Pengaruh Kapitalisasi Pasar Saham dan Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia

Abstract

this research aimed to analyze the impact of stock market capitalization and macroeconomic variables on indonesia Composite index (iCi) and formulate recommendations of strategies to enhance stock market capitalization. the analysis of macroeconomic data variables covered the inflation rate, oil price, gold price, and Hang Seng Index from 2008 to 2017. the model used in this research was error Correction Model (eCM) and analytical hierarchy process (ahp). the results showed that in general, all independent variables in the long run had a positively significant impact, except for inflation which had a negatively significant impact. In short run, stock market capitalization, inflation, world oil price, and HSI had a significant impact, while gold price had an insignificant impact. Stock market capitalization and HSI had a positive impact, while inflation and world oil price had a negative impact. Error Correction Term coefficient had an impact of-0.207329 with a negatively significant direction at the significance level of 5%. It showed that the adjustment mechanism process in the long run equilibrium lasted for 5 quarters. stock market capitalization and hsi had a positive impact, while inflation and world oil price had a negative impact. Stock market capitalization, both in short and long run, had a positively significant and more dominant impact than that of macroeconomic variables. in consequence, a strategy to enhance stock market capitalization in idX is required. Based on the results of ahp vertical analysis, factors that become a priority in the strategy is the policy (monetary and capital markets). the recommended alternative strategy encourages the increase in large cap stock investments.

The Determinant of McMoran Stock Price

“…ROA, ROE, EPS, WCTO, gold price, oil price, Fed rate, systematic risk and government policy on FCX stock prices can be seen in Prob(F-statistic) 0.000000 Information: ***) Significant at the 1% level; **) Significant at the 5% level; *) significant at the 10% level interest rates, world oil prices and gold prices had an effect on the IDX. And (Hidayat, Firdaus and Sanim, 2019) disclose the significant positive effect of gold prices on the IDX.…”

“…The results of this study are in line with (Suharno and Indarti, 2014) who revealed that the Indonesian bank interest rate, world oil prices and gold prices influence the IDX. And (Hidayat, Firdaus and Sanim, 2019) disclose the significant positive effect of gold prices on the IDX. disequilibrium was corrected in the current period by 67%.…”

“…<0.05). Hidayat et al (2019) the requirements of the ECM model have been met because the resulting ECT Error Correction Term coefficient (-1) is -0.672702 and the Prob (F-statistic) 0.00000 is less than 0.05, indicating that the previous period…”

“…(Srinivasan and Prakasam, 2015) used the ARDL and Granger Causality methods on gold prices, stock prices, and currency exchange rate changes in India from 1990 to April 2014, explained that the price of gold, stock prices, and exchange rates tend to have a long-term reciprocal relationship. (Hidayat, Firdaus and Sanim, 2019) conducted research on the effect of the stock market and macroeconomic capitalization on stock prices in the 2008-2017 period using ECM revealed that stock market capitalization, oil prices, gold prices and the Hang Seng index in general, have a positive and significant effect on the IDX, only inflation has a significant negative effect. In the short-term estimation, the influencing variables are stock market capitalization, inflation, world oil prices and the Hang Seng Index, while world gold prices do not effect.…”

Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018

“…Pertumbuhan IHSG memberikan pengaruh yang positif terhadap nilai kapitalisasi pasar. Nilai ini merupakan perkalian dari total jumlah saham beredar dengan harga dari tiap saham (Hidayat et al 2019) dan saham-saham yang memiliki nilai kapitalisasi pasar tinggi merupakan saham-saham berkinerja baik yang memiliki volume penjualan saham dan harga saham yang tinggi sehingga akan mendorong nilai kapitalisasi sektor maupun indeks secara keseluruhan. Nilai kapitalisasi pasar terhadap sektor-sektor yang berada di dalam IHSG selama periode 2015-2018 ditunjukkan oleh Gambar 3 (OJK 2015(OJK , 2016(OJK , 2017(OJK , 2018 Keterangan: E(R i ) (expected return aset i); R it (return aset i dari periode t); n (jumlah periode penelitian); t (periode).…”