Determinan Indeks Harga Saham Gabungan (IHSG) Jangka Pendek dan Panjang

https://doi.org/10.35912/sakman.v2i1.1422
Published: Nov 4, 2022

Abstract:

Purpose: This study aims to analyze the effect of stock market capitalization and external factors on the Composited Stock Price Index (IHSG).

Research methodology: This study uses secondary data with the type of time series data obtained from the publication of the official website of The Otoritas Jasa Keuangan (OJK), U.S. Energy Information Administration (EIA), London Bullion Market Association (LBMA) and Yahoo Finance for the period January 2011 - December 2020. The model used in this study is the Error Correction Model (ECM).

Results: The results showed that all independent variables in the short term had a significant effect on The IHSG. Stock market capitalization, world oil prices and The Hang Seng Index have a positive effect, while world gold prices have a negative effect. The Error Correction Term (ECT) has a coefficient of -0.2045 with a significant negative direction with a 5% confidence level. Shows that the Adjustment Mechanism Processes in the long-term balance lasts for 20 months.

Keywords:
1. ECM
2. Hang Seng Index
3. IHSG
4. Stock Market Capitalization
5. World Gold Prices
6. World Oil Prices
Authors:
1 . Heru Wahyudi
2 . Kanti Rahayu
View PDF
How to Cite
Wahyudi, H., & Rahayu, K. (2022). Determinan Indeks Harga Saham Gabungan (IHSG) Jangka Pendek dan Panjang. Studi Akuntansi, Keuangan, Dan Manajemen, 2(1), 15–28. https://doi.org/10.35912/sakman.v2i1.1422
Download Citation
  1. Endnote/Zotero/Mendeley (RIS)
  2. BibTeX

Downloads

Download data is not yet available.
Issue & Section
Vol. 2 No. 1 (2022): Juli
Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

References

    Agrawal, S., & Rangasamy, S. (2019). Impact of Macro-Economic factors on the Indian stock market. International Journal of Economic Research, 14(15), 551–562.

    Ali, M. B. (2013). The Impact of Selected Micro and Macroeconomic Variables on The Stock Prices of Emerging Stock Market: A Case of Dhaka Stock Exchange (DSE).

    Argamaya, & Sam, N. A. (2017). Analisis Pengaruh Tingkat Inflasi, Nilai Kurs Dollar (Usd/Idr ), Indeks Nikkei 225, Dan Indeks Hang Seng Terhadap Indeks Harga Saham Gabungan Periode 2009-2014. Media Riset Akuntansi, 6(1), 22–42.

    Arsyi, F. R., Nurmatias, & Mulyantini, S. (2021). Analisis Kausalitas Indeks Harga Saham Global dengan Indeks Harga Saham Gabungan. KORELASI (Konferensi Riset Nasional Ekonomi, Manajemen, Dan Akuntansi), 2, 213–229.

    Basuki, A. T., & Prawoto, N. (2016). Analisis Regresi: Dalam Penelitian Ekonomi & Bisnis (Dilengkapi Aplikasi SPSS & Eviews). Raja Grafindo Persada.

    Blanchard, O., & Sheen, J. (2013). Macroeconomics?: Australasian Edition (Editian 4). Pearson Australia.

    Damajanti, A., Rosyati, & Yulianti. (2018). The Effect Of Global Stock Index And Rupiah Exchange Rate On Indonesian Composite Stock Price Index (CSPI) In Indonesian Stock Exchange (IDX). Economics & Business Solutions Journal, 2(2), 49–58.

    Fortuna, B. (2016). Hubungan antara Indeks Harga Saham dengan Indikator Makro Ekonomi: Kajian Teori. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 5(1).

    Fuad, F., & Yuliadi, I. (2021). Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Journal of Economics Research and Social Sciences, 5(1), 27–41. https://doi.org/10.18196/jerss.v5i1.11002

    Giri, A. K., & Joshi, P. (2017). The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis. Studies in Business and Economics, 12(1). https://doi.org/10.1515/sbe-2017-0005

    Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah Terhadap Indeks Harga Saham Gabungan Pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 85–93.

    Hasanah, E. U., & Sunyoto, D. (2013). Pengantar Ilmu Ekonomi Makro (Teori dan Soal) Edisi Terbaru. Yogyakarta: CAPS (Center for Academic Pubishing Service).

    Hidayat, A. K., Firdaus, M., & Sanim, B. (2019). Pengaruh Kapitalisasi Pasar Saham dan Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Jurnal Aplikasi Bisnis Dan Manajemen, 5(2), 332–345. https://doi.org/10.17358/jabm.5.2.332

    Kusumawati, D. A., & Asandimitra, N. (2017). Impact of Global Index , Gold Price and Macro Economic Variable for Indonesia Composite Index. Research Journal of Finance and Accounting, 8(2), 53–62.

