Analisis Pengaruh Suku Bunga SBI, Nilai Kurs, Harga Emas Dunia, Indeks Dow Jones, dan Indeks Hang Seng Terhadap IHSG (Studi Pada BEI Periode 2007-2016)

Abstract

The purpose of this research is to analyze the influence of SBI Interest Rate, Exchange Rate, World Gold Price, Dow Jones and Hang Seng Index on Jakarta Composite Index in 2007-2016 observation period. The analytical method used in this study is multiple regression analysis which is operated by using EViews 9 program. When using multiple regression analysis, the data used must meet the classical assumption test to make the regression equation produced is BLUE (Best, Linear, Unbiased, Estimator). In addition, the test coefficient of determination, F test, and t test. The data used in this study is the monthly data of each research variable in the period 2007-2016. The result of this research indicates that the variable of SBI Interest Rate has a negative influence on IHSG. While the exchange rate variables, World Gold Price, Dow Jones Index, and Hang Seng Index have a positive effect on JCI. The adjusted R-square value is 96.6%, which means that the JCI movement can be explained by 96.6% of the five independent variables. Keyword: IHSG, macro economy, Capital market integration, Dow Jones Index, Hang Seng Index