PENGARUH UANG BEREDAR TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BURSA EFEK INDONESIA PERIODE 1998:1-2009:12
ABSTRACT: In an efficient
market, information about macroeconomic of growth variables both in the present
and in the past fully reflected in asset prices, when the information was published
already predicted the stock price will not change (neutral). This study aims to
see the neutrality of money supply in the stock market by looking at the impact
of money supply in the narrow sense (M1) and money supply in the broad sense
(M2) on the Composite Stock Price Index (CSPI) in Indonesia Stock Exchange.
This study uses quantitative analysis with a model developed by Fisher and
Seater (1993) to test the neutrality of money through the method of Ordinary
Least Square (OLS) First-Difference. The data used are time series per month
from 1998 until 2009. The results shows that the variable M1 does not affect
(neutral) against CSPI in the long term. While the M2 variables affect the CSPI
(not neutral) in the long run. Based on estimates, the variable M2 is
cointegrated with CSPI, so that it can affect the index in the long term.
Keywords: CSPI, money supply,
efficient market hypothesis, fisher and seater model, OLS
Penulis: Henny Rahyuda
Kode Jurnal: jpmanajemendd110178
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