Prowanta, Embun (2017) Pengaruh Variabel Ekonomi Makro Terhadap Indeks Harga Saham DalamSistem Peringatan Dini (Studi Pada Lima Negara ASEAN). Doctor thesis, Universitas Brawijaya.
Abstract
Tujuan penelitian ini adalah untuk mengetahui variabel ekonomi makro (produk domestik bruto, inflasi, nilai tukar, suku bunga, cadangan devisa, transaksi berjalan, ekspor-impor), yang digunakan sebagai variabel independen yang berpengaruh signifikan terhadap indeks harga saham lima negara ASEAN (Indonesia, Malaysia, Filipina, Singapura, Thailand), yang kemudian digunakan untuk membentuk sistem peringatan dini (SPD) untuk setiap negara ASEAN. Penelitian ini juga mengidentifikasi sensitivitas negara-negara ASEAN terhadap perubahan variabel makro yang mempengaruhi indeks harga saham berdasarkan simulasi sistem peringatan dini. Metode regresi berganda diterapkan pada data panel untuk menguji variabel makroekonomi yang memiliki pengaruh signifikan terhadap indeks harga saham sebagai variabel dependen. Variabel makroekonomi yang secara signifikan mempengaruhi indeks harga saham digunakan berdasarkan Sistem Peringatan Dini. Metode Markov Switching digunakan untuk menentukan ambang indeks harga saham lima negara ASEAN, di mana 0 adalah bearish dan 1 adalah bullish. Jika hasil perhitungan lebih rendah dari ambang, 0 (nol) diberikan, menunjukkan bahwa indeks harga saham adalah bearish, Jika hasil perhitungan lebih tinggi dari ambang, 1 (satu) diberikan, menunjukkan bahwa indeks harga saham adalah bullish. Metode Multiple Discriminant Analysis (MDA) digunakan untuk membentuk Sistem Peringatan Dini untuk setiap negara ASEAN-5, yang kemudian disimulasikan untuk melihat sensitivitas dan perilaku negara-negara ASEAN-5 terhadap indeks harga saham ketika variabel makroekonomi berubah. Metode Autoregressive Integrated Moving-Average (ARIMA) digunakan untuk menguji Sistem Peringatan Dini dan memprediksi indeks harga saham negara-negara ASEAN-5. Hasil penelitian menunjukkan bahwa produk domestik bruto, inflasi, nilai tukar dan suku bunga berpengaruh signifikan terhadap indeks harga saham di lima negara ASEAN, namun cadangan devisa, rekening giro dan ekspor-impor tidak berpengaruh. Berdasarkan hasil simulasi, semua indeks harga saham negara-negara ASEAN-5 sensitif terhadap perubahan variabel makroekonomi (produk domestik bruto, inflasi, nilai tukar dan suku bunga).Hasil prediksi ARIMA menunjukkan bahwa indeks saham Indonesia, Filipina dan Thailand cenderung bullish sementara indeks saham Malaysia dan Singapura cenderung bearish.
English Abstract
The objective of this study is to know macroeconomic variables (gross domestic product, inflation, exchange rate, interest rate, foreign exchange reserve, current account, export-import), which are usedas independent variable that significantly influence stock price indices of five ASEAN countries (Indonesia, Malaysia, Philippines, Singapore, Thailand),which is then used to establish Early Warning System (EWS) for each ASEAN country. This study alsoidentifies the sensitivity of ASEAN countries to changes in macro variablesthat influence stock price index based on Early Warning Systemsimulation. Multiple regression method was applied on panel data to test macroeconomic variable that have significant effect on stock price index as dependent variable. Macroeconomic variables that significantly influences the stock price index wereused the basis of Early Warning System. Markov Switching method was used to determine the threshold of the stock price index of five ASEAN countries,where 0 is bearish and 1 is bullish. If the calculation result is lower than threshold, 0 (zero) is given, indicatingthat the stock price index is bearish, If the calculation result is higher than threshold,1 (one) is given, showingthat the stock price index is bullish. The Multiple Discriminant Analysis (MDA) method was used to establish an Early Warning System for each ASEAN-5 country, which was then simulated to see the sensitivity and behavior of ASEAN-5 countries toward stock price index when macroeconomic variableschange. The Autoregressive Integrated Moving-Average (ARIMA) method was used to test the Early Warning System and predict the stock price index of ASEAN-5 countries. The results showed that gross domestic product, inflation, exchange rate and interest rate significantly influence stock price index in five ASEAN countries, however foreign exchange reserve, current account and export-import have no effect. Based on the simulation result, all stock price index ASEAN-5 countries are sensitive to change in macroeconomic variable (gross domestic product, inflation, exchange rate and interest rate). ARIMA prediction result indicates that Indonesian, Philippine and Thailand stock indices tend to be bullish while Malaysian and Singapore stock indices tend to bearish.
Other obstract
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| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DIS/332.632 22/PRO/p/2017/061811883 |
| Uncontrolled Keywords: | STOCK PRICES |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment > 332.63 Specific forms of investment > 332.632 Securities, real estate, commodities > 332.632 2 Stocks (Shares) > 332.632 22 Prices |
| Divisions: | S2/S3 > Doktor Ilmu Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 09 Sep 2019 02:26 |
| Last Modified: | 10 Jan 2022 04:02 |
| URI: | http://repository.ub.ac.id/id/eprint/172509 |
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