This theses discusses the effect of macro economic variables on stock price index of property, real estate, and building construction sector in Indonesia Stock Exchange in 2011-2016. The results of the analysis show that sectoral stock price index, gross domestic bruto, inflation rates, Rupiah exchange rate on US Dollar, and interest rates are not stasioner in level . Therefore, the study continued by performing Johansen’s cointegration test, VECM, Impulse Response Function, dan Variance Decomposition. In the long term, gross domestic bruto and inflation rates have a significant positive effect, but in the short termhave no significant effect on stock price index of property, real estat, and building construction sector. In the long term, Rupiah exchange rate on US Dollar has a significant negative effect, but in the short term has no significant effect on stock price index of property, real estat, and building construction sector. In the short and long term, interest rates have negative but not significant effect on stock price
index of property, real estat, and building construction sector. |