PENGARUH SUKU BUNGA, NILAI TUKAR, DOW JONES INDUSTRIAL AVERAGE, DAN NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN PERIODE 2017 - 2025

HILMI FATHUR RAHMAN, . (2026) PENGARUH SUKU BUNGA, NILAI TUKAR, DOW JONES INDUSTRIAL AVERAGE, DAN NIKKEI 225 TERHADAP INDEKS HARGA SAHAM GABUNGAN PERIODE 2017 - 2025. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Penelitian ini menganalisis pengaruh suku bunga, nilai tukar, Dow Jones Industrial Average (DJIA), dan Nikkei 225 terhadap Indeks Harga Saham Gabungan (IHSG) di Indonesia periode 2017–2025. Menggunakan pendekatan kuantitatif dengan data time series 108 observasi bulanan, analisis dilakukan dengan regresi linear berganda Ordinary Least Squares (OLS) yang dikoreksi menggunakan Newey-West HAC Standard Errors. Hasil penelitian menunjukkan suku bunga berpengaruh positif dan signifikan terhadap IHSG (t = 4,347; p = 0,000), nilai tukar berpengaruh negatif dan signifikan (t = -5,163; p = 0,000), sementara DJIA tidak berpengaruh signifikan (t = -1,046; p = 0,298). Nikkei 225 berpengaruh positif dan signifikan terhadap IHSG (t = 14,093; p = 0,000), mengindikasikan keterkaitan kuat antara pasar modal Indonesia dan Jepang. Nilai adjusted R-squared sebesar 88,29% menunjukkan keempat variabel independen mampu menjelaskan 88,29% variasi IHSG. Temuan ini menegaskan bahwa faktor domestik seperti suku bunga dan nilai tukar, serta faktor regional seperti Nikkei 225, memiliki peran lebih dominan dalam memengaruhi IHSG dibandingkan faktor global seperti DJIA. **** This study analyzes the influence of interest rates, exchange rates, the Dow Jones Industrial Average (DJIA), and the Nikkei 225 on the Composite Stock Price Index (IHSG) in Indonesia during 2017–2025. Using quantitative approach with 108 monthly time series observations, the analysis employs multiple linear regression with Ordinary Least Squares (OLS) corrected using Newey-West HAC Standard Errors to address autocorrelation. The results show that interest rates have a positive and significant effect on the IHSG (t = 4.347; p = 0.000), while exchange rates have a negative and significant effect (t = -5.163; p = 0.000). The DJIA has no significant effect on the IHSG (t = -1.046; p = 0.298), indicating domestic factors play a more dominant role. The Nikkei 225 has a positive and significant effect (t = 14.093; p = 0.000), confirming strong linkages between Indonesian and Japanese capital markets. The adjusted R-squared of 88.29% indicates that the four independent variables explain 88.29% of IHSG movements. These findings confirm that domestic factors such as interest rates and exchange rates, as well as regional factors such as the Nikkei 225, have a more dominant role in influencing IHSG movements compared to global factors such as the DJIA.

Item Type:	Thesis (Sarjana)
Additional Information:	1). Dr. Dicky Iranto, S.E., M.E.; 2). Prof. Dr. Rd. Tuty Sariwulan, M.Si.
Subjects:	Ilmu Sosial > Teori Ekonomi Ilmu Sosial > Sejarah Ekonomi, Kondisi Ekonomi
Divisions:	FE > S1 Pendidikan Ekonomi
Depositing User:	Hilmi Fathur Rahman .
Date Deposited:	07 Aug 2026 03:33
Last Modified:	07 Aug 2026 03:33
URI:	http://repository.unj.ac.id/id/eprint/69148

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