ANALISA PENGARUH INDEKS HARGA SAHAM LUAR NEGERI TERHADAP INDEX HARGA SAHAM GABUNGAN INDONESIA: SUATU BUKTI EMPIRIS

Abstract

Stock price index from one country to another is believed to be something that is integrated and has influence one another (domino effect). The purpose of this study was to determine the effect of foreign stock price index (Hang Seng-Hong Kong index, Topix-Tokyo index, KLSE-Malaysia index, Strait Times-Singapore index, Sensex-India index, AS51-Australia Index, DAX-Germany's index, PSEI-Philippnes index, and Nasdaq- American index) against JCI, this studies using daily data from January 2009 to 2012 with a descriptive causual method. Partial regression results show that each foreign stock index which has a significant effect on JCI. While the simultaneous testing showed that only hanseng index that does not have a significant influence on the JCI, despite foreign stock indexes which give a negative effect (they are the Topix index, DAX and AS51).
Keywords: IHSG, equity index, investment, globalization