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Hubungan Dinamis Antara Nilai Tukar Rupiah Dan Harga Saham Di Bursa Efek Jakarta Pasca Penerapan Sistem Devisa Bebas Mengambang

Author

Listed:
  • Setyorini Setyorini
  • Supriyadi Supriyadi

    (Akademi Manajemen Perusahaan YKPN, Yogyakarta, Indonesia
    Fakultas Ekonomi, Universitas Gadjah Mada, Yogyakarta, Indonesia)

Abstract

Studi ini bertujuan untuk menyediakan bukti empiris tentang hubungan dinamis antara nilai tukar terhadap dolar Amerika Serikat dan harga saham (IHSG) di Bursa Efek Jakarta (BEJ) setelah diterapkannya sistem kurs devisa bebas mengambang di Indonesia. Dua hipotesis diuji dalam penelitian ini, yaitu efek pergerakan IHSG di BEJ terhadap kurs rupiah dan sebaliknya, efek pergerakan kurs rupiah terhadap IHSG di BEJ. Pengujian hipotesis dilakukan dengan pendekatan uji unit root, kointegrasi, dan error correction model (ECM). Hasil studi ini menunjukkan bahwa di Indonesia, pergerakan IHSG di BEJ mempengaruhi pergerakan kurs rupiah terhadap dolar Amerika di pasar valuta asing dan bukan sebaliknya. Untuk data harian periode November 1998 - Desember 1999 ditemukan bahwa IHSG berpengaruh negatif dan signifikan pada kurs rupiah terhadap dolar AS baik secara long run maupun short run. Hal ini berarti bahwa bullish di pasar modal domestik (BEJ) mengakibatkan nilai tukar uang rupiah terhadap dolar Amerika terapresiasi. Begitu pula sebaliknya, keadaan bearish di pasar modal domestik akan mengakibatkan nilai tukar rupiah terhadap dolar Amerika terdepresiasi.

Suggested Citation

  • Setyorini Setyorini & Supriyadi Supriyadi, 2001. "Hubungan Dinamis Antara Nilai Tukar Rupiah Dan Harga Saham Di Bursa Efek Jakarta Pasca Penerapan Sistem Devisa Bebas Mengambang," Jurnal Akuntansi dan Auditing Indonesia, Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia, vol. 5(1), pages 59-79.
    • Handle: RePEc:uii:jaaife:v:5:y:2001:i:1:p:59-79
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