ANALISIS HUBUNGAN DINAMIS ANTARA KINERJA EKONOMI MAKRO DENGAN INDEKS HARGA SAHAM SEKTOR PROPERTI 2006:1-2009:12
This study aims to analyze the dynamic relationship between macroeconomic performance with stock price index property sector. The method of analysis used is the Vector Autoregression (VAR). The data used in this study is a secondary data with time intervals (time series) during the period 2006:1-200...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2011
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/90789/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53300 |
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| Summary: | This study aims to analyze the dynamic relationship between
macroeconomic performance with stock price index property sector. The method
of analysis used is the Vector Autoregression (VAR).
The data used in this study is a secondary data with time intervals (time
series) during the period 2006:1-2009:12 obtained from Badan Pusat Statistik
(BPS), Bank Indonesia (BI), Indonesia Stock Exchange (IDX) and literature
review obtained from the text books and articles in scientific journals.
Based on the results of the analysis there are no variables stationary at
level, all variables in this study have been stationary at first difference level. From
the results of cointegration test using the Johansen�s Cointegration Test method.
Known establishment is not cointegration equation. VAR estimation results
difference froms, showing the movement of stock price indices in addition to the
property sector affected the stock price index of the sector property itself, but also
influence the exchange rate variable. These results reinforced the impulse
response analysis and variance decomposition. |
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