PENGARUH VOLUME PERDAGANGAN, SUKU BUNGA, DAN KURS TERHADAP INDEKS LQ45 BESERTA PREDIKSI INDEKS LQ45 (MODEL ARIMA)

Abstract

This study aims to analyze the influence of trading volume, interest rate, and exchange rate towards LQ45 Index with period 2006 until 2010 and estimate the shares’ price of LQ45 Index by using ARIMA model, in which the data was taken from January 2010 to December 2010. It was obtained from JSX Monthly Statistic, Bank Of Indonesia by using monthly and daily data period, from January 04 2010 to December 30, 2010. Population in this study was LQ45 Index. Sampling technique was used Purposive sampling by using data from year 2006 until 2010 and January 04, 2010 to December 30, 2010. Analytical technique used was multiple regression analysis purposing to obtain the overall description about the influence between once variable to another variable. After tehe regression technique, the prediction using ARIMA models will be analyzed also. The findings of this study showed that trading volume did not influence significantly towards LQ45 Index, while interest rate and exchange rate influenced significantly negative towards LQ45 Index. In estimating LQ45 Index, it could be concluded that estimating shares’ price by using ARIMA and testing by using t differential-test had the finding that no differences significantly.