scholarly journals Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

2015 ◽  
Vol 6 (2) ◽  
pp. 330 ◽  
Author(s):  
Mulyono Mulyono
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Stock Trading ◽  
Close Relationship ◽  
Coefficient Corrélation ◽  
Stock Price Index

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

scholarly journals PENGARUH RETURN INDEKS NASDAQ, INDEKS S&P DAN HARGA KUOTASI DOLAR TERHADAP TINGKAT RETURN SAHAM TELKOM

2021 ◽  
Vol 8 (1) ◽  
pp. 48
Author(s):  
Arif Surahman
Keyword(s):  
Significant Influence ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Accurate Analysis ◽  
Advanced Country ◽  
Dow Jones Industrial Average ◽  
Stock Price Index

ABSTRAK Investasi pada instrumen saham memerlukan analisa yang akurat untuk terhindar dari kerugian. Asmara dan Suarjaya (2018) berhasil menemukan bahwa indikator-indikator makro berpengaruh signifikan terhadap fluktuasi harga IHSG. Pergerakan indeks harga saham sebuah negara terpengaruh oleh kondisi makro perekonomian dari negara tersebut (Deitiana, Stella, 2009). Kondisi perekonomian  makro dari suatu negara saling pengaruh-mempengaruhi antara satu negara dengan negara lainnya, terutama apabila negara tersebut sudah sangat maju dan memiliki ekonomi yang kuat. Oleh karena itu, bisa diasumsikan bahwa Indeks Harga Saham Gabungan dari negara-negara yang sudah maju dapat turut mempengaruhi fluktuasi dari IHSG. Hal ini sebagaimana dibuktikan oleh hasil penelitian Tamara (2012) yang menemukan bahwa terdapat pengaruh yang signifikan antara Dow Jones Industrial Average, Shanghai Stock Exchange Composite Index dan Straits Times Index terhadap fluktuasi Indeks Harga Saham Gabungan. Penelitian sebelumnya yang dilakukan tahun 2019 oleh Deitiana dan Stella dengan menggunakan data harga penutupan mingguan dari Indeks Dow Jones, Nikkei 225, Kospi danShanghai Composite Index juga berhasil menemukan hubungan pengaruh yang signifikan baik secara simultan maupun parsial terhadap pergerakan IHSG.Penelitian ini menggunakan regresi linier sederhana untuk menyelidiki pengaruh indeks Nasdaq, S&P dan harga dari quotasi dolar terhadap Return saham Telkom. Hasil dari penelitian ini menemukan bahwa Indeks Nasdaq dan harga quotasi Dolar terhadap Rupiah dapat mempengaruhi tingkat imbal hasil saham Telkom secara signifikan dengan nilai signifikansi berada dibawah 5%. Kata Kunci: Return, Saham, Telkom, Nasdaq, S&P, Dolar.  ABSTRACT Investment in stocks recquire accurate analysis to avoid loss. Asmara and Suarjaya (2018) found that macro economic indicators of a country has a significant influence towards the fluctuations of IHSG prices. Deitana & Stella (2019) also found the same thing. The Macro Economic conditions of a country has a reciprocal influnces between a country and others. Because of that, it can be assumed that stock indexes from an advanced country can also influenced  the fluctuations of Indonesia's Stock Price Index. This assumption has been proven by the research which has been conducted by Tamara (2012)  which found that there is a significant influence between Dow Jones Industrial Average, Shanghai Stock Exchange Composite Index and Straits Times Index towards the fluctuations of Indonesia Stock Price Index (IHSG). Previous research that were conducted in 2019 by Deitiana and Stella by using weekly closing price of  Dow Jones Index, Nikkei 225, Kospi and Shanghai Composite Index also has found a significant connections either simultaneously nor partially to the movement of indonesia stock index prices. This research are conducted by using linier regression to investigate the influence of the return of  Nasdaq, S&P and Dollar to Rupiah quotations towards the Return of Telkom stock price. The results of this research concluded that Nasdaq Indices and Dolar price quotations towards Rupiah's can significantly influenced the return of telkom stock price with a confidence level that are below 5%. Keyword : Return, Stock, Telkom, Nasdaq, S&P, Dolar

scholarly journals Analisis Pengaruh Indeks Bursa Global Dan Regional Terhadap Indeks Harga Saham Gabungan ( pada Bursa Efek Indonesia

2018 ◽  
Author(s):  
Afriyeni
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Regression Coefficient ◽  
Stock Exchange ◽  
The United States ◽  
Global Market ◽  
Stock Index ◽  
Stock Price Index ◽  
Global Stock

