PENGARUH INDIKATOR MAKROEKONOMI DAN KONDISI PASAR MODAL TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA PENGARUH INDONESIA

Abstract

The impact of the crisis, U.S. financial institutions very first felt in the capital
market as indicated by a sharp decline in JCI. JCI dropped dramatically, from early in
the year 2830 amounted to decline to 1,355 by the end of 2008 if seen from the data
closing daily stock price index. The decline of this index followed the weakening of the
rupiah which has been through the numbers up to Rp. 10,650 as the strengthening U.S.
dollar as investors seek protection, particularly in T bills (securities) the U.S.
Government. The bond market, both government and corporations, also depressed
cause large losses in banks and other bondholders because the calculation of the
adjusted current market value (mark-to-market). These events are influenced by several
factors both micro and macroeconomics.
This study aims to analyze the effect of the indicator of macroeconomics
(Exchange Rate/US $, Level of Interest Rates and Inflation Rate) and capital market
(Stock Trading Volume and Stock Price Index Financial Sector) to the Stock Price Index
(JCI) in Indonesia Stock Exchange (BEI) in the period January 2007 - August 2010. The
research proves that not all of the variables used in this research significantly influence
Composite Stock Price Index (CSPI) in which the Exchange Rate/US $, Inflation and
Financial Sector Stock Price Index which proved to significantly influence Composite
Stock Price Index (CSPI), while Level Interest Rates and Stock Trading Volume no
significant effect on Composite Stock Price Index (CSPI) 5% confidence level.