Zakaria, Rinny Apriiany and Al Muizzuddin Fazaallaoh., SE., tilE (2017) Dinamika Hubungan Nilai Tukar Rupiah Dan Harga Saham Di Indonesia Periode 2010-2016. Sarjana thesis, Universitas Brawijaya.
Abstract
Secara teoritis, terdapat hubungan antara harga saham dan nilai tukar. Oleh karena itu, penelitian ini bertujuan untuk mengetahui kausalitas dan hubungan jangka panjang antara harga saham di Indonesia dengan pergerakan nilai tukar rupiah. Dengan menggunakan analisis time series VECM tahun 2010 sampai 2016, ditemukan bahwa harga saham berpengaruh kausal satu arah terhadap nilai tukar rupiah dalam dollar, euro dan yuan. Disisi lain, nilai tukar rupiah dalam yen berpengaruh kausal satu arah terhadap harga saham. Lebih jauh, dalam jangka panjang, rupiah cenderung terdepresiasi terhadap dollar, euro dan yuan. Selain itu, harga saham cenderung meningkat akibat guncangan rupiah dalam yen
English Abstract
Theoretically, there is a relationship between stock prices and exchange rates. Therefore, this study aims to determine the causality and long-term relationship between stock prices in Indonesia and the movement of the rupiah exchange rate. By using VECM time series analysis from 2010 to 2016, it was found that stock prices have a one-way causal effect on the rupiah exchange rate in dollars, euros and yuan. On the other hand, the rupiah exchange rate in yen has a one-way causal effect on stock prices. Furthermore, in the long term, the rupiah tends to depreciate against the dollar, euro and yuan. In addition, stock prices tend to increase due to shocks in the rupiah in terms of yen
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 051702000... |
| Uncontrolled Keywords: | Nilai Tukar Rupiah, Harga Saham, Causality Relationship, Rupiah Exchange Rate, Stock Price |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 31 Aug 2022 01:18 |
| Last Modified: | 31 Aug 2022 01:18 |
| URI: | http://repository.ub.ac.id/id/eprint/193826 |
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