HUBUNGAN KAUSALITAS ANTARA NILAI TUKAR DAN INDEKS HARGA SAHAM DI ASEAN-4

KHOERUNISA, . (2021) HUBUNGAN KAUSALITAS ANTARA NILAI TUKAR DAN INDEKS HARGA SAHAM DI ASEAN-4. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Berdasarkan teori yang ada nilai tukar dan indeks harga saham memiliki hubungan sebab-akibat diantara keduanya. Mengetahui hubungan yang pasti diantara nilai tukar dan indeks harga saham menjadi hal yang penting untuk dijadikan dasar bagi pembuat kebijakan maupun para investor dalam membuat keputusan berinvestasi. Penelitian ini bertujuan untuk mengetahui hubungan kausalitas diantara nilai tukar dan indeks harga saham di ASEAN-4 pada tahun 2012-2020. Empat negara yang digunakan dalam penelitian ini yaitu Indonesia, Malaysia, Filipina, dan Thailand. Penelitian ini menggunakan data sekunder dengan menggunakan teknik analisis Vector Autoregression (VAR) dengan estimasi model Vector Error Correction Model (VECM). Penelitian ini menemukan hasil penelitian bahwa terjadi hubungan satu arah dari indeks harga saham terhadap nilai tukar di Indonesia, Malaysia, dan Filipina. Sedangkan terjadi hubungan satu arah dari nilai tukar terhadap indeks harga saham di negara Thailand. Kata kunci: ASEAN, Nilai tukar, dan Indeks Harga Saham KHOERUNISA, Causality Relation Between Exchange Rates and Stock Price Index in ASEAN-4. Economic Education, Faculty of Economics, State University of Jakarta, 2021. Based on the existing theory, the exchange rate and the stock price index have a causal relation. Knowing the exact relation between the exchange rate and the stock price index is important as a basis for policy makers and investors to make decisions. This study aims to see the causality between the exchange rate and the stock price index in ASEAN-4 2012-2020. The four countries used in this research are Indonesia, Malaysia, the Philippines and Thailand. This study uses secondary data using the Vector Autoregression (VAR) analysis technique with the Vector Error Correction Model (VECM) estimation model. This study found that there is a one-way relationship from the stock price index to the exchange rate in Indonesia, Malaysia and the Philippines. Meanwhile, there is a one-way relationship from the exchange rate to the stock price index in Thailand. Keywords: ASEAN, Exchange Rate, and Stock Price Index

Item Type:	Thesis (Sarjana)
Additional Information:	1). Prof. Dr. Harya Kuncara Wiralaga, S.E., M.Si ; 2). Dicky Iranto, S.E., M.SE
Subjects:	Ilmu Sosial > Teori Ekonomi Ilmu Sosial > Sejarah Ekonomi, Kondisi Ekonomi
Divisions:	FE > S1 Pendidikan Ekonomi
Depositing User:	Users 11371 not found.
Date Deposited:	27 Aug 2021 07:42
Last Modified:	27 Aug 2021 07:42
URI:	http://repository.unj.ac.id/id/eprint/17547

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