MODEL PENGARUH KINERJA EKONOMI DAN KINERJA PASAR UANG TERHADAP KINERJA BURSA EFEK INDONESIA
ABSTRACT: Based on rule of
thumb, economic growth will influence the capital market performance and
financial market performance will affect the capital market performance. We use
the Error correction model approach to analysis between variable. TARCH
approach is employed, based on the ‘identification through heteroscedasticity’
technique, to estimate the impact of a change in the growth and kurs variable
to IHSG. This study indicates that economic growth is not affect IHSG
statistically significant in the short run, but positive statistically
significant in the long run. This study show that increasing in $US exchange rate
will lessening capital market performance. Additional analysis in this research
shows the linear function model more proper than log-linear function model to
predict this relationship.
Keyword: capital market
performance, financial market performance, TARCH
Penulis: Efraim Ferdinan Giri
Kode Jurnal: jpmanajemendd080114
