Pengaruh Makroekonomi dan Indeks Global Terhadap Indeks Harga Saham Gabungan
DOI:
https://doi.org/10.59664/jded.v5i1.13735Keywords:
IHSG; Inflasi; Suku Bunga; Nilai Tukar; Nasdaq 100.Abstract
IHSG merupakan acuan utama dalam menilai kinerja pasar modal di Indonesia. Pergerakan IHSG tidak terlepas dari pengaruh faktor makroekonomi. Maksud dari penelitian ini adalah untuk mengevaluasi dampak inflasi, suku bunga, nilai tukar rupiah, dan Indeks Nasdaq 100 kepada Indeks Harga Saham Gabungan (IHSG) dalam periode observasi dari 2008 sampai 2024 yang berjumlah 204 observasi. Jenis penelitian ini berbentuk time series dengan menggunakan metode penelitian Autoregressive Distributed Lag (ARDL) untuk melihat seberapa berpengaruh masing-masing variabel terhadap IHSG dalam jangka panjang dan jangka pendek. Temuan jangka pendek mengindikasikan bahwa inflasi dan nilai tukar memberikan dampak negatif yang signifikan pada IHSG. Berbanding terbalik, Nasdaq 100 menyumbang pengaruh positif yang signifikan terhadap IHSG. Namun, suku bunga ditemukan tidak memengaruhi IHSG di jangka pendek. Namun pada analisis jangka panjang, hanya variabel nilai tukar yang berpengaruh signifikan negatif. Variabel inflasi, suku bunga, dan Nasdaq 100 tidak memengaruhi pergerakan IHSG dalam jangka panjang.
Keywords : IHSG; Inflasi; Suku Bunga; Nilai Tukar; Nasdaq 100.
Abstract
The Jakarta Composite Index (IHSG) serves as the primary benchmark for evaluating capital market performance in Indonesia. The movement of the IHSG is inseparable from the influence of macroeconomic factors. The purpose of this research is to evaluate the impact of inflation, interest rates, the Rupiah exchange rate, and the Nasdaq 100 Index on the Jakarta Composite Index (IHSG) over the observation period from 2008 to 2024, consisting of 204 observations. This study follows a time-series design using the Autoregressive Distributed Lag (ARDL) method to analyze the extent of each variable's influence on the IHSG in both the long run and the short run. Short-term findings indicate that inflation and the exchange rate have a significant negative impact on the IHSG. Conversely, the Nasdaq 100 contributes a significant positive influence on the IHSG. However, interest rates were found to have no effect on the IHSG in the short term. Furthermore, in the long-term analysis, only the exchange rate variable shows a significant negative effect. The variables of inflation, interest rates, and the Nasdaq 100 do not influence the movement of the IHSG in the long run.
Keywords : IHSG; Inflation; Interest Rate; Exchange Rate; Nasdaq 100
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