Fauziah (2014) Hubungan Dinamis antara Nilai Tukar dan Harga Saham di Asia Periode 2009-2013. Magister thesis, Universitas Brawijaya.
Abstract
Terdapat dua model yang berbeda dan bertentangan dalam menentukan hubungan antara nilai tukar dan harga saham. Model pertama, “Flow - Oriented” menyatakan bahwa perubahan mata uang atau kurs mempengaruhi competitiveness suatu perusahaan, yang selanjutnya mempengaruhi pendapatan perusahaan atau cost of fund dan selanjutnya berdampak pada harga saham perusahaan. Sedangkan menurut model kedua yaitu “Stock - oriented” yang menekankan peranan capital account transactions menyatakan bahwa kenaikan return saham ( rising stock market) akan menarik capital flow yang selanjutnya akan meningkatkan permintaan mata uang domestik dan menyebabkan kurs mata uang terapresiasi. Oleh karena itu, penelitian ini dilakukan untuk mengetahui apakah terdapat hubungan kointegrasi dan hubungan kausalitas antara nilai tukar dan harga saham di Asia. Objek penelitian kami yaitu Indonesia, Singapura, Taiwan, Malaysia, Cina, Korea selatan, Jepang, Hong Kong, Thailand, dan India dengan periode penelitian Januari 2009 sampai Desember 2013. Data yang digunakan adalah data skunder berupa data bulanan dari pasar valuta asing (nilai tukar) dan pasar modal (indeks saham) yang didapatkan dari publikasi pasar valuta asing dan pasar saham. Metode analisis data dalam penelitian ini terdiri dari beberapa tahapan yaitu uji stasioneritas data, uji derajat integrasi, penentuan panjang lag, uji kointegrasi johansen, uji causalitas granger, dan Vector Error Correction Model (VECM). Semua tahapan dilakukan dengan alat bantu berupa software E-views 7 . Dari hasil analisis data ditemukan bahwa terdapat hubungan kointegrasi (keseimbangan jangka panjang) antara nilai tukar dan harga saham di Asia. Hal ini mengindikasikan bahwa antara Nilai Tukar dan Harga Saham di Asia memiliki hubungan stabilitas atau keseimbangan dan kesamaan pergerakan dalam jangka panjang. Temuan kedua yaitu terdapat hubungan kausalitas (sebab-akibat) dua arah antara nilai tukar dan harga saham di Asia, baik jangka pendek maupun jangka panjang. Hal ini mengindikasikan bahwa variasi yang terjadi pada nilai tukar akan menyebabkan variasi pada harga saham, begitu juga sebaliknya, variasi yang terjadi pada harga saham akan menyebabkan variasi pada nilai tukar.
English Abstract
There are two different and conflicting models to determine the relationship between exchange rate and stock prices. The first model, "Flow-Oriented" states that currency or exchange rate changes affect the competitiveness of a company, which in turn affect the companys revenues or cost of funds and the subsequent impact on the companys stock price. Meanwhile, according to the two models namely "Stock-oriented" which emphasizes the role of capital account transactions stated that the rise in stock returns (rising stock market) would attract capital flows which in turn will increase the domestic money permintaanmata and cause exchange rate to appreciate. Therefore, this study was conducted to determine if there cointegration and causality relationship between exchange rates and stock prices in Asia. The objects of this study are Indonesia, Singapore, Taiwan, Malaysia, China, South Korea, Japan, Hong Kong, Thailand, and India with the study period January 2009 to December 2013. Data used are secondary data in the form of monthly data from the foreign exchange market (exchange rate) and capital markets (stock index) were obtained from the publications of foreign exchange market and the stock market. Methods of data analysis in this study consists of several stages of the stationary test data, the degree of integration testing, determination of lag length, johansen cointegration test, granger causalitas test and Vector Error Correction Model (VECM). All stages performed with software tools such as E-views 7. From the analysis of the data found that there is a cointegration relationship (long-term equilibrium) between exchange rates and stock prices in Asia. This indicates that between Exchange Rate and Stock Prices in Asia have a relationship stability or balance and equality movements in the long run. The second finding is that there is a causal relationship (cause-effect) in both directions between the exchange rate and stock prices in Asia, both short and long term. This indicates that the variation that occurs in the exchange rate will cause variations in the stock price, and vice versa, variation that occurs in the stock price will cause variations in the exchange rate.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | TES/332.632 22/FAU/h/041408200 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Magister Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Endro Setyobudi |
| Date Deposited: | 02 Feb 2015 14:45 |
| Last Modified: | 02 Feb 2015 14:45 |
| URI: | http://repository.ub.ac.id/id/eprint/155769 |
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