Vania Jessica_Abstract_1732013

HUBUNGAN NILAI KURS DENGAN INDEKS HARGA SAHAM PERTANIAN DI INDONESIA
  
Vania Jessica Tedjamulia
Sahala Manalu
Rony Joyo Negoro Octavianus
Fakultas Ekonomi dan Bisnis Universitas Ma Chung Malang
Villa Puncak Tidar N-01 Malang, 65151.

Korespondensi dengan penulis:
Vania Jessica Tedjamulia: Telp. +62 341 550 171; Fax. +62 341 550 175
E-mail: 111010081@student.machung.ac.id

Abstract
This study was conducted to test the independent variable exchange rate USD/IDR, EUR/IDR, JPY/IDR, and the dependent variable agricultural stock index during five years (2008-2012). Sampling technique used was purposive sampling method. Data analysis technique used was Auto Regressive Distributed Lag (ARDL) proposed by Pesaran et al. (2001) in order to investigate the order of co-integration. Hypothesis test used was F-test to test the simultaneous effect and t-test for testing the partial regression coefficient with a significance level of 5%. F-test results indicated that exchange rate of USD/IDR, EUR/IDR, and JPY/IDR gave significant effect on agriculture stock index. The t-test results indicated that the variable exchange rate of USD/IDR, EUR/IDR and JPY/IDR gave partially significant effect on agricultural stock index period 2008-2012. Adjusted R square (R2) was 7,8%. The statistical results of Auto Regressive Distributed Lag indicated that changes in USD/IDR and JPY/IDR were negatively related to changes in stock price index of agriculture. EUR/IDR had a positive impact to the stock price index of agriculture

Keywords: agriculture stock price index, exchange rate, USD/IDR, EUR/IDR, JPY/IDR.

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