Prediction of the Unemployment and Bank Interest Rates on Changes in the Stock Price Index with Efficient Regression

The purpose of this study was to determine the effect of inflation, interest rates certificates of Bank Indonesia and the money supply on the composite stock price index (CSPI) with the Arch-Garch model. The analytical method used in this study is multiple regression analysis method with the Arch-Garch model which was carried out with Eviews 9.0. One of the requirements for conducting multiple analysis tests is to test the classical assumptions. This is necessary so that the resulting regression equation is good. Then test the hypothesis, test the coefficient of determination and z test. The results of this study indicate that the Inflation variable has an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The interest rates certificates of Bank Indonesia an effect on the Jakarta Composite Index (JCI) in the period January 2014 – December 2018. The Money Supply has an effect. against the Composite Stock Price Index (JCI) in the period January 2014 – December 2018.Tujuan dari penelitian ini adalah untuk mengetahui pengaruh inflasi, suku bunga SBI dan jumlah uang beredar teradap indeks harga saham gabungan (IHSG) dengan model Arch-Garch. Metode analisis yang digunakan dalam penelitian ini adalah metode analisis regresi berganda dengan model Arch-Garch yang dilakukan dengan Eviews 9.0. Salah satu syarat untuk melakukan uji analisis berganda perlu dilakukan uji asumsi klasik. Hal ini diperlukan agar persamaan regresi yang dihasilkan baik. Kemudian dilakukan uji hipotesis, uji koefisien determinasi dan uji z. Hasil dari penelitian ini menunjukkan bahwa variable Inflasi berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Suku Bunga SBI memiliki pengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018. Jumlah Uang Beredar berpengaruh terhadap Indeks Harga Saham Gabungan (IHSG) pada periode Januari 2014 – Desember 2018.

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ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PERIODE

Jurnal Fokus Manajemen Bisnis ◽

10.12928/fokus.v5i1.1612 ◽

2020 ◽

Vol 5 (1) ◽

pp. 1

Author(s):

Dwi Purwaningsih ◽

Tina Sulistiyani

Keyword(s):

Interest Rates ◽

Money Supply ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Linear Regression Analysis ◽

Secondary Data ◽

Multiple Linear Regression Analysis ◽

Analysis Tool ◽

Stock Price Index

This study aims to determine the effect of the money supply, inflation, and SBI interest rates partially and simultaneously on the composite stock price index on the Indonesia Stock Exchange (BEI) in 2012-2014, the type of data and data sources used in this study are data secondary data from the Bank Indonesia Annual Report, the Indonesian Ministry of Trade Institute, and Exchange Corner Financial Data. To analyze the data of this study used a multiple linear regression analysis tool that aims to determine the effect of the money supply, inflation, and SBI interest rates on the Composite Stock Price Index using SPSS statistical tools. Based on this research, the research method used in the first hypothesis is the Statistical t test and the second is the Statistical F test. Based on the results of this study indicate that the variable Money Supply has a significant effect on the Composite Stock Price Index. For the inflation variable does not have a significant effect on the Composite Stock Price Index. And the SBI Interest Rate variable has a significant effect on the Composite Stock Price Index. Together these three independent variables (Amount of Money Supply, Inflation, SBI Interest Rates) have a significant influence on the dependent variable (Composite Stock Price Index).

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The Effects of Inflation, Interest Rates and Exchange Rates on Composite Stock Price Index During the Covid-19 Pandemic

Jurnal Mandiri ◽

10.33753/mandiri.v5i2.178 ◽

2021 ◽

Vol 5 (2) ◽

pp. 77-85

Author(s):

Ifa Nurmasari ◽

Siti Nur'aidawati

Keyword(s):

Exchange Rates ◽

Interest Rates ◽

Stock Price ◽

Research Method ◽

Price Index ◽

Hypothesis Test ◽

Secondary Data ◽

The World ◽

Stock Price Index ◽

Quantitative Descriptive

The COVID-19 pandemic that hit Indonesia and even the world, caused changes in various sectors and decline in the Indonesian economy. To improve the economy, it is necessary to increase investment. This research aims to find out how the influence of inflation, bank interest rates and currency rates on Composite Stock Price Index both partially and simultaneously at the time of the covid-19 pandemic. The research method used in this study is quantitative descriptive, which discusses the problems faced that describe the state of a country expressed in numbers. The data used in this study is secondary data. It was taken during the covid-19 period from March 2020 to July 2021. The analytical methods are used multiple linear regression, classical assumption test, hypothesis test, and determination coefficient test. The novelty of this research is to use macroeconomic data during the COVID-19 pandemic. The results showed that simultaneously, inflation, bank interest rates, and currency rates had a significant effect on Composite Stock Price Index. Inflation, bank interest rates, and currency rates exert a 94.9% effect on Composite Stock Price Index. The remaining 5.1% was affected by other factors not used in the study. Partially, inflation is positive and significant to Composite Stock Price Index. Bank interest rates and currency rates negatively and significantly affect Composite Stock Price Index.