    Levy, H., & Marshall, S. (1970). International Diversification of Investment Portfolios. The American Economic Review, 60(4), 668–675. http://www.jstor.org/stable/1818410

    Mauliano, D. A. (2009). Analisis Faktor-Faktor Yang Mempengaruhi Pergerakan Indeks Harga Saham Gabungan (IHSG) DI Bursa Efek Indonesia. Jurnal Skripsi Universitas Gunadarma., 1–16.

    Mulyono, M. (2015). Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia. Binus Business Review, 6(2), 330–339. https://doi.org/10.21512/bbr.v6i2.982

    Raza, N., Jawad Hussain Shahzad, S., Tiwari, A. K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49. https://doi.org/10.1016/j.resourpol.2016.06.011

    Riantani, S., & Tambunan, M. (2013). Analisis Pengaruh Variabel Makroekonomi dan Indeks Global terhadap Return Saham. Seminar Nasional Teknologi Informasi & Komunikasi, 2013(16).

    Salim, J. F., Jamal, A., & Seftarita, C. (2017). Pengaruh Faktor Dalam dan Luar Negeri Terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia. Jurnal Ekonomi Dan Kebijakan Publik Indonesia, 4(1), 35–48.

    Shabbir, A., Kousar, S., & Batool, S. A. (2020). Impact of gold and oil prices on the stock market in Pakistan. Journal of Economics, Finance and Administrative Science, 25(50). https://doi.org/10.1108/JEFAS-04-2019-0053

    Sudirman. (2015). Pasar Modal dan Manajemen Portofolio. Sultan Amai Press.

    Sunariyah. (2017). Pengantar Pengetahuan Pasar Modal Edisi Kelima. Bandung: Afabeta. In Pengantar Pengetahuan Pasar Modal Edisi Kelima. Bandung: Afabeta.

    Suparmun, H. (2012). Keterkaitan Dinamis Pasar Saham Indonesia dan Asia Pasifik. In Jurnal Keuangan dan Perbankan (Vol. 16, Issue 1).

    Surbakti, E. H., Achsani, N. A., Nur, T., & Maulana, A. (2016). The impact of macroeconomic variables on JCI’s stock return volatility in pre and post global economic crisis. International Journal of Scientific and Research Publications, 6(3).

    Tandelilin, E. (2017). Pasar Modal?: Manajemen Portofolio & Investasi. In Yogyakarta?: Konisius.

    Tursoy, T., & Faisal, F. (2017). The Impact Of Gold And Crude Oil Prices On Stock Market In Turkey: Empirical Evidences From ARDL Bounds Test And Combined Cointegration. Resources Policy, 55. https://doi.org/10.1016/j.resourpol.2017.10.014

    Widarjono, A. (2013). Ekonometrika: Pengantar dan Aplikasinya Disertai Panduan Eviews. In UPP STIM YKPN (Keempat). UPP STIM YKPN.

