JRAA Vol.3 No.1, Maret 2016 ANALISIS HUBUNGAN INFLASI, KURS, BI RATE DAN IHSG DENGAN PENDEKATAN ERROR CORRECTION MODEL (ECM) PERIODE JAN-2008 SAMPAI DENGAN DES-2014

ANALISIS HUBUNGAN INFLASI, KURS, BI RATE DAN IHSG DENGAN PENDEKATAN ERROR CORRECTION MODEL (ECM) PERIODE JAN-2008 SAMPAI DENGAN DES-2014

Abstract

The purpose of this study was to determine the long-term, short-term and quantify the size of Inflation, Exchange Rate and BI-Rate because it is a variable that can affect the level Composite Stock Price Index (CSPI) in Indonesia Stock Exchange. The data used in this study is a monthly time series data from January 2008 to December-2014. The test results stationeritas data level is not stationary, whereas the residual at the current level occurs cointegration or long-term relationship. All data is stationary at 1^st level difference. Thus the requirement for ECM (Error Correction Model) have been met, then it can be followed by hypothesis testing. The test results showed: Inflation on JCI in the long term has a positive and significant impact, in the short term have a positive and significant impact; Exchange against JCI in the long term has a positive and significant impact, in the short term have a negative impact and insignificant; BI-Rate on JCI in the long run have a negative and significant impact, in the short term have a negative and significant impact.