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Effect of Composite Stock Price Index, Exchange Rate and Interest Rate Share Price of Mining Companies Listed in Indonesia Stock Exchange

10.31227/osf.io/253ck ◽

2017 ◽

Author(s):

Imaduddin Murdifin ◽

Suriyanti Andi Mangkona

Keyword(s):

Exchange Rate ◽

Interest Rates ◽

Stock Prices ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Secondary Data ◽

Share Price ◽

Mining Companies ◽

Stock Price Index

This study aimed to examine the effect of Composite Stock Price Index (Composite Stock Price Index (CSPI)), the exchange rate, and interest rates on stock prices of mining companies listed in Indonesia stock Exchange. This research is associative with quantitative approach. Data were analyzed using panel data regression. The data used is secondary data such as financial data, and the percentage of monthly interest rates over the last three years. The collection of data taken with documentation techniques derived from published reports of Bank Indonesia and the Indonesia Stock Exchange. Sampling was done by purposive sampling with the number nine companies. The results showed that the CSPI and interest rates but not significant positive effect on stock prices. The rupiah exchange rate and significant negative effect on stock prices. Simultaneously the composite stock price index, the rupiah exchange rate, and interest rates have a significant effect on stock prices of mining companies listed on the Indonesia Stock Exchange

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PENGARUH NILAI TUKAR, TINGKAT BUNGA, INFLASI, DAN JUMLAH UANG BEREDAR TERHADAP INDEKS HARGA SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA (BEI) (Studi Kasus pada Indek Harga Saham Sektor Keuangan Di BEI)

Eqien: Jurnal Ekonomi dan Bisnis ◽

10.34308/eqien.v5i2.57 ◽

2018 ◽

Vol 5 (2) ◽

pp. 1-19

Author(s):

Amna Mawardi

Keyword(s):

Stock Market ◽

Interest Rates ◽

Money Supply ◽

Stock Price ◽

Price Index ◽

Financial Sector ◽

Stock Market Index ◽

Market Index ◽

Us Dollar ◽

Stock Price Index

In the midst of uncertain economic condition, nowadays people tend to secure the potential assests they have, and think how to take advantage of the assets they have in order to keep it high in value for a long period of time. One of the way is by invest in the form of securities traded in the capital market. That is why every investor in the capital market urgently require a relevant informations on trend of transactions as reference in making investment decisions. One of the required information is stock market index. The purpose of this study is to examine the effect 0f macro economic indicators, US Dollar exchange rate, interest rate, inflation rate, and money supply on stock market index in Indonesia Stock Exchange (IDX). The method used in this research is using multiple linear regression. Data obtained from SEKI - Bank Indonesia (Economic and Financial Statistics - Central Bank of The Republic of Indonesia) and IDX (Indonesia Stock Exchange), in the form of secondary data of monthly period in year 2011 – 2015, collected by documentation techniniques. The results showed that partially variable of US Dollar exchange rates, interest rates, inflation rates, and money supply have no effect on the stock price index of financial sector. Whereas universally interest rates have a significant positive effect on the stock price index of financial sector. Over all simultaneously US Dollar exchange rates, interest rates, inflation rates, and money supply have an effect on the stock price index of financial sector. Keywords: exchange rate, interest rate, inflation rate, money supply, and stock market index.

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Analisis Pengaruh Variabel-Variabel Makro Ekonomi Terhadap Jakarta Islamic Indeks (JII) Periode 2007-2015

Jurnal Ekonomi Syariah Teori dan Terapan ◽

10.20473/vol4iss20176pp449-463 ◽

2017 ◽

Vol 4 (6) ◽

pp. 449

Author(s):

Nining Khoirun Nisa ◽

Raditya Sukmana

Keyword(s):

Exchange Rates ◽

Interest Rates ◽

Foreign Exchange ◽

Stock Price ◽

Price Index ◽

Sampling Technique ◽

Foreign Exchange Rates ◽

Production Index ◽

Macroeconomic Indicators ◽

Stock Price Index

Based on this, researchers are interested to know and analyze the effect of macroeconomic indicators consisting of Inflation, Interest Rate, Foreign Exchange and Production Index on Stock Price Index of the Jakarta Islamic Index (JII). This study uses a quantitative approach. The sampling technique used is the technique of sampling nonprobabilitas. The type of data in this study of time series data.The results of this study indicate that inflation and interest rates significantly affect the stock price index Jakarta Islamic Index (JII). Foreign exchange rates and the production index did not significantly affect the stock price index Jakarta Islamic Index (JII).

