THE EFFECT OF DOW JONES INDEX AND INDONESIA MACRO VARIABLES INDEX ON FINANCIAL SECTOR PRICE INDEX POST GLOBAL FINANCIAL CRISIS 2008

Main Article Content

Yusup Aris Andika
Said Djamaluddin

Abstract

This study aims to determine whether the Dow Jones Index, exchange rate, interest rates, and inflation affect the Financial Sector Stock Price Index. The population in this study is the Financial Sector Stock Price Index (CSPI) data from December 1995 to December 2018. The sample in this study is the monthly data of the Dow Jones Index, Rupiah Exchange Rates, SBI Interest Rates, Inflation, and CSPI within 10 years (120 months) from January 2009 to December 2018 where the CSPI experienced fluctuations during this period. The data analysis technique used is multiple linear regression. Research results show that Simultaneously, the Dow Jones Index variables, Dollar Exchange Rate, BI Rate, and Inflation significantly influence the dependent variable of the JCI movement with a coefficient value of 96.53%. The Dow Jones Index variable partially has a significant effect and is positively correlated with the CSPI dependent variable. Dollar Exchange Variable partially has a significant effect and negatively correlates to the CSPI dependent variable. The BI Rate variable partially has no significant effect and positively correlates to the CSPI dependent variable. Inflation variable partially has no significant effect and positively correlated to the CSPI dependent variable.

