Winkasari, Justice Qayyima and Prof. Dr. Sumiati,, SE., M.Si., CSRS., CFP. and Risna Wijayanti,, SE., MM., Ph.D., CFP. (2023) Pengaruh Harga Minyak Dan Emas Dunia Terhadap Indeks Harga Saham Gabungan Dimediasi Nilai Tukar Rupiah Terhadap Us Dolar (Studi Pada Bursa Efek Indonesia). Magister thesis, Universitas Brawijaya.
Abstract
Keterkaitan antara harga minyak dan emas dunia dengan harga saham sangat menarik untuk diteliti, mengingat bahwa emas dan minyak merupakan komoditas yang paling aktif diperdagangkan di pasar global. Perubahan harga keduanya akan direaksi oleh pasar modal sehingga faktor tersebut berpotensi untuk memengaruhi terbentuknya harga saham. Penelitian ini menguji pengaruh harga minyak dunia dan harga emas dunia terhadap harga saham yang dimediasi oleh nilai tukar. Nilai tukar digunakan sebagai variabel mediasi untuk mengisi gap penelitian terkait pengaruh harga minyak dan harga emas dunia terhadap harga saham. Sampel penelitian ini adalah data mingguan Indeks Harga Saham Gabungan (IHSG), harga minyak dunia Brent, harga emas dunia LBMA, dan nilai tukar Rupiah terhadap US Dolar mulai bulan Juni 2017 sampai dengan Mei 2022. Sampel data mingguan digunakan karena volatilitas variabel – variabel dalam penelitian ini relatif tinggi, sehingga digunakan data mingguan agar lebih mencerminkan pergerakannya. Sampel dalam penelitian ini sejumlah 260 observasi. Data selanjutnya dianalisis menggunakan IBM SPSS versi 23. Hasil penelitian menunjukkan bahwa harga minyak dunia berpengaruh positif terhadap IHSG, harga emas dunia tidak berpengaruh terhadap IHSG, nilai tukar berpengaruh negatif terhadap IHSG, harga minyak dunia tidak berpengaruh terhadap nilai tukar, harga emas dunia berpengaruh positif terhadap nilai tukar, nilai tukar memediasi pengaruh harga minyak dunia terhadap IHSG, serta nilai tukar memediasi pengaruh harga emas dunia terhadap IHSG. Temuan ini dapat memberikan panduan pada perusahaan agar melakukan berbagai corporate action atas perubahan harga minyak dunia, harga emas dunia dan nilai tukar agar harga saham dapat stabil. Serta, memberikan panduan praktis kepada investor dalam berinvestasi di pasar modal, agar selalu memperhatikan pergerakan IHSG dan apa yang mempengaruhinya supaya tidak mengalami kerugian dalam berinvestasi.
English Abstract
The linkage between world oil and gold prices and stock price very appealing to be studied since gold and oil are commodities mostly traded in the global market. Furthermore, any changes in their prices will be responded by capital markets, so they are very likely to influence stock prices. This research assesses the effects of world oil price and world gold price on stock prices with the mediation of exchange rate. Exchange rate was used as the mediating variable to fill gaps between studies regarding the effect of world oil and gold prices on stock prices. The samples of this research are the weekly stock composite index, Brent oil price, LBMA world gold price, and Indonesian rupiah’s exchange rate against US dollar from June 2017 to May 2022, resulting in 260 observations. The weekly data were used because the volatility of the variables is relatively high, so it is expected that the price movements can be better reflected. The results of the data analysis performed in SPSS version 23 indicate that the world oil price positively influences the stock composite index, that the world gold price does influence the stock composite index, and that exchange rate negatively impacts the stock composite index. Then, the world oil price does not influence the exchange rate, while the world gold price positively affects the exchange rate, and the exchange rate mediates the effect of the world oil price and the world gold price on the stock composite index. The findings above can serve as guidelines for companies in their corporate actions in response to changes in world oil and gold prices and exchange in order to stabilize stock prices. Furthermore, the findings can also be used by investors as a practical guidance in capital market investments by suggesting them to stay informed about the movements of stock composite index and their cause to avoid losses due to the investment.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | 0423020058 |
| Uncontrolled Keywords: | Harga Emas Dunia, Harga Minyak Dunia, Harga Saham, Indeks Harga Saham Gabungan, Nilai Tukar. |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 13 Dec 2023 02:47 |
| Last Modified: | 13 Dec 2023 02:47 |
| URI: | http://repository.ub.ac.id/id/eprint/205314 |
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