  1. Agrawal, S., & Rangasamy, S. (2019). Impact of Macro-Economic factors on the Indian stock market. International Journal of Economic Research, 14(15), 551–562.
  2. Ali, M. B. (2013). The Impact of Selected Micro and Macroeconomic Variables on The Stock Prices of Emerging Stock Market: A Case of Dhaka Stock Exchange (DSE).
  3. Argamaya, & Sam, N. A. (2017). Analisis Pengaruh Tingkat Inflasi, Nilai Kurs Dollar (Usd/Idr ), Indeks Nikkei 225, Dan Indeks Hang Seng Terhadap Indeks Harga Saham Gabungan Periode 2009-2014. Media Riset Akuntansi, 6(1), 22–42.
  4. Arsyi, F. R., Nurmatias, & Mulyantini, S. (2021). Analisis Kausalitas Indeks Harga Saham Global dengan Indeks Harga Saham Gabungan. KORELASI (Konferensi Riset Nasional Ekonomi, Manajemen, Dan Akuntansi), 2, 213–229.
  5. Basuki, A. T., & Prawoto, N. (2016). Analisis Regresi: Dalam Penelitian Ekonomi & Bisnis (Dilengkapi Aplikasi SPSS & Eviews). Raja Grafindo Persada.
  6. Blanchard, O., & Sheen, J. (2013). Macroeconomics?: Australasian Edition (Editian 4). Pearson Australia.
  7. Damajanti, A., Rosyati, & Yulianti. (2018). The Effect Of Global Stock Index And Rupiah Exchange Rate On Indonesian Composite Stock Price Index (CSPI) In Indonesian Stock Exchange (IDX). Economics & Business Solutions Journal, 2(2), 49–58.
  8. Fortuna, B. (2016). Hubungan antara Indeks Harga Saham dengan Indikator Makro Ekonomi: Kajian Teori. Jurnal Ilmiah Mahasiswa FEB Universitas Brawijaya, 5(1).
  9. Fuad, F., & Yuliadi, I. (2021). Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange. Journal of Economics Research and Social Sciences, 5(1), 27–41. https://doi.org/10.18196/jerss.v5i1.11002
  10. Giri, A. K., & Joshi, P. (2017). The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis. Studies in Business and Economics, 12(1). https://doi.org/10.1515/sbe-2017-0005
  11. Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah Terhadap Indeks Harga Saham Gabungan Pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 85–93.
  12. Hasanah, E. U., & Sunyoto, D. (2013). Pengantar Ilmu Ekonomi Makro (Teori dan Soal) Edisi Terbaru. Yogyakarta: CAPS (Center for Academic Pubishing Service).
  13. Hidayat, A. K., Firdaus, M., & Sanim, B. (2019). Pengaruh Kapitalisasi Pasar Saham dan Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Jurnal Aplikasi Bisnis Dan Manajemen, 5(2), 332–345. https://doi.org/10.17358/jabm.5.2.332
  14. Kusumawati, D. A., & Asandimitra, N. (2017). Impact of Global Index , Gold Price and Macro Economic Variable for Indonesia Composite Index. Research Journal of Finance and Accounting, 8(2), 53–62.
  15. Levy, H., & Marshall, S. (1970). International Diversification of Investment Portfolios. The American Economic Review, 60(4), 668–675. http://www.jstor.org/stable/1818410
  16. Mauliano, D. A. (2009). Analisis Faktor-Faktor Yang Mempengaruhi Pergerakan Indeks Harga Saham Gabungan (IHSG) DI Bursa Efek Indonesia. Jurnal Skripsi Universitas Gunadarma., 1–16.
  17. Mulyono, M. (2015). Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia. Binus Business Review, 6(2), 330–339. https://doi.org/10.21512/bbr.v6i2.982
  18. Raza, N., Jawad Hussain Shahzad, S., Tiwari, A. K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49. https://doi.org/10.1016/j.resourpol.2016.06.011
  19. Riantani, S., & Tambunan, M. (2013). Analisis Pengaruh Variabel Makroekonomi dan Indeks Global terhadap Return Saham. Seminar Nasional Teknologi Informasi & Komunikasi, 2013(16).
  20. Salim, J. F., Jamal, A., & Seftarita, C. (2017). Pengaruh Faktor Dalam dan Luar Negeri Terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia. Jurnal Ekonomi Dan Kebijakan Publik Indonesia, 4(1), 35–48.
  21. Shabbir, A., Kousar, S., & Batool, S. A. (2020). Impact of gold and oil prices on the stock market in Pakistan. Journal of Economics, Finance and Administrative Science, 25(50). https://doi.org/10.1108/JEFAS-04-2019-0053
  22. Sudirman. (2015). Pasar Modal dan Manajemen Portofolio. Sultan Amai Press.
  23. Sunariyah. (2017). Pengantar Pengetahuan Pasar Modal Edisi Kelima. Bandung: Afabeta. In Pengantar Pengetahuan Pasar Modal Edisi Kelima. Bandung: Afabeta.
  24. Suparmun, H. (2012). Keterkaitan Dinamis Pasar Saham Indonesia dan Asia Pasifik. In Jurnal Keuangan dan Perbankan (Vol. 16, Issue 1).
  25. Surbakti, E. H., Achsani, N. A., Nur, T., & Maulana, A. (2016). The impact of macroeconomic variables on JCI’s stock return volatility in pre and post global economic crisis. International Journal of Scientific and Research Publications, 6(3).
  26. Tandelilin, E. (2017). Pasar Modal?: Manajemen Portofolio & Investasi. In Yogyakarta?: Konisius.
  27. Tursoy, T., & Faisal, F. (2017). The Impact Of Gold And Crude Oil Prices On Stock Market In Turkey: Empirical Evidences From ARDL Bounds Test And Combined Cointegration. Resources Policy, 55. https://doi.org/10.1016/j.resourpol.2017.10.014
  28. Widarjono, A. (2013). Ekonometrika: Pengantar dan Aplikasinya Disertai Panduan Eviews. In UPP STIM YKPN (Keempat). UPP STIM YKPN.