Analisis Kausalitas Antara Ihsg, Indeks Dow Jones Industrial Average Dan Nilai Tukar Rupiah/Us$

Abstract

Penelitian ini bertujuan untuk menginvestigasi hubungan kausalitas antara IHSG, nilai tukar rupiah/US$ dan Indeks Global yang diwakili oleh Indeks Dow Jones Industrial Average. Penelitian mengambil sampel nilai-nilai variabel yang diteliti dengan periode data bulanan dalam periode Juli 2005-Desember 2018. Alat analisis menggunakan uji Engle-Granger untuk menginvestigasi hubungan kausalitas. Hasil Uji kausalitas Granger memperlihatkan terdapat hubungan dua arah atau saling mempengaruhi antara IHSG dengan nilai rupiah/US$. Selain itu ditemukan pula bahwa pergerakan Indeks Dow Jones Industrial secara signifikan mempengaruhi kepada pergerakan IHSG dan nilai tukar rupiah/US$, tetapi sebaliknya pergerakan yang terjadi pada IHSG dan nilai tukar tidak mampu mempengaruhi gerakan indeks Dow Jones Industrial. Hasil Uji kointegrasi Johansen memperlihatkan bahwa semua variabel penelitian mempunyai hubungan keseimbangan jangka panjang yang signifikan. This study aims to investigate the causality relationship between the CSPI, the exchange rate of rupiah / US $ and the Global Index represented by the Dow Jones Industrial Average. The study sampled variable values studied with monthly data periods in the period July 2005-December 2018. The analysis tool uses the Engle-Granger test to investigate causality relationships. Granger causality test results show there is a two-way relationship or influence each other between the CSPI with the value of rupiah / US $. In addition it was also found that the movement of the Dow Jones Industrial Index significantly affected the movement of the JCI and the exchange rate of the rupiah / US $, but conversely the movements that occurred on the JCI and the exchange rate were unable to influence the movement of the Dow Jones Industrial index. Johansen's cointegration test results show that all research variables have a significant long-term balance relationship.

Cointegration of Macroeconomics Variables and Dow Jones Industrial Average Index on the Composite Stock Price Index In 2015-2019

“…The co-movement between several capital market countries caused changes that will affect other countries indexes, including the Composite Stock Price Index, in the Dow Jones Industrial Average index. Research to support the long-term relationship between the Dow Jones Industrial Average Index and the Composite Stock Price Index for 2005-2018 shows this (Natsir et al, 2019). The long-term relationship between the industrial average Dow Jones index and the Composite Stock Price Index is also supported by the research Yanuar (2013); Nurwulandari & Fuadi (2013); Wibowo (2012); dan Octavia & Wijaya (2020).…”

“…The Dow Jones Industrial average index (DJAI) reflects the results of 30 reputable companies in the United States (Natsir et al, 2019). This index is often used by investors as the first index in the world based on company fundamental values to evaluate the status of global capital stock markets (Natsir et al, 2019). The influence behind the Dow Jones average Industrial Index and the Composite Stock Price Index is based on the co-movement theory of capital market interdependence (Hilmy & Isbanah, 2020).…”

“…The co-integration of the Dow Jones Average Industrial Index into the Composite Stock Price Index is replied by Natsir et al (2019); Yanuar (2013); dan Nurwulandari & Fuadi (2013). But Ghiffari et al (2018) stated that the two stock indices have no relationship.…”

“…Investors tend to try to lower the risks of investment. A number of studies, including Natsir et al (2019); Juliodinata et al (2019); Mahdi (2010); and Adesanmi et al (2017) have supported co-integration among exchange rate and the Composite Stock price index. However, Mukhlis et al (2018) and Abidin et al( 2013) admit that the exchange rate and the Composite Stock Pricing Index are not integrated.…”

“…Inflation increases can affect the Composite Stock Price Index as well as they cause the price of goods to grow, which will also increase production costs for the company and then decreases corporate profit to impact shareholder dividends Inflation increases (Natsir et al, 2019). There are several studies, namely Juliodinata et al (2019) ; Adesanmi et al (2017); and Rini & Raja (2016) which demonstrate the co-integrity of both.…”