ANALISIS PERBEDAAN PENGARUH RETURN DOW JONES, RETURN EUROSTOXX50, NILAI TUKAR, INFLASI, DAN SUKU BUNGA TERHADAP RETURN IHSG SEBELUM DAN SESUDAH KRISIS US SUBPRIME MORTGAGE DAN KRISIS UTANG EROPA (TAHUN 2003-2014)

Abstract

This research aimed to examine the effect of DJIA return, EUROSTOXX50 return, exchange rate, inflation, and interest rate on JCI (IHSG) return. This research also aims to examine the change of structure in the model regression before and after global crisis by taking crisis demarcation in October 2008. The model used in this research is Multiple Linier Regression and Chow Test. The population in this study is JCI (Jakarta Composite Index) return, DJIA (Dow Jones Industrial Average) return, EUROSTOXX50 return, exchange rates, inflation, and interest rate (BI rate). Sample of this research is data period January 2003 until December 2014 with monthly frequency. This research has passed test of classical assumptions which include normality, multicollinearity, autocorrelation, heteroskedasticity. The results show thatDJIA return, EUROSTOXX50 return, inflation, and interest rate affecting JCI return. Chow test result shows change of structures in regression model before and after crisis. Investor can use this finding to predict the effects of changes in foreign capital market and macroeconomic factors in investing.