Pengaruh nilai tukar dan indeks pasar saham global terhadap indeks harga saham sektoral

Imron HR Imron HR, Rosdiana Fitri, Hendryadi Hendryadi

Abstract


Tujuan penelitian ini adalah untuk mendapatkan bukti emperik tentang pengaruh nilai tukar US dollar terhadap Rupiah (USD/IDR) dan Yen Jepang terhadap Rupiah (JPY/IDR)`, serta indek pasar saham global: indek pasar saham Amerika (S&P500), indek pasar saham Jepang (Nikkei 225), indek pasar saham China (SSE), dan Indek pasar saham Singapura (STI), terhadap indek harga saham sektoral di Indonesia. Menggunakan data time series 2013 – 2017 dengan model OLS.  Hasil penelitian menunjukan: Nilai tukar USD/IRD mempengaruhi seluruh sektor industri secara negatif signifikan, kecuali sektor pertanian USD/IDR berpengaruh positif signifikan. Indek pasar saham Amerika S&P500 berpengaruh secara negatif signifikan terhadap indek saham sektor Pertanian, Industri dasar/kimia, dan berpengaruh positif signifikan terhadap Sektor pertambangan, Aneka industri, Industri barang dan konsumsi, Properti/Real estate, Infrastruktur, Keuangan, dan Perdagangan. Pergerakan pasar negara mitra ekonomi Indonesia (China, Jepang, dan Singapura) tidak secara dominan mempengaruhi pasar saham Indonesia.


Keywords


Indeks harga saham sektoral; indeks harga saham sektoral; indeks global

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DOI: https://doi.org/10.30872/jinv.v16i1.7273

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