ANALISIS HUBUNGAN KAUSALITAS NILAI TUKAR DAN INDEKS HARGA SAHAM GABUNGAN PERIODE JANUARI 2007 - DESEMBER 2009

IQBAL, MUHAMMAD YUSUF and Sariman, Tatang A. Madjid and Asngari, Imam (2010) ANALISIS HUBUNGAN KAUSALITAS NILAI TUKAR DAN INDEKS HARGA SAHAM GABUNGAN PERIODE JANUARI 2007 - DESEMBER 2009. Undergraduate thesis, Sriwijaya University.

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Abstract

This research is aimed at identifying cause and effect relationship of rupiah and dollar exchange rates and overall stock indices (OVI) of January 2007 to December 2009. This research uses secondary data and the data is analyzed in qualitative and quantitative manner using the Granger causality test and the Vector Autoregression model. The research results shovv that there is a one-way causality relationship; the overall stock indices variable influences the exchange rate variable. Conversely, the exchange rate variable does not statistically influence the change of overall stock indices. The trends of two variables are negative; the change of the overall stock indices affects the exchange rates in a negative vvay. In other words, increase (decrease) of OVI will affect appreciation (depreciation) of the rupiah and dollar exchange rates. Statistically, when OVI increase, investments flow in and therefore affect the exchange rates. Conversely, the exchange rates do not influence the OVI.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Exchange rates, overall stock indices, Granger causality
Subjects:	H Social Sciences > HG Finance > HG1621-1638 Interest rates. Interest tables H Social Sciences > HG Finance > HG4551-4598 Stock exchanges
Divisions:	01-Faculty of Economics > 60201-Development Economics (S1)
Depositing User:	Mr. Muhammad Irwan
Date Deposited:	21 Jun 2021 07:41
Last Modified:	21 Jun 2021 07:41
URI:	http://repository.unsri.ac.id/id/eprint/48362

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