Asimetris Nilai Tukar Rupiah Terhadap Harga Saham Sektor Keuangan Periode 2013-2019

  • Abdul Aziz UIN SUKA Yogyakarta
Keywords: Asimetris, NARDL, Kurs

Abstract

This paper examines the asymmetrical effect of the rupiah exchange rate on financial sector stock prices on the Indonesian stock exchange using the Non-Linear Autregressive Distributed Lag (NARDL) method with monthly data. Estimation results show that interest rates and exchange rates affect the movement of stock prices in the financial sector, there is a long-term relationship between the exchange rate with financial sector stock prices, our results also show the asymmetrical impact of exchange rate variables on financial sector stock prices, we also find when the exchange rate is positive (appreciation ) the effect is lower than when the exchange rate is negative (depreciation).

 

Tulisan ini meneliti tentang efek asimetris kurs rupiah terhadap harga saham sektor keuangan di bursa efek Indonesia dengan menggunakan metode Non-Linier Autregressive Distributed Lag (NARDL) dengan data bulanan.  Hasil estimasi menunjukkan bahwa  suku bunga dan kurs berpengaruh terhadap pergerakan harga saham sektor keuangan, terdapat hubungan jangka panjang antara kurs dengan harga saham sektor keuangan, hasil kami juga menunjukkan dampak asimetris variabel kurs terhadap harga saham sektor keuangan, kami juga menemukan ketika kurs positif (apresiasi) pengaruhnya lebih rendah dibandingkan saat kurs negative (depresiasi).

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Published
2020-09-26
How to Cite
Aziz, A. (2020). Asimetris Nilai Tukar Rupiah Terhadap Harga Saham Sektor Keuangan Periode 2013-2019. SERAMBI: Jurnal Ekonomi Manajemen Dan Bisnis Islam, 2(3), 143 - 152. https://doi.org/10.36407/serambi.v2i3.198
Section
Articles