ANALISIS PENGARUH INFLASI DAN NILAI TUKAR TERHADAP HUBUNGAN KAUSALITAS PRODUK DOMESTIK BRUTO DAN INDEKS HARGA SAHAM GABUNGAN DI INDONESIA PERIODE TAHUN 2004-2013

Abstract

This study aims to analyze the relationship between causal or reciprocal relationship between stock market development seen from the Composite Stock Price Index (CSPI) and economic growth as seen from the Gross Domestic Product (GDP) and the effect of inflation and exchange rate variables in the year 2004 to 2013 in Indonesia. During the study period occurs in which relationships between variables are not in accordance with the theories that have been proposed. This is supported by the differences in the results of some previous research results. The study was conducted using monthly data CSPI, GDP, inflation and inflation during the period January 2004 to December 2013, Methods of analysis used in this study is the estimation model stationeritas VECM with test data, using the optimal lag test, Johansen co-integration test, Granger causality test, analysis of IRF and VD analysis. The results of this study indicate a causal relationship between JCI and GDP at 10% significance level. It can be seen from both the probability value that is equal to 0.0009 and 0.0781 which is smaller than the value of . Based on the analysis VECM estimation models, known in the short term, stock index is influenced by the exchange rate of the previous month period is negative and insignificant against JCI. It can be seen from the value of t-test sebsar -0.3786. Meanwhile, GDP and inflation period of the previous month and no significant negative effect on the JCI, and GDP is positive and significant effect on the rate indicated by the value t count each of -0.40187 and -1.22164 where the value is greater than 1.969898 which is the value of the t-table 5%. Analysis IRF (Impulse Response Function) showed that the response given by the GDP and JCI is positive. VD Analysis (Variance Decomposition) indicates that the variable can be explained by the JCI GDP of 0.00% in the first period and continued to increase up to 3.15554% in the period to 10th. While the GDP variable can be explained by the JCI variables of 0.03013% and continues to increase up to 35.5597% in the period to 10th. The results of the t test showed that the variables significantly affected by JCI GDP and exchange rate. It can be seen from probabiilitas value smaller than 0.05. GDP is positive and significant impact on JCI is shown with probability 0.0000. Negative and significant exchange rate indicated by the probability value of 0.0000. Meanwhile, inflation is positive and not significant effect on JCI.