Pendekatan Vector Error Correction Model (VECM) dalam Menganalisis Hubungan Dinamis antara Harga Saham Perusahaan Tambang Emas Utama Indonesia, Harga Emas Internasional dan Nilai Tukar Rupiah

NAHDAH TSAMARAH HASAN, . (2026) Pendekatan Vector Error Correction Model (VECM) dalam Menganalisis Hubungan Dinamis antara Harga Saham Perusahaan Tambang Emas Utama Indonesia, Harga Emas Internasional dan Nilai Tukar Rupiah. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

	Text COVER.pdf Download (2MB)
	Text BAB 1.pdf Download (354kB)
	Text BAB 2.pdf Restricted to Registered users only Download (1MB) | Request a copy
	Text BAB 3.pdf Restricted to Registered users only Download (397kB) | Request a copy
	Text BAB 4.pdf Restricted to Registered users only Download (1MB) | Request a copy
	Text BAB 5.pdf Restricted to Registered users only Download (306kB) | Request a copy
	Text Daftar Pustaka.pdf Download (245kB)
	Text Lampiran.pdf Restricted to Registered users only Download (1MB) | Request a copy

Abstract

Penelitian ini menerapkan metode Vector Error Correction Model (VECM) dengan pendekatan Wild Bootstrap untuk menganalisis hubungan dinamis jangka pendek dan jangka panjang antara harga saham Perusahaan Tambang Emas Utama Indonesia (PT TEUI), harga emas internasional dalam Rupiah (XAU/IDR), dan nilai tukar USD/IDR. Pendekatan bootstrap ini dipilih untuk mengatasi masalah heteroskedastisitas yang terdeteksi pada data runtun waktu mingguan periode 3 Januari 2016 hingga 29 Desember 2024. Hasil uji kointegrasi Johansen menggunakan Wild Bootstrap mengonfirmasi adanya satu hubungan keseimbangan jangka panjang antar variabel. Hasil estimasi VECM menunjukkan bahwa dalam jangka pendek, guncangan lag harga emas internasional berpengaruh signifikan terhadap harga saham Perusahaan Tambang Emas Utama Indonesia, serta memiliki hubungan timbal balik yang kuat dengan nilai tukar USD/IDR. Analisis Generalized Impulse Response Function (GIRF) menunjukkan bahwa guncangan nilai tukar USD/IDR memberikan dampak negatif yang signifikan terhadap harga saham Perusahaan Tambang Emas Utama Indonesia dan dampak positif terhadap harga emas internasional. Sementara itu, analisis Generalized Variance Decomposition (GVD) mengungkapkan bahwa nilai tukar USD/IDR memiliki tingkat kemandirian yang tinggi dengan kontribusi terhadap variabilitasnya sendiri mencapai 86,04%, serta berperan besar dalam menjelaskan fluktuasi harga saham Perusahaan Tambang Emas Utama Indonesia (11,96%) dan harga emas internasional (23,16%). Kesimpulan penelitian ini menegaskan bahwa stabilitas nilai tukar USD/IDR memegang peranan vital dalam mempengaruhi dinamika pasar aset domestik. ***** This study applies the Vector Error Correction Model (VECM) with a Wild Bootstrap approach to analyze the short-term and long-term dynamic relationships between the stock price of Indonesia's Major Gold Mining Company, the international gold price in Rupiah (XAU/IDR), and the USD/IDR exchange rate. The bootstrap approach was selected to address the heteroscedasticity detected in the weekly time series data from January 3, 2016, to December 29, 2024. The Johansen cointegration test using Wild Bootstrap confirms the existence of one long-term equilibrium relationship among the variables. The VECM estimation results indicate that in the short term, lagged shocks of the international gold price significantly affect the stock price of Indonesia's Major Gold Mining Company and exhibit a strong bidirectional relationship with the USD/IDR exchange rate. Generalized Impulse Response Function (GIRF) analysis demonstrates that shocks to the USD/IDR exchange rate have a significant negative impact on the stock price of Indonesia's Major Gold Mining Company and a positive impact on the international gold price. Meanwhile, Generalized Variance Decomposition (GVD) analysis reveals that the USD/IDR exchange rate exhibits a high degree of independence, contributing 86.04% to its own variability, and plays a major role in explaining the fluctuations of the stock price of Indonesia's Major Gold Mining Company (11.96%) and the international gold price (23.16%). The conclusion of this study underscores that the stability of the USD/IDR exchange rate plays a vital role in influencing the dynamics of the domestic asset market.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Drs. Sudarwanto, M.Si., DEA ; 2). Qorry Meidianingsih, S.Si., M.Si.
Subjects:	Sains > Matematika
Divisions:	FMIPA > S1 Matematika
Depositing User:	Users 32776 not found.
Date Deposited:	10 Feb 2026 08:00
Last Modified:	10 Feb 2026 08:00
URI:	http://repository.unj.ac.id/id/eprint/65175

Actions (login required)

View Item