Analisis Hubungan Antara Indeks Harga Saham dan Nilai Tukar di Indonesia (Emerging Market) dan di Singapura (Developed Market) menggunakan Analisis Vector Error Correction Model (VECM)

Adhayani Mentari Paramata

Abstract


Penelitian ini bertujuan untuk melihat hubungan jangka panjang antara harga saham (closing price) dengan nilai tukar di Indonesia sebagai emerging market dan Singapura sebagai developed market. Penelitian ini menggunakan Vector Error Correction Model (VECM) dan hasil penelitian menemukan bahwa harga saham dan nilai tukar di Indonesia dan Singapura mempunyai hubungan kointegrasi dan mengikuti pendekatan Portofolio Balanced Effect.

Keywords


ICAPM, Harga Saham, Nilai Tukar, VECM

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DOI: http://dx.doi.org/10.37905/aksara.8.1.621-630.2022

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