PENGARUH INDEKS GLOBAL TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) : BUKTI EMPIRIS MENGGUNAKAN DATA HARIAN

Najibullah Najibullah

doi:10.33059/jmas.v4i4.8303

Najibullah Najibullah Politeknik Kutaraja

DOI: https://doi.org/10.33059/jmas.v4i4.8303

Keywords: Sentiment, inter-correlation, ARMAX

Abstract

This research aims to test the effect of global indeks daily movement on IHSG. The research choose S&P500 index as a global proxy and Hangseng(HSI) and Nikkei 225 (N225) as regional proxies. Using daily end of day closing data from 2015 to 2020, the study found that S&P500 index has positif and significant effect on IHSG. Meanwhile, Hangseng index is also found to have a positif and signficant effect on IHSG. On the other hand, consistent with previous finding, data used in this study is also unable to prove that there is a significant effect from Nikkei 225 indeks on IHSG

References

Adesanmi, A. A., & Jatmiko, D. P. (2017). The Impact of Macroeconomic Variables on an Emerging Economy Stock Market: Evidence from Jakarta Composite Index, Indonesia. International Journal of Economic Perspectives, 11(2).

Aditya, A., Sinaga, B. M., & Maulana, TB. A. (2018). Pengaruh Indeks Bursa Luar Negeri, Indikator Makroekonomi dan Krisis Ekonomi Global Terhadap Indeks Harga Saham Gabungan di Indonesia. Jurnal Aplikasi Bisnis dan Manajemen. https://doi.org/10.17358/jabm.4.2.284

Allen, F., & Gale, D. (2000). Financial Contagion. Journal of Political Economy, 108(1), 1–33. https://doi.org/10.1086/262109

Assagaf, A., Murwaningsari, E., Gunawan, J., & Mayangsari, S. (2019). The effect of Macro Economic variables on stock return of companies that listed in stock exchange: Empirical evidence from Indonesia. International Journal of Business and Management, 14(8), 108–116. https://doi.org/10.5539/ijbm.v14n8p108

Bierens, H. J. (1987). Armax model specification testing, with an application to unemployment in the Netherlands. Journal of Econometrics, 35(1), 161–190. https://doi.org/10.1016/0304-4076(87)90086-8

Brooks, C. (2014). Introductory econometrics for finance (Third edition). Cambridge University Press.

Chandrawinata, V., & Handoyo, S. E. (2022). Pengaruh Suku Bunga, Indeks Dow Jones, dan Indeks Hang Seng terhadap Pergerakan IHSG di BEI. Jurnal Manajerial Dan Kewirausahaan, 4(3), 637–646. https://doi.org/10.24912/jmk.v4i3.19701

Forbes, K. J., & Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Comovements. The Journal of Finance, 57(5), 2223–2261. https://doi.org/10.1111/0022-1082.00494

Herlianto, D., & Hafizh, L. (2020). Pengaruh Indeks Dow Jones, Nikkei 225, Shanghai Stock Exchange, Dan Straits Times Index Singapore Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI). INOBIS: Jurnal Inovasi Bisnis Dan Manajemen Indonesia, 3(2), 211–229. https://doi.org/10.31842/jurnalinobis.v3i2.133

Hyndman, R. J., & Athanasopoulos, G. (2021). Forecasting: Principles and Practice (3rd ed) (3rd edition). Otexts. https://otexts.com/fpp3/

Hyndman, R. J., & Khandakar, Y. (2008). Automatic time series forecasting: The forecast package for R. Journal of statistical software, 27, 1–22.

Mansur, M. (2005). Pengaruh indeks bursa global terhadap indeks harga saham gabungan (IHSG) pada bursa efek jakarta (BEJ) periode tahun 2000-2002. Sosiohumaniora, 7(3), 203.

Sitompul, E. T. F., & Setyawan, I. R. (2021). Pengaruh Inflasi, Suku Bunga Sbi Dan Jumlah Uang Beredar Terhadap Indeks Harga Saham Gabungan (IHSG) Dengan Model Arch-Garch. Jurnal Manajerial Dan Kewirausahaan, 3(3), 688. https://doi.org/10.24912/jmk.v3i3.13152

Sumitra, R. W. (2019). Pengaruh Suku Bunga, Nilai Tukar Rupiah, Inflasi Dan Harga Minyak Dunia Terhadap Ihsg Di Bei. Jurnal Manajemen Bisnis dan Kewirausahaan, 2(3). https://doi.org/10.24912/jmbk.v2i3.4848

Tsay, R. S. (2014). Multivariate time series analysis: With R and financial applications. Dalam Wiley series in probability and statistics. John Wiley & Sons.

Wahyudi, H., & Ramani, F. (2022). Pengaruh Jangka Pendek dan Jangka Panjang Saham Global terhadap Indeks Harga Saham Gabungan (IHSG) Periode 2015:M01—2020:M12. Reviu Akuntansi, Manajemen, dan Bisnis, 2(1), 15–25. https://doi.org/10.35912/rambis.v2i1.1421

Wuri, J. (2018). FLUKTUASI KURS VALUTA ASING DI BEBERAPA NEGARA ASIA TENGGARA. EXERO : Journal of Research in Business and Economics, 1(1), 1–22. https://doi.org/10.24071/exero.2018.010101