Pemodelan Indeks Harga Saham Gabungan Berdasarkan Kurs Rupiah Terhadap Mata Uang Asing Menggunakan Metode Autoregressive Distributed Lag Model

Fortuna, Zaza Dewi (2022) Pemodelan Indeks Harga Saham Gabungan Berdasarkan Kurs Rupiah Terhadap Mata Uang Asing Menggunakan Metode Autoregressive Distributed Lag Model. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perkembangan perekonomian dipengaruhi oleh berbagai faktor. Salah satunya yaitu pertumbuhan investasi di negara tersebut di mana bentuk investasi yang paling diminati yaitu melalui pasar modal. Pasar modal berperan penting dalam perekonomian karena perkembangan positif dari pasar modal pada negara dengan perekonomian terbuka akan menarik investor asing untuk melakukan pembelian saham di bursa yang menyebabkan masuknya aliran modal yang diharapkan dapat mengapresiasi nilai tukar. Nilai tukar mata uang atau yang sering disebut kurs merupakan salah satu faktor makro ekonomi yang mempengaruhi harga saham dimana dalam penelitian ini diwakili oleh IHSG yang mencerminkan keadaan pasar modal di Indonesia. Tingkat kurs yang stabil akan mempengaruhi arus modal dan perdagangan karena tingkat kurs memfasilitasi transaksi-transaksi perdagangan dan investasi secara internasional. Oleh karena itu, penelitian ini dilakukan untuk mengetahui pemodelan IHSG berdasarkan kurs Rupiah terhadap beberapa mata uang asing pada bulan Januari 2008 sampai Desember 2021 menggunakan metode Autoregressive Distributed Lag Model (ARDL). Penelitian yang pernah dilakukan biasanya hanya melibatkan kurs Rupiah terhadap Dolar Amerika. Padahal, dengan semakin berkembangnya perekonomian di beberapa negara membuat mereka mulai menggunakan mata uang lokal dalam bertransaksi agar tidak bergantung pada mata uang tertentu saja sekaligus memperkuat mata uang mereka secara internasional. Model ARDL dapat diartikan sebagai model yang memasukkan nilai variabel yang dapat menjelaskan nilai masa lalu dan masa kini dari variabel dependen. Dalam jangka pendek diketahui bahwa IHSG pada waktu (t) dipengaruhi oleh IHSG pada waktu (t-1), nilai tukar Rupiah terhadap Yuan pada waktu (t), (t-1), dan (t-2), nilai tukar Rupiah terhadap Ringgit pada waktu (t-1), nilai tukar Rupiah terhadap Dolar Singapura pada waktu (t-1), nilai tukar Rupiah terhadap Dolar Amerika pada waktu (t-1), serta nilai tukar Rupiah terhadap Baht pada waktu (t) dan (t-1). Sedangkan dalam jangka panjang diketahui bahwa nilai IHSG dipengaruhi oleh nilai tukar Rupiah terhadap Yuan, Ringgit, Dolar Singapura, Dolar Amerika, dan Baht.
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Economic development is influenced by various factors. One of them is the growth of investment in the country. The most desirable form of investment is through the capital market. The capital market plays an important role in the economy because the positive development of the capital market in a country with an open economy will attract foreign investors to purchase shares on the stock exchange which will lead to an inflow of capital which is expected to appreciate the exchange rate. The currency exchange rate or what is often called the exchange rate is one of the macroeconomic factors that affect stock prices which in this study is shown by the Jakarta Composite Index (JCI) which reflects the state of the capital market in Indonesia. A stable exchange rate will affect capital and trade flows because the exchange rate facilitates international trade and investment transactions. Therefore, this study was conducted to determine the JCI modeling based on the Rupiah exchange rate against several foreign currencies in January 2008 to December 2021 using the Autoregressive Distributed Lag Model (ARDL) method. Research that has been done usually only involves the exchange rate of the Rupiah against the US Dollar. In fact, with the development of the economy in several countries, they have started to use local currencies in their transactions so as not to rely on certain currencies to strengthen their currencies internationally. ARDL model can be interpreted as a model that includes variable values that can explain the past and present values of the dependent variable. In the short term, it is known that the JCI at time (t) is influenced by the JCI at time (t-1), the Rupiah exchange rate against the Yuan at time (t), (t-1), and (t-2), the Rupiah exchange rate against Ringgit at time (t-1), Rupiah exchange rate against Singapore Dollar at time (t-1), Rupiah exchange rate against US Dollar at time (t-1), and Rupiah exchange rate against Baht at time (t) and (t-1). While in the long term it is known that the JCI value is influenced by the exchange rate of the Rupiah against the Yuan, Ringgit, Singapore Dollar, American Dollar, and Baht.

Item Type:	Thesis (Other)
Additional Information:	RSAk 519.536 For p-1 2022
Uncontrolled Keywords:	ARDL, IHSG, Investasi, Kurs, Kointegrasi, Investment, Exchange Rate, Cointegration
Subjects:	Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Mathematics, Computation, and Data Science > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Mr. Marsudiyana -
Date Deposited:	22 Nov 2024 03:27
Last Modified:	22 Nov 2024 03:27
URI:	http://repository.its.ac.id/id/eprint/115819

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