MACROECONOMIC CAUSALITY TOWARD SHARE PRICE OF STATE OWNED ENTERPRISES
DOI:
https://doi.org/10.24034/j25485024.y2017.v1.i4.81Keywords:
kausalitas granger, harga saham, makroekonomi, infrastrukturAbstract
Penelitan ini bertujuan untuk mengetahui hubungan kausalitas variabel-variabel makroekonomi terhadap harga saham BUMN (Badan Usaha Milik Negara) yang tercatat di BEI (Bursa Efek Indonesia). Variabel makroekonomi meliputi pertumbuhan ekonomi, inflasi, kurs dan Jumlah Uang Beredar (JUB) dan harga saham BUMN bidang Infrastruktur meliputi PT. Perusahaan Gas Negara, Tbk, harga saham PT. Telekomunikasi Indonesia , Tbk dan harga saham PT. Jasa Marga, Tbk. Penelitian ini menggunakan pendekatan Vector Autoregrresion pada tingkat First Difference dan Kausalitas Granger. Hasil penelitian ini menunjukkan pertumbuhan ekonomi memiliki pengaruh positif signifikan, tidak terjadi hubungan kausalitas terhadap harga saham PT. Jasa Marga, Tbk serta negatif tidak signifikan pada harga saham PT. Perusahaan Gas Negara dan PT. Telekomunikasi Indonesia hubungan kausalitas searah terjadi pada harga saham PT. Perusahaan Gas Negara, Tbk dan PT. Telekomunikasi Indonesia, Tbk. Inflasi memiliki pengaruh postif tidak signifikan terhadap ke tiga harga saham BUMN bidang infrastruktur dan tidak terjadi hubungan kausalitas pada harga saham PT. Telekomunikasi Indonesia, Tbk dan PT. Jasa Marga, Tbk.
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