Pengaruh Variabel Ekonomi Makro dan Kebijakan Moneter Terhadap Indeks Saham di ASEAN dan Negara Maju
DOI:
https://doi.org/10.23969/jrie.v4i2.114Keywords:
Teori Penetapan Harga Arbitrase, Indeks Saham, Variabel Makroekonomi, Kebijakan MoneterAbstract
Pasar saham merupakan bagian penting dari pasar keuangan dalam perekonomian. Dengan menggunakan Teori Penetapan Harga Arbitrase, penelitian ini bertujuan untuk mengetahui pengaruh variabel makroekonomi dan kebijakan moneter terhadap indeks saham di 5 negara ASEAN dan 4 negara maju tahun 2010-2019. Metode yang digunakan adalah Data Panel dengan menggunakan Model Efek Tetap (Fixed Effect Model/FEM). Variabel bebas makroekonomi adalah inflasi, jumlah uang beredar, dan nilai tukar, sedangkan suku bunga bank sentral merupakan variabel kebijakan moneter. Di negara ASEAN dan negara maju, inflasi dan nilai tukar berpengaruh positif terhadap kedua kelompok negara tersebut, namun pengaruhnya lebih besar terhadap negara maju, sedangkan suku bunga kebijakan berdampak negatif namun intensitas pengaruhnya di negara ASEAN lebih besar. Perbedaan dari perbandingan ini terdapat pada jumlah uang beredar, dimana ASEAN memiliki pengaruh positif, sedangkan negara maju memiliki pengaruh negatif. Hal ini dapat disebabkan oleh faktor ekspektasi inflasi, likuiditas pasar, dan pertumbuhan ekonomi. Kontribusi penelitian ini bagi negara-negara ASEAN, khususnya Indonesia, adalah mengidentifikasi faktor-faktor ekonomi makro yang memengaruhi pergerakan indeks saham, membantu pembuat kebijakan dalam merumuskan kebijakan yang efektif, mengembangkan strategi investasi yang lebih baik, dan mengurangi risiko pasar.
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