Macroeconomic Causality Toward Share Price Of State Owned Enterprises
This research is aimed to determine causal relationship of macro economic variables toward stock prices SOE (State Owned Enterprises) listed on IDX (Indonesia Stock Exchange) macro economic variables include economic growth, inflation, exchange rates and the Money Supply (JUB) and the price of state-owned shares of PT. Gas Negara Tbk, PT. Telekomunikasi Indonesia, Tbk and PT. Jasa Marga Tbk.
The data of this research are secondary data which obtained from various sources (Annual report of Bank Indonesia's economy and Yahoo Finance) during 2008-2015 period. This research uses Vector Autoregrresion approach at the level of First Difference and Granger Causality. The results of this research shows that, economic growth gives positive effect significantly. There is no causal relationship occured to the price of PT Jasa Marga, Tbk share and unsignificantly brings negative effect to the stock price of PT. Gas Negara and PT. Telekomunikasi, Tbk. Direct causality happens to the price of PT Gas Negara Tbk and PT. Telekonunikasi, Tbk shares. Inflation brings positive effect, but does not occur to the price of state-owned shares in infrastructure sector significantly. There is no causal relationship to the price of PT Telecommunications, Tbk and PT. Jasa Marga Tbk share. There are two different causality directions occured to the price of PT Gas Negara Tbk shares. Exchange rate brings positive effect on the share price of PT. Jasa Marga, Tbk significantly and brings negative effect on the stock price of PT. Telekomunikasi, Tbk unsignificantly. PT. Gas Negara, Tbk has direct causality relationship to the price of PT Telekomunikasi, Tbk shares. The causality relationship to the price of PT. Gas Negara and PT. Jasa Marga shares are not occured. JUB has no positive effect on the price of PT Jasa Marga shares significantly and brings negative effect the stock price of PT. Telecommunications, Tbk unsignificantly. PT. Gas Negara, Tbk has direct causality toward the three stock prices of SOE in infrastructure sector.
Adiningsih, Sri et al. 1998. Analysis Tools and Techniques Investment Analysis in Indonesian Capital Market. Jakarta: PT. Bursa Efek Jakarta.
Baridwan, Zaki. 1992. Corporate Financial Management. Jakarta: PT.Raja Grafindo Persada.
Boediono, (1994). Macro economics. Publisher BPFE. Yogyakarta
Kuncoro, Mudrajad. 2001.Metode Quantitative: Theory and Applications to Business and Financial Management. Yogyakarta: BPFE
Sucahyo, Sri, Deni. (2008). Impact Initiation of Dividend Share Price and Trading Volume Shares (A Study on IPO Companies Listed on the Jakarta Stock Exchange). Journal of Economics and BisnisVol. 5, Faculty of Economics, UNISSULA, Semarang.
Sukirno, Sadono. 2006. Economic Development Edition - 2. Indonesia. Kencana Prenada Media Group.
Suroso, G.T. 2015. Infrastructure and Economic Development, Widyaiswara BPPK
Wibowo, Andreas, 2006. Measuring Risk and Atraktivitas Infrastructure Investment in Indonesia. Journal Civil Engineering Vol 13, No July 3, 2006: 123-132.
Widarjono, A. 2009. Econometrics Introduction and Application. Yogyakarta: Ekonisia Faculty of Economics of UII.
- Saat ini tidak ada refbacks.