Fauziah, Syifa (2019) HUBUNGAN ANTARA KURS RUPIAH, HARGA MINYAK DUNIA, DAN INFLASI TERHADAP INDEKS SEKTORAL DI BURSA EFEK INDONESIA. Skripsi thesis, Sekolah Tinggi Ilmu Ekonomi Indonesia (STEI) Jakarta.
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Abstract
ABSTRAK Penelitian ini bertujuan untuk mengetahui hubungan antara kurs rupiah, harga minyak dunia, dan inflasi terhadap indeks sektoral yang terpilih yaitu sektor pertambangan, sektor keuangan, serta sektor industri dasar dan kimia. Penelitian ini menggunakan pendekatan VAR (Vector Autoregression) dengan uji stasioner, uji kointegrasi, dan uji kausalitas menggunakan bantuan software Eviews10. Populasi dari penelitian ini adalah indeks sektoral, kurs rupiah, inflasi dan harga minyak dunia. Sedangkan sampel penelitian ini adalah kurs rupiah, harga minyak dunia, inflasi, sektor pertambangan, sektor keuangan, serta sektor industri dasar dan kimia periode Januari 2015 – Maret 2019. Data yang digunakan dalam penelitian ini adalah data sekunder berupa data time series. Teknik pengumpulan data menggunakan metode dokumentasi yang diambil berupa data bulanan melalui situs resmi www.idx.co.id, www.bi.go.id, dan www.investing.com. Hasil penelitian ini menunjukkan bahwa kurs rupiah, harga minyak dunia, inflasi, sektor pertambangan, sektor keuangan, serta sektor industri dasar dan kimia mencapai kestasioneran pada tingkat first difference. Hasil Johansen Test menunjukkan tidak adanya kointegrasi antarvariabel dalam penelitian ini. Hasil penelitian ini juga menunjukkan bahwa terjadi hubungan kausalitas antara inflasi terhadap sektor pertambangan, dan terjadi hubungan kausalitas antara sektor keuangan, sektor pertambangan, serta sektor industri dasar dan kimia terhadap harga minyak dunia. Dalam penelitian ini menunjukkan bahwa kurs rupiah, harga minyak dunia, dan inflasi berpengaruh terhadap sektor pertambangan, sektor keuangan, serta sektor industri dasar dan kimia. Kata Kunci : Indeks Sektoral, Kurs Rupiah, Harga Minyak Dunia, Inflasi, VAR (Vector Autoregression) ABSTRACT The research aims to determine the relationship between the exchange rate of rupiah, the world oil price, and the inflation of selected sectoral indices, the mining sector, the financial sector, and the basic industry and chemical sector. The research uses the VAR (Vector Autoregression) approach with stationary tests, cointegration tests, and causality tests using EVIEWS10 software. The population of the research is the sectoral index, rupiah exchange rate, inflation and world oil prices. the sample of this research is rupiah exchange rate, world oil prices, inflation, mining sector, financial sector, basic industry and chemical sectors of the period January 2015 – March 2019. The data used in this research is secondary data in the form of data time series. Data collection techniques using documentation methods taken in the form of monthly data source from www.idx.co.id, www.bi.go.id, and www.investing.com. The results showed that rupiah exchange rate, world oil price, inflation, mining sector, financial sector, basic industry and chemical sectors reached stationary at the first difference level. The results of Johansen Test showed there is no inter-variable cointegration in this research. The results also showed that there is a causality relationship between inflation and mining sector, and a causality relationship between financial sector, mining sector, basic industry and chemical sectors to world oil prices. The research shows that rupiah exchange rate, world oil prices, and inflation have an effect on mining sector, financial sector, basic industry and chemical sectors. Keywords : Sectoral Index, Exchange Rate of Rupiah, World Oil Price, Inflation, VAR (Vector Autoregression)
| Item Type: | Thesis (Skripsi) | ||||||||
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| Subjects: | Manajemen > Manajemen Keuangan | ||||||||
| Divisions: | S1 Manajemen | ||||||||
| Depositing User: | Ridho Adi Nugroho | ||||||||
| Date Deposited: | 06 Dec 2021 07:16 | ||||||||
| Last Modified: | 06 Dec 2021 07:16 | ||||||||
| URI: | http://repository.stei.ac.id/id/eprint/6103 |
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