ANALISIS RENTANG WAKTU INDEKS HARGA PADA PASAR MODAL DAN HUBUNGANNYA DENGAN VARIABEL EKONOMI MAKRO INDONESIA (Studi Ekonometrika Model Dinamis Vector Error Correction)

Abstract

The goal of this research is to know how the macro economic variable influence composite stock price index (IHSG) in short term and long term. The analysis method used in this research is vector error correction model (VECM) with impulse response and variance decomposition. The result of impulse response shows that IHSG positive responded presence Inflation response, IHSG is positive responded presence SBI’s Discount Rate (SBI) response, IHSG is negative responded presence Exchange Rate Rupiah to US Dollar (Rupiah) response and IHSG if positive responded presence Money Supply response. The result of variance decomposition shows that the inflation contribution in explaining IHSG until 0,7%, the Discount Rate contribution in explain IHSG until 2,4%, the Exchange Rate Rupiah to US Dollar contribution in explaining IHSG until 14,2%, and the Money Supply contribution in explain IHSG until 6,5%. That condition show that policy variable is responded fast by Exchange Rate Rupiah to US Dollar than the other variables .

Keyword : composite stock price index, inflation, SBI’s Discount Rate, Exchange Rate Rupiah to US Dollar and Money Supply.