The Effect of Exchange Rate Changes Toward Stock Price In Indonesia

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Adiprabowo, Edward Teguh (2019) The Effect of Exchange Rate Changes Toward Stock Price In Indonesia. Undergraduate thesis, Sekolah Tinggi Manajemen IPMI.

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Abstract

Capital market, by definition, according to Investopedia.com, is a venue where savings and investments are channeled between the suppliers who have capital and those who need capital. IDX or Bursa Efek Indonesia (BEI), was established in December 1912, located in Jakarta. IDX has around 600 companies being listed in its stock indexes with total capitalization reaches 7,200 trillion rupiah in August 2019. In 2018, the US Federal Reserve increased its Federal Fund Rate (FFR) four times and it impacts the economy situation of other nations, such as Indonesia. Two of the most visible impacts during the year were Indonesia’s Rupiah (IDR) weakened against US Dollar (USD) and the national stock exchange performance was also less positive. During the time, investors might see it both as a crisis and opportunity for longer term investment, since stock prices of LQ45 stocks, in which considered as the most active stocks in Indonesia, were generally affected. This study aims to achieve the research objective, to examine and analyze whether USD rates in Indonesia in 2009-2018 has linear correlation with Indonesia’s LQ45 stock prices return, and answer the research question, do the changes of USD rates in Indonesia has significant relationship with Indonesia’s LQ45 stock prices return in 2009-2018? The null hypothesis of the study being tested in this thesis is that USD rates in Indonesia has no significant relationship with Indonesia’s LQ45 stock prices return in 2009-2018, and the alternate hypothesis is that USD rates in Indonesia has significant relationship with Indonesia’s LQ45 stock prices return in 2009-2018. The author conducted a research of regression analysis between LQ45 stocks toward USD exchange rates in Indonesia’s 2009-2018 stock market situation. According to the final test, hypothesis testing, based on the regression significance, the value of -.338 is not equal to zero, in which approves that we should reject H0 and approve Ha. Based on the t-test result, it resulted in -5.743, or 5.743 in its absolute value, in which is higher than the t-table value, 1.646 (df: 2000 with 95% confidence level), it means that between the variables has strong significance of correlation, and it means we should reject H0 and accept Ha. The last parameter of hypothesis being implemented in this thesis is the F-Test in the ANOVA result, in the assessment result we can see that the F significance value is .000, which is less than 0.05, this test also proves that we should reject H0 and accept Ha. The conclusion of this study is that the research objective, question, and hypothesis has been answered with, it is proven that there is a negative significant relationship between USD to IDR exchange rate changes to LQ45 stock price return in 2009-2018.

Item Type: Thesis (Undergraduate)
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HJ Public Finance
Divisions: Thesis > Bachelor of Business Administration
Depositing User: Hasna Salsabila
Date Deposited: 16 Jan 2020 08:58
Last Modified: 17 Jan 2020 03:22
URI: http://repository.ipmi.ac.id/id/eprint/262

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