Pengaruh Harga Minyak Dunia Dan Kurs Rupiah Terhadap Kinerja Bursa Efek Indonesia (BEI)

Abstract

The objective of this research is to determine the effect of oil price on the performance of Indonesia Stock Exchange (IDX) by observations on Jakarta Stock Exchange Composite (JKSE), exchange rate toward the performance of Indonesia Stock Exchange (IDX), and to determine the interrelationship between exchange rates and the performance of IDX. This research use JKSE, crude oil price, and exchange rates (USD-IDR) anda data used in this research are weekly from 6th January 2013 – 27th December 2015. The analysis tool that used in this research is Vector Autoregression (VAR) and Granger Causality Test. The results showed that the effect of oil prices on the Stock Exchange performance is not significant, the effect of the exchange rate against IDX performance significantly positive with no lag test, and the unidirectional relationship between the exchange rate and stock index. Keywords: Crude oil prices, Exchange rate changes, Indonesia Stock Exchange (IDX), VAR