THE EFFECT OF EXCHANGE RATE, OIL PRICE, INFLATION RATE, FED RATE, AND GDP GROWTH RATE TOWARD DELTA OF PROPERTY, REAL ESTATE, AND BUILDING CONSTRUCTION COMPOSITE INDEX IN
INDONESIA STOCK MARKET
By Kevin Kurnia
2-3115-012
MASTER’S DEGREE in
BUSINESS ADMINISTRATION
FACULTY OF BUSINESS ADMINISTRATION AND HUMANITIES
Swiss German University EduTown BSD City
Tangerang 15339 INDONESIA
Revision after the Thesis Defense on March, 03
rd2017
STATEMENT BY THE AUTHOR
I hereby declare that this submission is my own work and to the best of my knowledge, it contains no material previously published or written by another person, nor material which to a substantial extent has been accepted for the award of any other degree or diploma at any educational institution, except where due acknowledgement is made in the thesis.
Kevin Kurnia
___________________________________________ _________________
Student Date
Approved by:
Dr. Antonius TP. Siahaan, SE., Akt., MM
___________________________________________ ________________
Thesis Advisor Date
Dr. Ir. Yosman Bustaman, MBA.
___________________________________________ ________________
Thesis Co-Advisor Date
ABSTRACT
THE EFFECT OF EXCHANGE RATE, OIL PRICE, INFLATION RATE, FED RATE, AND GDP GROWTH RATE TOWARD DELTA OF PROPERTY, REAL ESTATE, AND BUILDING CONSTRUCTION COMPOSITE INDEX IN
INDONESIA STOCK MARKET By
Kevin Kurnia, Student
Dr. Antonius TP. Siahaan, SE., Akt., MM, Advisor Dr. Ir. Yosman Bustaman, MBA, Co-Advisor
SWISS GERMAN UNIVERSITY
The objective of this research is to analyze the influence of exchange rate, oil price, interest rate, inflation rate, FED Rate, and GDP growth to delta of property, real estate and building construction index price in Indonesia. This research was conduct because the property shares price trend is growing rapidly in past 5 years in Indonesia, made a urgency for a better prediction in the future. Theoretical framework was made from secondary data and also included fundamental of index price factors. Data used for this research is delta index price in daily data in past 5 years (January 2011 – December 2015). The independent variables used in this study is the exchange rate, oil price, inflation rate, FED Rate, and GDP growth, and property index as the dependent variable. The research approach used in this study is the quantitative approach.
Testing the hypothesis is using mainly OLS regression both a statistical test (F test) and partial statistical test (t test) with significance level α = 5%. The result was four of five independent variables are significant which are exchange rate, oil price, interest rate, inflation rate, and FED Rate.
Keywords: property, real estate, and building construction, exchange rate, oil price,
inflation rate, FED Rate, GDP growth, OLS regression
© Copyright 2017
by Kevin Kurnia
All rights reserved
DEDICATION
I dedicate this works for my family
& for my friends in SGU Batch 26
ACKNOWLEDGEMENTS
This proposal research is made as a completion of the master education in Business Administration. Several persons have contributed academically, practically and with support to this proposal research. I would like to thank my lecturer Dr. Antonius TP.
Siahaan, SE., Akt., MM, Dr. Ir. Yosman Bustaman, MBA, and Ir. Muhril Ardiansyah, M.Sc, Ph.D for their time, valuable input and support throughout the entire master period.
Furthermore I would like to thank all of my friends in MBA program Batch for their help and support throughout the entire process and their constructive comments to the proposal research.
Finally I would like to thank my family and friends for being helpful and supportive
during my time studying Business Administration in Swiss German University.
TABLE OF CONTENT
Page
STATEMENT BY THE AUTHOR ... 1
ABSTRACT ... 2
DEDICATION ... 4
ACKNOWLEDGEMENTS ... 5
TABLE OF CONTENT ... 6
LIST OF FIGURES ... 9
LIST OF TABLES ... 10
CHAPTER 1: INTRODUCTION ... 11
1.1 Background of Study ... 11
1.2 Research Problem ... 16
1.3 Research Objectives ... 17
1.4 Scope and Limitation ... 17
1.5 Significance of Study ... 18
1.6 Thesis Framework ... 18
CHAPTER 2: LITERATURE REVIEW ... 20
2.1 Property, Real Estate And Building Construction Shares Index ... 20
2.2. Indonesian Stock Market ... 20
2.3 Factors of Stock Index Changes ... 21
2.3.1 Exchange Rate... 21
2.3.2 Oil price ... 22
2.3.3. Inflation Rate... 23
2.3.4 FED Rate... 25
2.3.5 GDP Growth ... 26
2.4 Previous Empirical Research ... 28
2.4.1 Previous Research (Journals) ... 28
2.4.2 Previous Research (Non-Journals) ... 33
CHAPTER 3: RESEARCH METHODOLOGY ... 35
3.1 Research Approach ... 35
3.2 Time and Place of Research ... 36
3.3 Research Model ... 37
3.3.1 Research Framework ... 37
3.3.2 Statistic Model... 37
3.3.3 Operational Variables ... 38
3.3.4 Model Hypothesis ... 38
3.4. Population & Sample ... 39
3.4.1 Population ... 39
3.4.2 Samples ... 40
3.4.3 Data Gathering ... 40
3.5. Method of Analysis ... 41
3.5.1 Descriptive statistic ... 41
3.5.2 Regression Output (OLS) ... 41
3.6. Test of Classic Assumption ... 43
3.6.1 Autocorrelation Test ... 43
3.6.2 Heteroscedasticity Test ... 44
3.6.3 Normality Test ... 44
3.6.4 Multicolinearity test ... 44
3.6.5 Unit Root Test ... 45
3.7 Inference Statistics ... 46
3.7.1 T-Test and p-value ... 46
3.7.2 F Test (ANOVA) ... 47
3.7.3 Coefficient of Determination ... 48
4.1.2 Independent Variables Description ... 52
4.2 Data Analysis and Discussion ... 62
4.2.1 Classical Assumption Test ... 62
4.2.2 Hypothesis testing ... 67
4.3 Discussion of Results ... 72
4.3.1 Hypothesis 1 ... 72
4.3.2 Hypothesis 2 ... 72
4.3.3 Hypothesis 3 ... 73
4.3.4 Hypothesis 4 ... 73
4.3.5 Hypothesis 5 ... 74
CHAPTER 5 - CONCLUSIONS AND RECOMMENDATIONS ... 76
5.1. Conclusions ... 76
5.2. Recommendations ... 77
LIST OF REFERENCES ... 78
APPENDIX ... 83
CURRICULUM VITAE ... 89
