PENGARUH PERUBAHAN BI RATE TERHADAP MARKET RETURN DAN VOLATILITAS INDEKS LQ45
ABSTRACT: This study aimed to
examine the effect of the announcement of the change in the BI rate to market
return and volatility on the index LQ45 during the period March 2010 to
February 2015 by using inflation and industrial production index as variable
control. This study uses multiple regression analysis (α = 5%). Regression
results show that changes in the BI rate has no significant effect on the
market return. These results indicate that at the time of the announcement of
the BI rate does not give any influence on the market return LQ45. The
different results shown by the effect of changes in the BI rate to return
volatility LQ45. Volatility increased with the announcement of the increase in
the BI rate changes. Furthermore, the control variables, inflation and the
industrial production index has no significant effect either on the market
returns and volatility of LQ45 so that this control variable can not be used to
predict market returns and volatility of LQ45 current BI rate announcement.
Keywords: BI rate, volatility,
LQ45 Index, Inflation, Industrial Production Index
Penulis: Alan Fatih, Fitri
Ismiyanti
Kode Jurnal: jpmanajemendd151538
