ANALISIS PENGARUH HARGA MINYAK DUNIA, KURS RUPIAH/US$, DAN FED RATE TERHADAP INDEKS SEKTORAL PASAR SAHAM DI INDONESIA (PERIODE JANUARI 2006 – DESEMBER 2016)
Abstract: Stock is one of
investment instruments that have high risk. It happens because stock is very
sensitive to macroeconomics change. There are many macroeconomic variables
affecting stock prices including World Oil Price, Exchange Rate and Interest
Rate. The previous study of macroeconomic effect on sectorial index has shows
inconsistents results. The aim of this study is to investigate the effect of
macroeconomic factors toward sectorial index at Indonesian Stock Market.
Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) method
is used in this study to test proposed hypothesis. The period of January 2006
to December 2016 is used as a research sample by taking the monthly price of
each variable, so that 132 samples are obtained. World oil price, exchange
rate, and interest rate are used to explain macroeconomics variabels.
The result of hypothesis testing by GARCH method shows that world oil
pricesignificantly have positive effect to the index of agriculture sector, and mining
sector. Then the rupiah exchange rate variables significantly have negative
effect towards the nine existing sector indices. While the fed rate variable
show positive effect to the index of infrastructure sector and trade sector.
Keywords: World’s Oil Price,
Rupiah Exchange Rate, Fed Rate, Sectorial stock price Index
Penulis: Bintang Surya
Pamungkas PAP, Prasetiono
Kode Jurnal: jpmanajemendd180409
