ANALISIS PENGARUH INDEKS SAHAM NEGARA TUJUAN EKSPOR INDONESIA DAN FLUKTUASI US$/IDR TERHADAP INDEKS HARGA SAHAM GABUNGAN DI INDONESIA PERIODE AGUSTUS 2010-JULI 2015

Abstract

Stock index is an indicator of whether the stock movement is rising, steady or down reflecting the stock market conditions are currently active or lethargic. Fluctuations happen when the increase or decrease in the value of a currency against another currency.

                    The purpose of this study was to determine and analyze the effect of the stock index of the country's largest export destination of Indonesia (Nikkei 225 stock index, the Shanghai, STI, Dow Jones and KOSPI) and fluctuations in the US $ / IDR against JCI in Indonesia period August 2010-July 2015. this study uses a stationary test to determine the average data and variants constant or not, if the data is not stationary it will be diferensi. Cointegration test to determine the long-term relationship between the dependent and independent variables. T tests were performed to determine the significance of the influence of the independent variable on the dependent variable. Test Vector Auto Regression (VAR) by standard methods performed for time series data that has been stationary at the current level while the test VAR method Vector Error Correction Model (VECM) is done for the time series data is not stationary at the current level but after diferensi into data stationary. VECM test using impulse response analysis to determine the effect of shock independent variable on the dependent variable while the variance decomposition analysis to determine the percentage of influence of independent variables on the dependent variable.                    The results of this study indicate that the Nikkei 225 stock index over the long term and no significant negative impact on JCI while the Shanghai stock index and STI in the long term and not significant positive effect on JCI. The Dow Jones index in the long term positive and significant impact on JCI while the KOSPI stock index and fluctuations in the US $ / IDR in the long term a significant negative effect on JCI. JCI movement was more influenced by stock index Dow Jones (United States) than the stock index of the country's largest export destination other Indonesian and fluctuations in the US $ / IDR. Keywords: Stock Index, Fluctuation US $ / IDR, Stationary, Cointegration, VECM