PENGARUH INFLASI DAN NILAI TUKAR RUPIAH TERHADAP TINGKAT EFISIENSI PASAR MODAL INDONESIA

Abstract

The purpose of this study is to analyze how inflation and exchange rate affect the efficiency of the stock market by using Indonesia Stock Exchange indices. Stock market indices that are used consist ofcomposite index (MG), LQ 45, andsectoral indices. The aims of this study are addressed using time-series data covering the period 2000-2008. One hundred and eight samples are used in this study. Data analyzed with the classic assumption test and the examination of the hypothesis using model ofmultiple linear regression. Results show that inflation andexchange rate does not have impact to the stock price indices. Inflation is found to have both positive and negative impact and not significant to stock price indices. Exchange rate is also found to have both positive andnegative impact andnot significant to stock price indices. This results can be concluded that Indonesia Stock Exchange tends to be not efficient. Key words: efficiency, inflation, exchange rate, indonesian stock exchange, stock market indices, time-series.