Analyzing the effect of macroeconomic toward LQ45 Index: time series analysis from 2013-2022

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Maulana, Yuda (2025) Analyzing the effect of macroeconomic toward LQ45 Index: time series analysis from 2013-2022. Undergraduate thesis, institute ipmi.

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Abstract

The study investigates the impact of macroeconomic variables - namely the dow jones industrial average (DJIA), Exchange rate (US/IDR), Bank Indonesia(BI) rate, and gross domestic product (GDP) Growth - on the LQ45 index in indonesia,utilizing weekly data from 2013 to 2022. Through time series analysis, the research explores both the individual effect of these variables and the moderating influence of the BI Rate on the relationship between the excahneg rate are significant deteminants of the LQ45 index, with the DJIA showing a strong positive influence,consistent with the theory that U.S market performance significantly impact emerging markets. The exchange rate demostrated a negative effect, reflecting the adverse impact of rupiah appreciation on the export-driven indonesia economy.The BI Rate, while negatively correlated with LQ45 index,showed an interesified the critical role of monitery policy in shaping stock market performance impacts emerging markets. The exchange rate demonstrated a negative effect, reflecting the adverse impact of rupiah appreciation on the export-driven indonesia economy.The BI Rate, while negatively correlated with the exchange rate, high lighting the critical role of monetery policy in shapping stock market performance. However, GDP growth, although initialy significant, lost its impact when the moderating variable was introduced, suggesting that its influence on the stock market is more complex and potentially overshadowed by other macroeconomic factors.This research contributes to understanding of how global and domestic economic indicators influence stock market dynamics in indonesia, offering valuable insights for investor and policy makers. The study underscores the importance of considering the interplay between exchange rates and monitery policy, particularly in the context of an interconnected global financial system.

Item Type:	Thesis (Undergraduate)
Subjects:	H Social Sciences > H Social Sciences (General)
Divisions:	Thesis > Bachelor of Business Administration
Depositing User:	sandra margaretha
Date Deposited:	25 Feb 2025 09:30
Last Modified:	25 Feb 2025 09:30
URI:	http://repository.ipmi.ac.id/id/eprint/2664

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