ABSTRAK
ANALISIS PENGARUH PERUBAHAN HARGA MINYAK DUNIA DAN NILAI TUKAR RUPIAH/US$ TERHADAP PERGERAKAN
INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PERIODE 2009 – 2012
Tujuan dari penelitian ini adalah untuk menganalisis pengaruh perubahan Harga Minyak Dunia dan Nilai Tukar Rupiah/US$ terhadap Pergerakan Indeks Harga Saham Gabungan di Bursa Efek Indonesia selama periode 2009-2012. Penelitian ini mengambil rentang waktu dari bulan Januari 2014 sampai dengan Juni 2014. Data yang digunakan dalam penelitian ini merupakan data sekunder yang diperoleh dari data harian dan bulanan yang tergantung waktu (time series) yang dipublikasikan oleh OPEC (Organization of Petroleum Exporting Countries), Bank Indonesia dan Bursa Efek Indonesia dan diolah menggunakan Analisis Regresi Linier Berganda. Hasil penelitian menunjukkan bahwa Perubahan Harga Minyak Dunia dan Nilai Tukar secara simultan berpengaruh signifikan terhadap Pergerakan Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) selama periode 2009-2012. Secara parsial, Harga Minyak Dunia berpengaruh positif dan tidak signifikan terhadap pergerakan IHSG di Bursa Efek Indonesia selama periode 2009-2012, sedangkan Nilai Tukar berpengaruh negatif dan signifikan terhadap pergerakan IHSG di Bursa Efek Indonesia selama periode 2009-2012. Perubahan nilai tukar memberikan pengaruh yang lebih besar terhadap pergerakan indeks harga saham gabungan. Hal ini berarti, adanya perubahan nilai tukar sangat mempengaruhi investor untuk memilih berinvestasi di pasar modal Indonesia.
Kata Kunci: Harga Minyak Dunia, Nilai Tukar, dan Indeks Harga Saham Gabungan
ABSTRACT
ANALYSIS OF WORLD OIL PRICE CHANGES AND EXCHANGE RATE RUPIAH/US $ ON MOVEMENT OF COMPOSITE STOCK PRICE
INDEX IN STOCK INDONESIAN EXCHANGE PERIOD 2009 – 2012
The purpose of this study was to analyze the effect of changes in World Oil Price and Exchange Rate rupiah/dollar movement against Composite Stock Price Index at the Indonesian Stock Exchange during the period 2009-2012. This study took the time span from January 2014 through to June 2014. Data which used in this study is a secondary data which obtained from daily and monthly data depending on time (time series) published by OPEC (Organization of Petroleum Exporting Countries), Bank Indonesia and the Indonesia Stock Exchange and processed by using Multiple Linear Regression Analysis. The results showed that the changes of World Oil Price and Exchange Rate simultaneous is significant effect on the movement of Stock Price Index (CSPI) in Indonesia Stock Exchange (IDX) during the period 2009-2012. Partially, Oil prices is positive effect and not significant to the movement of Stock Price Index in Indonesia Stock Exchange during the period 2009-2012, while the Exchange is negative effect and significant on the movement of Stock Price Index in the Indonesia Stock Exchange Composite during the period 2009-2012. Changes in the exchange rate gives greater influence to the movement of the stock price index. It means, the change in the exchange rate is affect the investors to choose to invest in the Indonesian capital market.
Keywords: World Oil Prices, Exchange Rate and Stock Price Index