Article Details

Section
Articles

References

Adesanmi, A. A., & Jatmiko, D. P. 2017. The Impact of Macroeconomic Variables on an Emerging Economy Stock Market: Evidence from Jakarta Composite Index, Indonesia. Journal of Economic & Management Perspectives, 11(2), 665-684.
Alwi, Z.I. 2008. Pasar Modal : Teori dan Aplikasi. Edisi Pertama. Jakarta: Nasindo Internusa.
Bailey, K. 2008. Methods of social research. Simon and Schuster.
Barakat, MR. Sara HE., dan Khaled MH. 2016. “Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets”. International Journal of Economics and Finance, Vol. 8, No. 1, 195-207.
Bodie, Z.; Kane A., and Marcus A.J. 2002. Essentials Investment. McGraw-Hill: New York.
Dahlan, S. 2005. Manajemen Lembaga Keuangan Kebijakan Moneter dan Perbankan. Edisi ke, 5.
Darwati, Suli dan Nanda Trio Santoso. 2014. “Pengaruh Perubahan Nilai Tukar, Suku Bunga, Harga Minyak Dunia dan Indeks Saham Dow Jones Terhadap Index Harga Saham Gabungan pada Pasar Modal di Negara-Negara ASEAN”. In: The 7th NCFB and Doctoral Colloquium 2014 Towards a New Indonesia Business Architecture Sub Tema: “Business and Economic Transformation Towards AEC 2015” Fakultas Bisnis dan Pascasarjana UKWMS, Hal: 47-56.
Eun, C. S., dan Shim, S. 1989. “International Transmision of Stock Market Movement”. Journal of Financial Quantitatif Analysis. Vol.24, 241-256.
Fama, E. F. 1970. Market efficiency, long-term returns, and behavioral finance. Journal of financial economics, 49(3), 283-306.
Franke, J. A. 1993. Monetary and Portofolio Balance Model of the Determination of Exchange Rate. Cambridge: MIT Press.
Ghozali, Iman. 2012. Aplikasi Analisis Multivariate dengan Program IBM SPSS 20. Semarang: BP UNDIP
Gujarati, Damodar N. 2004. Basic Econometrics, Fourth Edition. The McGraw−Hill Companies. New York.
Haryogo, Ardy. 2013. “Pengaruh Nilai Tukar dan Indeks Dow Jones Terhadap Composite Index di Bursa Efek Indonesia”. Finesta, Vol. 1, No.1: 1-6.
Hoang, Duc Hong. 2015. “The effects of macroeconomic variables on Asian stock market volatility: A Garch Midas Approach”. Tesis. School of Economic and Management. Lund University. Lund, Sweden.
Jamaludin, N.; Shanaz I., dan Syamimi AM. 2017. “Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries”. International Journal of Economics and Financial Issues, 2017, 7(1), 37-45.
Jogiyanto, 2003. Teori Portofolio dan Analisis Investasi. Edisi Ketiga, BPFE. Yogyakarta.
Kabir, Sarkar H.; Omar K.M.R. Bashar, dan A. Mansur M. Masih. 2014. “Is Domestic Stock Price Cointegrated with Exchange Rate and Foreign Stock Price? Evidence from Malaysia”. The Journal of Developing Areas, Vol. 48, No. 3, 285-302.
Kewal, Suramaya Suci. 2012. “Pengaruh Inflasi, Suku Bunga, Kurs, Pertumbuhan PDB terhadap IHSG”. Jurnal Economia, Vol. 8, No.1, 53-64.
Kibria, U.; Yasir M., Muhammad M., Muhammad UA., Rehana P., dan Muhammad S. 2014. “The Impact of Macroeconomic Variables on Stock Market Returns: A Case of Pakistan”. Research Journal of Management Sciences, Vol. 3(8), 1-7.
Kowanda, Dionysia; Rowland Bismark FP., dan Ahmad FS. 2015. “Pengaruh Indeks Bursa Saham Asing dan Makro Ekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia Pada Tahun 2010-2014”. Jurnal Manajemen Indonesia, Vol. 15, No. 3, 225-234.
Krisna, A. A. G. A. 2013. Pengaruh inflasi, nilai tukar rupiah, suku bunga SBI pada indeks harga saham gabungan di BEI. E-Jurnal Akuntansi, 421-435.
Krugman, P. R. 2008. International economics: Theory and policy, 8/E. Pearson Education India.
Lawrence, Steven Sugiarto. 2013. “Pengaruh Variabel Makro Ekonomi dan Harga Komoditas terhadap Indeks Harga Saham Gabungan di Indonesia”. FINESTA, Vol. 1, No. 2.
Machmud, Senen dan Bambang Agus Wijanarko. 2013. “Analisis Pengaruh Tingkat Inflasi, Nilai Tukar USD/Rupiah, dan Tingkat Suku Bunga SBI Terhadap Indek Harga Saham Gabungan”. Jurnal Ekonomi, Bisnis & Entrepreneurship. Vol. 7, No 1, Hal: 30-40.
Mankiw N, Gregory, dkk.2012, Pengantar Ekonomi Makro.Jakarta: Salemba Empat.
Mansyur, 2005. “Pengaruh Indeks Bursa Global Terhadap Indeks Harga Saham Gabungan (IHSG) Pada Bursa Efek Jakarta (BEJ) Periode Tahun 2000-2002”. Sosiohumaniora, Vol.7, No.3, 203-219.
Manurung, Ria. 2016. “Pengaruh Inflasi Suku Bunga dan Kurs terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia”. Jurnal Ekonom, Vol. 19, No. 4, 148-156.
Mardiyati, U., & Rosalina, A. 2013. Analisis Pengaruh Nilai Tukar, Tingkat Suku Bunga dan Inflasi Terhadap Indeks Harga Saham Studi Kasus Pada Perusahaan Properti yang Terdaftar di Bursa Efek Indonesia. JRMSI-Jurnal Riset Manajemen Sains Indonesia, 4(1), 1-15.
Mohammadi, M. 2016. Stock Market Fluctuations and Macroeconomic Variables. Oman Chapter of Arabian Journal of Business and Management Review, 34(3815), 1-6.
Nijam, HM., Ismail SMM., Musthafa AMM. 2015. “The Impact of Macro-Economic Variables on Stock Market Performance: Evidence From Sri Lanka”. Journal of Emerging Trends in Economics and Management Sciences (JETEMS), 6(2). 151-157.
Nopirin. 2000. Ekonomi Moneter. Buku II. Edisi ke 1. Cetakan Kesepuluh. BPFE UGM: Yogyakarta.
Ozcan, A. 2012. The relationship between macroeconomic variables and ISE industry index. International Journal of Economics and Financial Issues, 2(2), 184-189.
Pasaribu, Rowland Bismark F. dan Dionysia Kowanda. 2013. “Dinamika Bursa Saham Asing dan Makroekonomi terhadap Indeks Harga Saham Gabungan Bursa Efek Indonesia”. Jurnal Akuntansi dan Bisnis, Vol. 14, No. 1, 89-112.
Pratikno, Dedy. 2009. “Analisis Pengaruh Nilai Tukar Rupiah, Inflasi, SBI, dan Indeks Dow Jones terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI)”. Tesis. Program Studi Ekonomi Pembangunan, Sekolah Pascasarjana, Universitas Sumatera Utara. Medan.
Ross, S. A. 2009. Neoclassical finance. Princeton University Press.
Sampurna, Dian Surya. 2016. “Analisis Pengaruh Faktor-Faktor Ekonomi Makro Terhadap IHSG di Bursa Efek Indonesia (BEI)”. Jurnal STEI Ekonomi, Vol. 25, No. 1, 1-24.
Siregar, YP.; Rosyetti, dan Sri EK. 2014. “Pengaruh Nilai Tukar, Inflasi dan Jumlah Uang Beredar terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) tahun 1994-2013”. Jom FEKON, Vol. 1, No. 2, Hal: 1-15.
Sudarsana, Ni Made Anita Dewi dan Ica Rika Candraningrat 2014. “Pengaruh Suku Bunga SBI, Nilai Tukar, Inflasi dan Indeks Dow Jones terhadap Indeks Harga Saham Gabungan di BEI”. Fakultas Ekonomi dan Bisnis Universitas Udayana, Vol. 3, No. 11, 3291-3308.
Sugiyono. 2014. Metode Penelitian Bisnis. Alfabeta. Bandung.
Talla, Joseph Tagne. 2013. “Impact of Macroeconomic Variables on the Stock Market Prices of the Stockholm Stock Exchange (OMXS30)”. Tesis. Jonkoping International Business School, Jonkoping University. Jonkoping, Sweden.
Tan, J. A. 1998. “Contagion Effect During the Asian Financial Crisis: Some Evidence from Stock Price Data”. Pacific Basin Working Paper Series. Center for Pacific Basin Monetary and Economic Studies Economic Research Department Federal Reserve Bank of San Fransisco.
Tandelilin, E. 2001. Analisis Investasi dan Manajemen Portofolio. BPFE. Yogyakarta.
Wibowo, Satrio. 2012. “Pengaruh Nilai Tukar, Suku Bunga SBI, dan Indeks Saham Dow Jones terhadap IHSG”. Jurnal Bisnis dan Akuntansi, Vol. 14, No.2: 117-130.
Widoatmodjo. 2009. Pasar Modal Indonesia: Pengantar & Studi Kasus. Cet. Pertama. Bogor: Ghalia Indonesia.
Zakaria, Zulkarnain dan Sofian Shamsuddin. 2012. “Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia”. Journal of Business Studies Quarterly, Vol. 4, No. 2, pp 61-71.
Zoa, CH; Farn WC, Hum YS, dan Yip JS. The Impact of Macroeconomic Variables on The Stock Market Performance in Japan. Disertasi. Bachelor of Finance, Universiti Tunku Abdul Rahman, Faculty of Banking and Finance Department of Finance. Petaling Jaya, Malaysia.