PERGERAKAN HARGA SAHAM AKIBAT PERUBAHAN NILAI TUKAR, INFLASI, TINGKAT BUNGA, DAN GROSS DOMESTIC PRODUCT
Shinta Heru Satoto
Jurusan Manajemen Fakultas Ekonomi UPN “Veteran” Yogyakarta
Jl. SWK 104 Ring Road Utara, Condong Catur, Yogyakarta, 55283.
Korespondensi dengan Penulis:
Shinta Heru Satoto: Telp. +62 274 486377; Fax. +62 274 486 255
The purposes of this study were to provide an empirical evidence of the influence of macroeconomic variables and the time varying volatility phenomena on stock price. This research used manufactured firms that list on Indonesian Capital Market on 2009 until 2011 periods for the sampel. This research also used several macroeconomics variables such as exchange rate, inflation, BI rate, and Gross Domestic Product. The empirical result showed that exchange rate, BI rate, and Gross Domestic Product influenced stock price. The result also showed that time varying volatility was happenend on stock price fluctuation. This result indicated that Indonesian stock price have high volatility on 2009 til 2011 periods
Keywords: BI rate, exchange rate, gross domestic product, inflation, time varying volatiliy