Macroeconomic Causality Toward Share Price Of State Owned Enterprises

Riwi Sumantyo, Dian Indah Nugrahani

Sari

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.

Kata Kunci

Granger Causality, Stock Price, Macroeconomics, Infrastructure

Teks Lengkap:

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Referensi

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