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Analisis Pengaruh Harga Minyak Dunia, Nilai Tukar, Inflasi, dan Suku Bunga SBI Terhadap Pergerakan Indeks Harga Saham Gabungan di Bursa Efek Indonesia Periode 2009-2014

  • –2014 Bulan 2009 2010 2011 2012 2013
  • –2014

  68.36 72.95 109.04 96.70 101.03 107.89 Juli

  74.01 88.56 107.34 106.55 107.67

  75.57 Desember

  76.29 82.83 110.08 106.86 105.00

  85.06 November

  72.67 79.86 106.29 108.36 106.69

  95.98 Oktober

  67.17 74.63 107.61 110.67 108.73

  71.35 74.15 106.32 109.52 107.52 100.75 September

  64.59 72.51 111.62 102.28 104.45 105.61 Agustus

  56.98 74.48 109.94 108.07 100.65 105.44 Juni

  LAMPIRAN

LAMPIRAN 1

Data Bulanan Indeks Harga Saham Gabungan Bulanan Periode 2009

  50.20 82.33 118.09 118.18 101.05 104.27 Mei

  45.78 77.21 109.84 122.97 106.44 104.15 April

  41.41 72.99 100.29 111.48 112.75 105.00 Maret

  76.01 92.83 111.76 109.28 104.71 Februari

  41.54

  

Bulan 2009 2010 2011 2012 2013 2014

Januari

  

LAMPIRAN 2

Data Bulanan Harga Minyak Dunia Periode 2009

  Sumber :

  2341.54 3081.88 3841.73 4060.33 4195.09 September 2467.59 3501.30 3549.03 4262.56 4316.18 Oktober 2367.70 3635.32 3790.85 4350.29 4510.63 November 2415.84 3531.21 3715.08 4276.14 4256.44 Desember 2534.36 3703.51 3821.99 4316.69 4288.76

  Januari 1332.67 2610.80 3409.17 3941.69 4453.70 Februari 1285.48 2549.03 3470.35 3985.21 4795.79 Maret 1434.07 2777.30 3687.67 4121.55 4940.99 April 1722.77 2971.25 3819.62 4180.73 5034.07 Mei 1916.83 2796.96 3836.97 3832.82 5068.63 Juni 2026.78 2913.68 3888.57 3955.58 4818.90 Juli 2323.24 3069.28 4130.80 4142.34 4610.38 Agustus

  59.46 Sumber :

  

LAMPIRAN 3

Data Bulanan Kurs Rupiah Terhadap Dollar AS Periode 2009

  • –2014

  

Bulan 2009 2010 2011 2012 2013 2014

Januari 11223 9322 9082 9155 9,736 12,241

11921 9395 8957 9071 9,735 11,995

  Februari

Maret 11909 9220 8805 9211 9,758 11,484

April 11080 9072 8694 9221 9,773 11,493

Mei 10445 9229 8599 9337 9,810 11,584

  10258 9194 8607 9498 9,931 11,833 Juni

Juli 10162 9094 8576 9504 10,124 11,748

Agustus 10028 9017 8575 9547 10,625 11,765

September 9950 9021 8809 9614 11,403 11,950

  9530 8973 8940 9645 11,424 12,206 Oktober

November 9517 8983 9060 9676 11,671 12,220

Desember 9505 9068 9134 9694 12,148 12,500

  Sumber :

  

LAMPIRAN 4

Data Bulanan Tingkat Inflasi Periode 2009 - 2014 Bulan 2009 2010 2011 2012 2013 2014 Januari 9.17% 3.72% 7.02% 3.65% 4.57% 8.22%

  8.60% 3.81% 6.84% 3.56% 5.31% 7.75% Februari Maret 7.92% 3.43% 6.65% 3.97% 5.90% 7.32% April 7.31% 3.91% 6.16% 4.50% 5.57% 7.25% Mei 6.04% 4.16% 5.98% 4.45% 5.47% 7.32%

  3.65% 5.05% 5.54% 4.53% 5.90% 6.70% Juni Juli 2.71% 6.22% 4.61% 4.56% 8.61% 4.53% Agustus 2.75% 6.44% 4.79% 4.58% 8.79% 3.99% September 2.83% 5.80% 4.61% 4.31% 8.40% 4.53%

  2.57% 5.67% 4.42% 4.61% 8.32% 4.83% Oktober November 2.41% 6.33% 4.15% 4.32% 8.37% 6.23% Desember 2.78% 6.96% 3.79% 4.30% 8.38% 8.36%

  Sumber :

  

LAMPIRAN 5

Data Bulanan Suku Bunga SBI Periode 2009 - 2014

Bulan 2009 2010 2011 2012 2013 2014

Januari 10.22983 6.45819 6.08058 4.88325 4.84021 7.23217

Februari 8.77326 6.4305 6.70542 3.8229 4.86119 7.17434

Maret 8.36649 6.34657 6.71887 3.82637 4.8695 7.12591

April

  7.71843 6.25054 7.17517 3.9257 4.89075 7.13529

Mei 7.28669 6.28197 7.36011 4.23785 5.02275 7.14912

Juni 6.95526 6.26221 7.36317 4.32005 5.27558 7.13715

Juli 6.76254 6.26221 7.27563 4.45727 5.52051 7.09418

Agustus 6.59493 6.26221 6.77557 4.54005 5.85743 6.97263

September 6.50765 6.63677 6.28206 4.67165 6.60944 6.88248

Oktober 6.46936 6.36967 5.76845 4.74612 6.96715 6.84809

November 6.47613 6.36967 5.22412 4.77039 7.21565 6.86651

Desember 6.46416 6.36967 5.03858 4.80274 7.21695 6.90129

  Sumber

  