This research is aimed to examine the influence of global and regional indexes for the stock price index in Indonesian Stock Exchange and to determine the influence of global market stock price indices simultaneously or partially represented by three global stock markets to index IDX. As for the third global stock market Hang Seng is representing Hongkong stock exchange, Nasdaq composite representing the United States Stock Market and the Exchange FTSE representing Malaysia. This research is a statistical study with data population composite stock price index (CSPI) each - one index per - end of month from September 2005 to August 2012. Simple sampling method used to collect data during the 84 months from September 2005 to August 2012. Processing of data obtained from the following regression equation: Y = - 1696.585-.207 IXIC - 0.058 + 4.689 HSI. From the regression model constant value of - 1,696.585 states if there is no movement of the three independent variables, then the index will be decreased by 1696.585%. IXIC regression coefficient of - 0.207 states that every 1% decrease IXIC index will result in an increase of 0.207% assuming constant HSI and FTSE. HSI regression coefficient of - 0.058 states that every 1% decrease in HSI index will result in an increase of 0.058% assuming HSI and FTSE konstan.Koefisien regression of 4.689 states that every 1% increase in FTSE index will result in an increase of 4.689% assuming IXIC and HSI constant. The results showed that the influence of these three global stock index jointly significant influence but individually only Hang Seng stock index and HSI are affecting the BEI index. Data processing results obtained R Square of 0.934, which means 93.4% movement in the Indonesia Stock Exchange Composite Index is affected by movements in global and regional indices.

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

scholarly journals ARIMA Model Selection for Composite Stock Price Index in Indonesia Stock Exchange

2019 ◽  
Vol 2 (1) ◽  
pp. p31
Author(s):  
Zul Amry ◽  
Budi Halomoan Siregar
Keyword(s):  
Stock Price ◽  
Price Index ◽  
Mean Squared Error ◽  
Stock Exchange ◽  
Arima Model ◽  
Composite Index ◽  
Information Criterion ◽  
Absolute Error ◽  
Percentage Error ◽  
Stock Price Index

Composite Stock Price Index (CSPI) can be used as a reflection of the national economic condition of a country because it is an indicator to know the development the capital market in a country. Therefore, the movement in the future needs to be forecast. This study aims to build a model for the time series forecasting of Indonesia Composite Index (ICI) using the ARIMA model. The data used is the monthly data of ICI in Indonesia Stock Exchange (IDX) from January 2000 until December 2017 as many as 216 data. The method used in this research is the Box-Jenkins method. The autocorrelation (ACF) and partial autocorrelation function (PACF) are used for stationary test and model identification. The maximum estimated likelihood is used to estimate the parameter model. In addition, to select a model then used Akaike’s Information Criterion (AIC). Ljung-Box Q statistics are used for diagnostic tests. In addition, to show the accuracy of the model, we use Root Mean Squared Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) and the most appropriate model is ARIMA (0, 1, 1).

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

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%.

scholarly journals 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)

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.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

scholarly journals Bubble Detection and the Impact of Monetary Policy, Market Sentiment and Market Liquidity on Property Stock Price Index in Indonesia

2021 ◽  
Vol 9 (8) ◽  
pp. 75-86
Author(s):  
Sunita Dasman
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Stock Index ◽  
Market Sentiment ◽  
Stock Price Index ◽  
The Impact

The purpose of this study is to detect the existence of a bubble stock and analyze the impact of monetary policy, market sentiment and liquidity on the property stock index in the Indonesian capital market. The data used in this study is secondary data originating from various sources for the period 2016 – 2020 using multiple linear regressions. The bubble stock detection is done by using the ratio between the property stock price index and the consumer nutrient index. The results showed that there was an indication of a moderate bubble stock in the property stock index during the research period 2016 – 2020. The factors that impacted the property stock price index were interest rates, the rupiah exchange rate against the US dollar, market sentiment and market liquidity. The increase in interest rates, the rupiah exchange rate, and market sentiment and liquidity has an impact on the increase in the property stock price index on the Indonesian stock exchange for the 2016 – 2020 periods. Keywords: Bubble Stock, Exchange Rate, Interest Rate, Inflation, Market Sentiment, Market Liquidity

scholarly journals The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Maulana Majied Sumatrani Saragih ◽  
Sarman Sinaga ◽  
Faisal Faisal ◽  
Rico Nur Ilham ◽  
T Nurhaida
Keyword(s):  
Financial Services ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Volume Data ◽  
Stock Trading ◽  
Stock Investment ◽  
Stock Price Index ◽  
The Impact

The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite Stock Price Index (IHSG), weekly and monthly market capitalization values with a sample of 20 stocks - the highest stocks. based on sales volume and transaction value on the Indonesian stock exchange for the period March 2020 to June 2020 obtained from the Financial Services Authority (OJK) weekly report and the Indonesia Stock Exchange (IDX) Monthly Report. The results show that during the COVID-19 pandemic, investors can still get benefits in investing in stocks if every decision made by these investors is supported by careful calculations.

scholarly journals Analisis Pengaruh Indeks Bursa Global Dan Regional Terhadap Indeks Harga Saham Gabungan (IHSG) pada Bursa Efek Indonesia

2018 ◽  
Author(s):  
Afriyeni
Keyword(s):  
United States ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The United States ◽  
Global Market ◽  
Stock Price Index ◽  
Global Stock Markets ◽  
Global Stock

This research is aimed to examine the influence of global and regionalindexes for the stock price index in Indonesian Stock Exchange and todetermine the influence of global market stock price indices simultaneouslyor partially represented by three global stock markets to index IDX. As forthe third global stock market Hang Seng is representing Hongkong stockexchange, Nasdaq composite representing the United States Stock Marketand the Exchange FTSE representing Malaysia. This research is a statisticalstudy with data population composite stock price index

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