MENGUKUR KEMAMPUAN VARIABEL INDEKS SAHAM LUAR NEGERI, EKONOMI MAKRO, DAN PASAR KOMODITAS DALAM MEMPREDIKSI INDEKS HARGA SAHAM GABUNGAN INDONESIA

Abstract

Stock index market which have high volatility that was a picture of the potential return as well as its risk. Keeping in observation, assessment and in-depth research will enable to achieve a good profit and minimize the risks in such investments. This study aimed to determine whether a variable commodity market price, the stock price index and the macro-economic in Indonesia that can be a good predictors determining the stock price index in Indonesia. The results of this study indicated that there was a positive relationship between the variables of commodity market price, the stock price index and the macro-economic in Indonesia against Indonesian stock price index, with the magnitude of the R-square 0.934703. Furthermore, it was found that the variable market price of commodities, the stock price index and the macroeconomic in Indonesia against Indonesian stock price index can be the best predictors in determining the stock price index of Indonesia, which found that the price of the commodity markets have a significant positive effect on the Indonesian stock price, overseas stock price index had a positively significant effect on the Indonesian stock price, and the macro-economic condition in said country which had a significant positive effect on the stock price of Indonesia.

Keywords: stock market, Jakarta composite index, macro-economics, commodities market, consumer price index, gross domestic product.