Analisis Pengaruh Hari Perdagangan dan Nilai Tukar terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia Tahun 2009

Authors

  • Erric Wijaya STIE Indonesia Banking School
  • Fatiah Istarini STIE Indonesia Banking School

DOI:

https://doi.org/10.21512/tw.v12i2.671

Keywords:

trading days, exchange rate, Jakarta composite index (JCI)

Abstract

Before making investment decisions, investors need to analyze the pattern of trading days which change daily because of investors’ behavior in stock trading activity that affects the pattern of daily stock price movements. Changes in macro variables like exchange rates for instance, also can affect share price. To determine the influence of independent variables (day of the week effect and exchange rate) on the dependent variable (Jakarta Composite Index (JCI)), a research is conducted using multiple linear regression analysis. The initial test uses a test of normality and is resumed by testing multiple linear regression analysis and classical assumption. The hypothesis test uses t-statistics and F-statistics with a significance level of 5%. A descriptive statistics implies that there is an effect of trading days on stock prices. However, using backward stepwise linier regression model and multivariate analysis, the result indicates that there is no effect of trading days on stock prices. Using multivariate data analysis, it is found that stock prices is influenced by exchange rate.

Dimensions

Plum Analytics

References

Adiningsih, Sri dkk. (1998). Perangkat Analisis dan Teknik Analisis Investasi di Pasar Modal Indonesia. Jakarta: PT. Bursa Efek Jakarta.

Ajayi, R.A dan M. Mougoue. 1996. On The Dynamic Relation Between Stock Prices and Exchange Rate. Journal of Finance Research, 19; 193-207.

Budi, Ichsan Setiyo dan Erni Nurhatmini. (2003). Pengaruh Hari Perdagangan dan Exchange Rate Terhadap Return Saham di Bursa Efek Jakarta. Jurnal Manajemen dan Bisnis, 5 (1), 47-26.

Fitriani, Dwita Amelia. (2009). Analisis Day of the Week Effect Terhadap Imbal Hasil IHSG Serta Kaitannya Dengan Risiko Pasar Modal Periode 2003-2007. Skripsi tidak diterbitkan. Depok: Universitas Indonesia.

Ghozali, Imam. (2009). Aplikasi Analisis Multivariate Dengan Program SPSS. Semarang: Badan Penerbit Universitas Diponegoro.

Gujarati, Damodar. 2006. Dasar-dasar Ekonometrika, edisi ketiga. Jakarta: Erlangga.

Husnan, Suad. 2009. Dasar-dasar Teori Portofolio dan Analisis Sekuritas, edisi keempat. Yogyakarta: UPP STIM YKPN.

Jones, Charles P. (2007). Investment: Analysis and Management, 10th edition. New York: John Wiley and Sons.

Prihantoro, Heru. (2000). Pengaruh Hari Perdagangan Harian Saham dan Exchange Rate Terhadap IHSG di Bursa Efek Jakarta. Thesis S2. Yogyakarta: Universitas Gajah Mada.

Sekaran, Uma. (2003). Metodologi Penelitian untuk Bisnis. Jakarta: Salemba Empat.

Sitinjak, E. L.M dan Kurniasari, W. (2003). Indikator-indikator Pasar Saham dan Pasar Uang yang Saling Berkaitan Ditinjau dari Pasar Saham sedang Bullish dan Bearish. Jurnal Riset Ekonomi dan Manajemen, 3 (3).

Sunariyah. (2006). Pengantar Pengetahuan Pasar Modal. Yogyakarta: UPP STIM YKPN.

Tandelilin, Eduardus. (2010). Portofolio dan Investasi: Teori dan Aplikasi, edisi Pertama. Yogyakarta: Kanisius.

Windijarto, Sasikirono, Nugroho. (2004). Pengaruh Hari Dalam Satu Minggu Terhadap Pendapatan Saham Investor. Surabaya: Fakultas Ekonomi Universitas Airlangga.

Downloads

Published

2011-09-30
Abstract 685  .
PDF downloaded 1400  .