PENGARUH NILAI KURS TERHADAP KINERJA PASAR MODAL DI INDONESIA(STUDI PADA BEJ)
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Institusion
Universitas Muhammadiyah Malang
Author
PURNOMO, HENDRO
Subject
HB Economic Theory
Datestamp
2012-06-30 03:08:10
Abstract :
This research is a case study of changes in exchange rate USD / U.S. $ against the Indonesian capital market performance, entitled Effect of Exchange Rates Against the Indonesian Capital Market Performance (Studies in JSE) 2001-2006. The purpose of this study was to determine the significance of effects of changes in exchange rate USD / U.S. $ against the Indonesian capital market performance in the short and long term (in this case JCI and NPS) and to determine causality (mutual influence) between changes in exchange rates and capital market performance Indonesia. In this research the author took the hypothesis, that the exchange rate USD / US $ has significant influence on the performance of capital markets in the short and long term and the exchange rate of Rp / US $ has a causal relationship (mutual influence) with the capital market. The analytical tool used to determine whether the value of the exchange rate has a significant influence on the performance of capital markets and to see the relationship kauslitasnya is by using dynamic linear regression model with error correction model approach. To see the effect of exchange rate on the performance of capital markets in the short term test was used to ECM, for long-term effect of cointegration test is used, and to be used to determine causality causality uiji Grangger Angger model. From the analysis shows that the exchange rate / U.S. $ gives them significant influence over the long term and short term against the Indonesian capital market performance. Although the results of this analysis still produces R2 produced still show a number above zero means that there are factors beyond the economic variables that affect the performance of the Indonesian capital market. From this test there is a positive relationship between exchange rate USD / U.S. $ against the Indonesian capital market performance. From the causality test showed that there were significant reciprocal relationship between the exchange rate USD / U.S. $ on the performance of capital markets in this case represented by JCI and NPS Based on the results of the study, the authors can conclude that the Indonesian capital market conditions has not been efficient but started showing signs of strengthening to the level of performance semistrong form efficient market. Conditions shows that not all information in the Indonesian capital market able to show the real condition in Indonesia's capital market. Strengthening the performance is still vulnerable to problems outside the context of the economy in other words political conditions still have a strong influence on the performance of capital markets Indon
This research is a case study of changes in exchange rate USD / U.S. $ against the Indonesian capital market performance, entitled Effect of Exchange Rates Against the Indonesian Capital Market Performance (Studies in JSE) 2001-2006. The purpose of this study was to determine the significance of effects of changes in exchange rate USD / U.S. $ against the Indonesian capital market performance in the short and long term (in this case JCI and NPS) and to determine causality (mutual influence) between changes in exchange rates and capital market performance Indonesia. In this research the author took the hypothesis, that the exchange rate USD / US $ has significant influence on the performance of capital markets in the short and long term and the exchange rate of Rp / US $ has a causal relationship (mutual influence) with the capital market. The analytical tool used to determine whether the value of the exchange rate has a significant influence on the performance of capital markets and to see the relationship kauslitasnya is by using dynamic linear regression model with error correction model approach. To see the effect of exchange rate on the performance of capital markets in the short term test was used to ECM, for long-term effect of cointegration test is used, and to be used to determine causality causality uiji Grangger Angger model. From the analysis shows that the exchange rate / U.S. $ gives them significant influence over the long term and short term against the Indonesian capital market performance. Although the results of this analysis still produces R2 produced still show a number above zero means that there are factors beyond the economic variables that affect the performance of the Indonesian capital market. From this test there is a positive relationship between exchange rate USD / U.S. $ against the Indonesian capital market performance. From the causality test showed that there were significant reciprocal relationship between the exchange rate USD / U.S. $ on the performance of capital markets in this case represented by JCI and NPS Based on the results of the study, the authors can conclude that the Indonesian capital market conditions has not been efficient but started showing signs of strengthening to the level of performance semistrong form efficient market. Conditions shows that not all information in the Indonesian capital market able to show the real condition in Indonesia's capital market. Strengthening the performance is still vulnerable to problems outside the context of the economy in other words political conditions still have a strong influence on the performance of capital markets Indon
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