ANALISIS PENGARUH NILAI TUKAR DOLLAR/ RUPIAH, HARGA EMAS DUNIA, HARGA MINYAK DUNIA, INDEKS DJIA, INDEKS NIKKEI, PEMBELIAN BERSIH ASING TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PERIODE TAHUN 2003 - 2013

Abstract

Despite global economy has not recovery yet, the growth of investment activity in financial sector rises quite rapidly. Indonesia as emerging markets that quite susceptible to the global economy’s conditions. To determine the condition of a country's financial markets is through the capital market that can be seen from the Composite Stock Price Index (CSPI). Factors that affect the movement of a country's stock index are changing of central bank interest rates, the stock price index of regional countries, the global economy situation, the energy prices level, currency exchange rates, politics stability of a country (Blanchard, 2006). The purpose of this study is analysing the effect of the exchange rate of USD / IDR, the World Gold Price, the World Oil Price, the DJIA index, the Nikkei Index and the Foreign Net Purchases to the Composite Stock Price Index (IHSG) in Indonesia Stock Market (BEI) in 2003 to 2013 by using ARCH-GARCH models. We use secondary data from Bank Indonesia, Indonesia Stock Exchange, Stock Market Data Center, The London Bullion Market Association, the US Energy Information Administration, and Yahoo Finance. We use monthly data from the JCI closing price, the DJIA index closing price, the Nikkei index closing price, the middle rate of USD / IDR, the world gold prices, the world oil price and Net Purchases by Foreign Investors. This study show that the exchange rate of USD / IDR, the World Gold Price, the World Oil Prices, and Dow Jones Index have positive and significant impact on IHSG. This condition indicates that increasing of those four variables value will raise IHSG value, on the other hand decreasing of those variables value will weaken IHSG value. The Nikkei 225 and Foreign Net Purchases have negative effect but not significant to IHSG.