s I int@p b n. c ont
ABSTRAK :
.l his paper examines the relationship between macroeconomic variables and
6:,-.: i:ie srock price index in the Indonesian Stock Exchange Market. 'fhis study uses
!!r.:.i.-.i.. market data period from 2005 to 2010 which captures the high fluctuation of
r,: r-.-rvrt)c'conomic variables and composite price index. This study shows that interest
-: : :rJ inflation affect composite stock price index. Moreover, the finding suggests
--: .irc exchange rate cloes not affect the composite stock price index, but the
---:.rsite stockprice index affects the exchange rate.Furthermore, the macroeconomics
:--.;oles have a long term effect on the composite price index. Moreover, GARCH
* iel shows that IHSG volatility is influenced by the movement of the all
r:Jrrrecoromics variables investigated. Finally, the results of VAR combined with
:.3.1\1A modeling can predict accurately the IHSG.
Kersords: lnacroeconomics variables, Stock Exchange Market, inflation affect,
.mposite stock price index
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