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PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR KURS DOLLAR (USA) TERHADAP INDEKS HARGA SAHAM LQ45 DI BURSA EFEK INDONESIA (PERIODE 2014-2018)

Jurnal Administrasi Bisnis Fisipol Unmul ◽

10.54144/jadbis.v9i1.4979 ◽

2021 ◽

Vol 9 (1) ◽

pp. 46

Author(s):

Andita Meilasari

Keyword(s):

Exchange Rate ◽

Data Analysis ◽

Interest Rate ◽

Linear Regression ◽

Interest Rates ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Analysis Techniques ◽

Stock Price Index

This study aims to determine the effect of inflation, interest rates, and the exchange rate of the dollar (USA) on the LQ45 stock price index. Data collection techniques are a method of Documentation. For test instruments using classic assumption tests and tests Statistics. Data analysis techniques using some linear regression for variables using four variables, test F and test t. The results showed that variable inflation (X1), interest rate (X2), and exchange rate (X3) simultaneously LQ45 stock price index on the Indonesia Stock Exchange (Y).

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ANALISIS PENGARUH TINGKAT INFLASI, TINGKAT SUKU BUNGA, DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) PERIODE 2013-2015

Jurnal Fokus Manajemen Bisnis ◽

10.12928/fokus.v6i2.1658 ◽

2020 ◽

Vol 6 (2) ◽

pp. 121

Author(s):

Daniar Primavistanti ◽

Aftoni Sutanto

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Exchange Rates ◽

Interest Rates ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Composite Index ◽

Inflation Rates ◽

Stock Price Index

This research aimed to analyze and test the effect of inflation rates, interest rate and exchange rate on the stok price index at the stock exchange in 2013–2015. Independent variable used are inflation, interest rates, and exchange rates. While the dependent variable is the stock price index. The object of this research is in the market listed on the stock price index. The inflation rates, interest rates, and the exchange rate that are taken from Indonesian Bank. The analytical method used is the classic assumption test and regression test. Based on the survey result revealed that in partial inflation and the exchange rate does not significantaly influence the Stock Exchange Composite Index. While the variable interest rate significantly influence the Stock Exchange Composite Index. The test results simultaneosly show variable inflation, interest rates and exchange rates have an influence on the Stock Exchange Composite Index. The coefficient of determination was 28,3%.

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Analysis of Global Stock Exchange Index, Foreign Exchange Rate, Interest Rate and Inflation Rate Influences CSPI in Indonesia Stock Exchange (Period of January 2014 – 2015)

European Journal of Business Management and Research ◽

10.24018/ejbmr.2019.4.6.162 ◽

2019 ◽

Vol 4 (6) ◽

Author(s):

Dahlia Br. Pinem

Keyword(s):

Exchange Rate ◽

Interest Rate ◽

Interest Rates ◽

Stock Price ◽

Price Index ◽

Stock Exchange ◽

Developed Countries ◽

Stock Index ◽

Stock Price Index ◽

Global Stock

The economics of one country with other countries are interconnected because of the business relationship, especially since the developed countries greatly affect the economics of developing countries, so that the stock market in developed countries such as Dow Jones (DJIA) index, Footsie London Index (FTSE), Singapore Index (STI), Tokyo Nikkei Index (N225), Korea KOSPI Index (KS11), Hang Seng Hongkong Index (HSI) affect the Composite Stock Price Index (CSPI). The purpose of this study is to determine the influence of global stock indices on the Composite Stock Price Index (CSPI). In addition to the global macroeconomics index of Indonesia's Stock Index like the US Dollar against the rupiah, interest rates greatly affect the Composite Stock Price Index. The method of the sample research was conducted by judgment sampling. Hypothesis testing in this research is conducted by Multiple Regression. The results obtained simultaneously (F test) variables (FTSE, Dow Jones index, STI, KS 11, Hangseng, Nikkei 225, Dollar/USD exchange rate, interest rate, Inflation) have a significant effect on CSPI. Yet, only partially variable interest rate is not significant, while the other partially affects the CSPI.

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