Analisis Pengaruh Kondisi Makro Ekonomi Amerika Serikat dan Harga Minyak Dunia terhadap Dow Jones Industrial Average serta Pengaruh Kondisi Makro Ekonomi Indonesia, Harga Minyak Dunia dan Dow Jones Industrial Average terhadap Bursa Efek Indonesia (BEI) Periode 2002 – 2009

Abstract

The purpose of this study is to analyze the influence of simultaneous model from the independent variables United States IPI, United States inflation, FED rate and oil price toward DJIA Index and Indonesian IPI, Indonesian Inflation, BI rate, oil price and DJIA Index toward IHSG in 2002-2009 period. Research using purposive sampling method for taking samples. The selected sample is the entire monthly data DJIA Index, United States IPI, United States Inflation, Fed Rate, oil prices, IHSG, Indonesian IPI, Indonesian Inflation and BI rate from January 2002 - December 2009. Data obtained from the publication of a variety of sources, namely: www.stlouisfed.org, www.bls.gov dan.finance.yahoo.com, www.bps.go.id and www.bi.go.id. Analysis technique used is two stage least square (2sls) analysis. In regression analysis, the research model should be BLUE (Best Linear Unbiased Estimated). Therefore, in order to achieve the requirements BLUE, then the test should be done with normality test, autocorelation, multicolinearity and heteroscedasticity before doing the analysis. Results of analysis showed that the predictive ability of United States IPI, United States inflation, FED rate and oil price toward DJIA Index is 76.4% and Indonesian IPI, Indonesian Inflation, BI rate, oil price and DJIA Index toward IHSG is 79.3% .and it shown by adjusted R2 value. Based on the test statistic F indicates that the variables United States IPI, United States inflation Amerika Serikat, FED rate and oil price simultantly affect DJIA Index and Indonesian IPI, Indonesian Inflation, BI rate, oil price and DJIA Index simultantly affect IHSG for the period 20032007 because has a significance value less than 5% of Alpha value. Meanwhile, based on statistical t test showed that the United States IPI and oil price has a significant positive effect toward DJIA index at 5% significance level. While the United States inflation has significant negative toward DJIA Index and FED rate is not significantly affect DJIA Index. In model 2 showed that the Indonesian IPI, the oil price and the DJIA index has a significant positive effect toward IHSG. Meanwhile, Indonesian Inflation and the BI rate does not significantly affect IHSG.