ABSTRACT
The capital market is basically a market where various longterm financial
instruments is bought and sold. This instrument can
be
either in the form ofequity
or
debt. The capital market facilitated transaction of financial instrument such as
stocks, bonds, warrants, rights, convertible bonds, and various derivatives such as
option.
The objective of this study is to analyze the influences of several macro
economics variable such as foreign exchange rate, inflation rate, SBIinterestrate,
Gross Domestic Product (GOP), and export on changes ofComposite StockPrice
Index in
period
1990 until 2003.
As
we knowthat macroeconomics condition
has
a strong influence on changes of Composite Stock Price Index beside others
factor like politic and law condition for example. Basic
to
economic theory,
several hypothesis was made as follow:
1.
Foreign exchange rate has positive influence on changes of Composite
StockPrice Index.
2.
Inflation rate has negative influence on changes of Composite StockPrice
Index.
3.
SBI Interest rate
has
negative influence on changes of Composite Stock
Price Index.
4. Gross Domestic Product has positive influence on changes of Composite
StockPrice Index.
5.
Exporthas positive influence on changes of Composite StockPrice Index.
The
data employed is secondary data which collected from monthly or
_annually report published by Bank
Indonesia
and
Badan
Pusat Statistik. Multiple
regression with Ordinary Least Square (OLS) method was used to analyzed the
data, and the results as follow:
1.
Foreign exchange rate has positive influence on changes of Composite
StockPrice Index.
2. Inflation rate has positive influence on changes of Composite StockPrice
Index.
_
3.
SBI Interest rate has negative influence on changes of Composite Stock
Price Index.
4.
Gross Domestic Product has positive influence on changes of Composite
StockPrice Index.
5.
Export has negative influence on changes of Composite StockPrice Index.
6.
Partially, none of the independent variable
has
a significant influence on
changes of Composite StockPrice Index.
7. Collectively, all independent variable has no significant influence on
changes of Composite StockPrice Index.
iv
