Pengaruh Indeks Bursa Luar Negeri, Indikator Makroekonomi dan Krisis Ekonomi Global Terhadap Indeks Harga Saham Gabungan di Indonesia

Abstract

The purpose of this study was to analyze the effect of foreign external factors i.e. foreign stock market indicies, world gold prices, and global economic crisis, and domestic external factors i.e. macroeconomic indicators on IHSG. Foreign stock market indices used in this study were DJIA (United States), Nikkei 225 (Japan) and DAX (Germany), while the macroeconomic indicators used included BI rate, inflation rate, and exchange rate of rupiah to USD. Global economic crises involved Subprime Mortgage (America) and European soverign debt (Europe) proxied by dummy crises. The analytical method used in this study was multiple regression analysis on monthly data of 2007-2015 period. The results of this study indicate that DJIA and Nikkei 225 had positively significant effects on IHSG. BI rate, exchange rate of rupiah to USD, and dummy crisis had negative effects on IHSG. Meanwhile, DAX, inflation rate, and world gold price had no significant effects on IHSG.

Keywords: foreign stock market indices, macroeconomic indicators, global economic crisis, multiple regression analysis

Abstrak: Penelitian ini bertujuan menganalisis pengaruh faktor eksternal ekonomi luar negeri yaitu indeks harga saham luar negeri, harga emas dunia dan krisis ekonomi global dan faktor eksternal dalam negeri, yaitu indikator makroekonomi terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia. Indeks harga saham luar negeri yang digunakan adalah DJIA (Amerika), Nikkei 225 (Jepang) dan DAX (Jerman). Indikator makroekonomi yang digunakan adalah BI rate, Inflasi dan Nilai Tukar rupiah terhadap USD. Krisis ekonomi global meliputi krisis Subprime mortgage (Amerika) dan European Soverign Debt (Eropa) yang diproxy oleh dummy krisis. Analisis menggunakan model regresi berganda dan data bulanan periode 2007-2015. Hasil penelitian menunjukkan DJIA dan Nikkei 225 berpengaruh signifikan positif terhadap IHSG. BI rate, nilai tukar rupiah terhadap USD dan dummy krisis berpengaruh signifikan negatif terhadap IHSG. Sedangkan variabel DAX, inflasi dan harga emas dunia tidak berpengaruh signifikan terhadap IHSG.

Kata kunci: indeks bursa luar negeri, indikator makroekonomi, krisis ekonomi global, analisis regresi berganda