Analisis Pengaruh Nilai Tukar Mata Uang Internasional Terhadap Indeks Saham Lq45 Dengan Metode Autoregressive Distributed LAG

Putri, Resha Fajri Ramadhia (2024) Analisis Pengaruh Nilai Tukar Mata Uang Internasional Terhadap Indeks Saham Lq45 Dengan Metode Autoregressive Distributed LAG. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Bursa Efek Indonesia menerbitkan indeks saham LQ45 yaitu 45 entitas saham teratas di Indonesia dengan persyaratan memiliki performa dan fundamental yang memiliki likuiditas transaksi yang tinggi serta telah menerbitkan saham berjenis blue-chip sebagai standar untuk para investor dan analis keuangan untuk mengukur likuiditas pasar saham di Indonesia. Sebagai saham dengan predikat likuiditas tertinggi di Indonesia, indeks LQ45 tak jarang harus bersinggungan secara langsung dengan pasar internasional dan investor-investor asing yang membuat nilai tukar rupiah ke mata uang internasional secara logika akan menjadi penting dalam perhitungan harga saham. Penelitian ini dilakukan untuk mengetahui keterkaitan antara indeks saham LQ45 dengan nilai tukar mata uang internasional yang dominan di dunia seperti USD, JPY, EUR, GBP dan RMB dengan data dari Agustus 2017 sampai dengan Agustus 2023. Adapun metode yang digunakan untuk pemodelan adalah metode Autoregressive Distributed Lag dengan kointegrasi bound untuk melihat hubungan jangka panjang dan jangka pendek dari variabel-variabel yang diteliti. Hasil penelitian menunjukkan bahwa terdapat hubungan jangka pendek dan jangka panjang antara harga jual saham LQ45 dan kurs tukar mata uang internasional dimana didapatkan model terbaik model ARDL (5, 0, 0, 2, 3, 3) dan nilai AIC sebesar 6,925357.
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The Indonesian Stock Exchange publishes the LQ45 stock index, namely the top 45 stock entities in Indonesia with the requirements of having good performance and fundamentals as well as having high transaction liquidity and has issued blue-chip shares as a standard for investors and financial analysts to measure stock market liquidity in Indonesia. As the stock with the highest liquidity title in Indonesia, the LQ45 index often has to interact directly with international markets and foreign investors which makes the rupiah exchange rate to international currencies logically important in calculating stock prices. This research was conducted to determine the relationship between the LQ45 stock index and the dominant international currency exchange rates in Asia such as USD, JPY and RMB from August 2017 to August 2023. The method used is the ARDL (Autoregressive Distributed Lag) with Bound Test Cointegration to see the long-term and short-term relationships bertween variables.The results showed that there is a short-term and long-term relationship between the selling price of LQ45 shares and the international currency exchange rate. Where the best model for forecasting with the ARDL method is the ARDL model (5, 0, 0, 2, 3, 3) and the AIC value of 6.925357.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARDL, LQ45, Nilai Tukar Mata Uang Internasional, Pasar Modal, International Currencies Exchange Rates, Stock Exchange
Subjects:	Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Resha Fajri Ramadhia Putri
Date Deposited:	05 Feb 2024 17:07
Last Modified:	05 Feb 2024 17:07
URI:	http://repository.its.ac.id/id/eprint/105836

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