PENGARUH INDEKS BURSA ASING, VARIABEL MAKRO EKONOMI, DAN HARGA KOMODITAS TERHADAP INDEKS HARGA SAHAM GABUNGAN TAHUN 2009-2018

Abstract

This research aims to analyze the factors that effects Jakarta Composite Index (JCI) in 2008-2019 period. There are 6 independent variabels in this research. Standard and Poor’s 500 Index (S&P 500) and Shanghai Stock Exchange Composite Index (SSEC) as proxy of Foreign Capital Market, Inflation and Exchange Rate as proxy of Macro Economics Variable, and also Crude Oil West Texas Intermediate Price (WTI) and Crude Oil Price (CPO) as proxy of variabele of Commodity price. The population used in this research consisted of Stock Market Index from Indonesia, United States of America, and China, Inflation, Exchange Rate, Crude Oil WTI Price, and Crude Palm Oil price in 2009-2018 period. The data used in this research obtained from Bloomberg Terminal and the type of data is Time Seris from January 2009-December 2018. Analysis technique used in this research is Multiple Linear Regression and classic assumption test that includes a test of normality test, multicollinearity test, autucorrelation test, and heteroskedastisity test. The result of this study shows that independent variables jointly (F Test) affect Jakarta Composite index with a significance level of 0,00, while partaially (t test) showed that S&P 500 Index and Crude Oil WTI Price has positive effect and significant, Index SSEC, Inflation, and Exchange rate shows the negative and significant effect, while CPO price has no significant effect on IHSG.