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Analisis Pengaruh Bi-Rate, Nilai Tukar, Tingkat Inflasi dan Jumlah Uang Beredar, Terhadap Return Saham Sektor Perbankan di Indonesia
Bibliografi
Author:
Karina (202300020051)
;
Saadah, Siti
(Advisor)
Topik:
Infobank15
;
Macroeconomics
;
Banking
;
Stocks
;
VECM
Bahasa:
(ID )
Penerbit:
Program Studi Magister Manajemen Fakultas Ekonomi dan Bisnis Unika Atma Jaya
Tempat Terbit:
Jakarta
Tahun Terbit:
2025
Jenis:
Theses - Master Thesis
Fulltext:
Karina_Master Theses_2025.pdf
(1.32MB;
0 download
)
202300020051_Karina_Lembar administrasi.pdf
(604.27KB;
0 download
)
Abstract
Introduction: The COVID-19 pandemic, which began in early 2020, caused a sharp decline in the financial markets and affected the banking industry. In theory, macroeconomic variables influence stock prices.
Methods: This study aims to analyze the effect of the BI-Rate, exchange rate, inflation rate, and money supply in Indonesia on the banking stock index in Indonesia using the VECM (Vector Error Correction Model) method, which allows for simultaneous analysis of relationships among several variables to understand their interactions. The banking stock index in this study is represented by Infobank15.
Results: The long-term VECM estimation in this study shows a significant relationship between the exchange rate and the return of Infobank15. The short-term estimation shows that the money supply has a significant positive effect on the BI-Rate at lag 1 and lag 2. The predictor variable contributing the most in explaining variation in Infobank15 returns is the exchange rate, accounting for more than 7%. Inflation, BI-Rate, and money supply each contribute less than 2%.
Conclusion and suggestion: Research findings indicate that the exchange rate has a significant positive effect on the return of the Infobank15 index. This result contradicts the initial hypothesis. Therefore, microeconomic factors need to be considered as variables that may explain why the exchange rate has a significant positive influence on Infobank15 return.
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