HARGA SAHAM DAN VARIABEL MIKROEKONOMI : UJI KAUSALITAS T-Y GRANGER STUDI EMPIRIS PADA IHSG DI BURSA EFEK INDONESIA TAHUN 2008-2012.

DENNI YOGA PRADANA, . (2013) HARGA SAHAM DAN VARIABEL MIKROEKONOMI : UJI KAUSALITAS T-Y GRANGER STUDI EMPIRIS PADA IHSG DI BURSA EFEK INDONESIA TAHUN 2008-2012. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

The purpose of this research is to analyze whether there is causal relation between Microeconomic Variables (Price to Book Value (PBV), Price Earnings Ratio (PER), Market Capitalization and Trading Volume) and the Composite Stock Price Index in Indonesia Stock Exchange Period 2008 - 2012. The data used are secondary data obtained from Indonesia Stock Exchange (IDX). The analysis unit in this research is 60 (monthly observations). The analysis in this research is an analysis of time series data. Descriptive analysis showed that Indonesia Stock Market Condition is good and profitable. This is indicated by The market capitalization and trading volume are increase annualy, but it still shows the market Price to Book Value (PBV) and Price Earnings Ratio (PER) are very volatile. The analysis in this research is an analysis of time series data. From the test results of this study, it is known that there are bi-directional causal relation between Price to Book Value (PBV), Price Earnings Ratio (PER),and Trading Volume to the Composite Stock Price Index. On the other hand, unidirectional causality is found from the Composite Stock Price Index to the Market Capitalization but no causality is found from the opposite direction. ***** Tujuan dari penelitian ini adalah menganalisis apakah terdapat hubungan kausalitas antara Variabel Mikroekonomi (Price to Book Value (PBV), Price Earnings Ratio (PER),Market Capitalization dan Trading Volume) dan Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia Periode 2008 - 2012. Data yang digunakan merupakan data sekunder yang didapatkan dari Bursa Efek Indonesia (BEI). Unit analisis dalam penelitian sebanyak 60 (observasi bulanan). Analisis dalam penelitian ini merupakan analisis data time series. Hasil analisis deskriptif menunjukkan bahwa kondisi pasar modal Indonesia relatif baik dan menguntungkan. Hal ini ditunjukkan oleh Market Capitalization dan Trading Volume mengalami kenaikan dari tahun ketahun. Tetapi Price to Book Value (PBV) & Price Earnings Ratio (PER) masih menunjukan hasil yang sangat fluktuatif. Dari hasil pengujian penelitian ini, diketahui bahwa terdapat hubungan kausalitas (dua arah) antara Price to Book Value (PBV), Price Earnings Ratio (PER) dan Trading Volume kepada Indeks Harga Saham Gabungan (IHSG). Sedangkan hanya ditemukan hubungan satu arah antara Indeks Harga Saham Gabungan (IHSG) kepada Market Capitalization.

Item Type: Thesis (Sarjana)
Additional Information: 1). Dra. Umi Mardiyati, M.Si; ; 2). Dr. Hamidah SE.,M.Si.
Subjects: Ilmu Sosial > Keuangan
Divisions: FE > S1 Manajemen
Depositing User: Users 14651 not found.
Date Deposited: 21 Jul 2022 05:28
Last Modified: 21 Jul 2022 05:28
URI: http://repository.unj.ac.id/id/eprint/31994

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