LAMPIRAN 6

Data Tabulasi Perubahan Perubahan Harga Minyak Dunia, Nilai Tukar, Inflasi,

Suku Bunga SBi dan IHSG Periode 2009-2014

Harga

  Minyak Nilai Tukar Inflasi SBI

  IHSG

  0.0762 0.474 -0.1709 -0.0682 -0.0168

  • 0.0031 0.0622 -0.0622 -0.1424 -0.0354
  • 0.0551 -0.0094 -0.2575 -0.0277 0.1463
  • 0.0586 -0.0078 0.0291 -0.0132 0.0538
  • 0.0299 -0.0013 0.1535 -0.0018 0.0491
  • 0.0397 0.0078 0.0242 -0.0043 -0.0237
  • 0.0953 0.0173 0.0639 0.005 -0.0587
  • 0.0205 -0.0038 0.2139 -0.0031 0.0417
  • 0.006 -0.0109 0.2317 0.0534 0.0226 -0.0085 0.0354 0.0041 0.0065 0.0004 -0.0994 0.0598 0.1361 0.0701 -0.0053 -0.0224 -0.0402 0.0383 0.0372 0.0011 0.1164 -0.0286 0.0692 0.0095 0.0995 0.0488

  0.1055 -0.001 -0.0791 -0.0464 0.1156 0.0965 -0.0696 -0.077 -0.0775 0.2013 0.1351 -0.0573 -0.1737 -0.0559 0.1126 0.1997 -0.0179 -0.3957 -0.0455 0.0574

  0.1047 -0.0132 0.0148 -0.0248 0.0079

  0.0819 -0.0422 -0.0919 -0.0059 -0.0405 0.0498 -0.0014 -0.0623 0.001 0.0203

  0.027 -0.0193 0.3381 -0.0009 0.0302

  0.0578 -0.0186 -0.0997 -0.0131 0.0896 0.0663 -0.0161 0.1399 -0.0151 0.0698

  0.0482 0.0015 0.0086 -0.0454 -0.0795 0.0804 -0.0138 -0.0256 0.1028 0.0179 0.0952 -0.017 -0.0278 0.002 0.0626 0.0751 -0.0126 -0.0737 0.0679 0.0358

  • 0.069 -0.0109 -0.0292 0.0258 0.0045
  • 0.0082 0.0009 -0.0736 0.0004 0.0134
  • 0.0475 -0.0001 0.039 -0.0687 -0.07
  • 0.0123 0.0149 -0.0412 -0.0818 0.0681

  0.0237 -0.0036 -0.1679 -0.0119 0.0623

  0.0121 0.0273 -0.0376 -0.0728 -0.0762

  0.0357 0.0134 -0.0611 -0.0944 -0.02

  • 0.0249 0.0082 -0.0867 -0.0355 0.0288

  0.0412 0.0023 -0.0369 -0.0308 0.0313

  • 0.0025 -0.0092 -0.0247 -0.2171 0.011

  0.1031 0.0154 0.1152 0.0009 0.0342

  • 0.039 0.0011 0.1335 0.026 0.0144
  • 0.0855 0.0126 -0.0111 0.0795 -0.0832
  • 0.1052 0.0172 0.018 0.0194 0.032

  0.0577 0.0006 0.0066 0.0318 0.0472 0.0708 0.0045 0.0044 0.0186 -0.0198 0.0105 0.007 -0.059 0.029 0.0498

  • 0.0209 0.0032 0.0696 0.0159 0.0206
  • 0.0138 0.0032 -0.0629 0.0051 -0.017
  • 0.0029 0.0019 -0.0046 0.0068 0.0095

  0.0256 0.0043 0.0628 0.0078 0.0317 0.0318 -0.0001 0.1619 0.0043 0.0768

  • 0.056 0.0024 0.1111 0.0017 0.0303
  • 0.0506 0.0015 -0.0559 0.0044 0.>0.004 0.0038 -0.018 0.027 0.0069 0.0038 0.0123 0.0786 0.0503 -0.0493 0.0339 0.0194 0.4593 0.0464 -0.0433 0.0294 0.0495 0.0209 0.061 -0.0901 0.0113 0.0732 -0.0444 0.1284 0.0289
  • 0.0188 0.0018 -0.0095 0.0541 0.0451

  • 0.0158 0.0216 0.006 0.0357 -0.0564

  0.0254 0.0409 0.0012 0.0002 0.0076

  • 0.0275 0.0077 -0.0191 0.0021 0.0303

  0.0028 -0.0201 -0.0572 -0.008 0.0456

  • 0.0081 -0.0426 -0.0555 -0.0068 0.032

  0.0012 0.0008 -0.0096 0.0013 0.0151 0.0112 0.0079 0.0097 0.0019 0.0111 0.0232 0.0215 -0.0847 -0.0017 -0.0031

  • 0.0211 -0.0072 -0.3239 -0.006 0.0431
  • 0.046 0.0014 -0.1192 -0.0171 0.
  • 0.0473 0.0157 0.1353 -0.0129 0.0001
  • 0.1138 0.0214 0.0662 -0.005 -0.0093
  • 0.1116 0.0011 0.2899 0.0027 0.0119
  • 0.2132 0.0229 0.3419 0.0051 0.015

  LAMPIRAN 11

HASIL PENGUJIAN SPSS

1. Uji Asumsi Klasik

1.1 Uji Normalitas One-Sample Kolmogorov-Smirnov Test

  Most Extreme Differences Absolute .096 Positive .082 Negative -.096

  Kolmogorov-Smirnov Z .818 Asymp. Sig. (2-tailed) .515 a. Test distribution is Normal.

  b. Calculated from data.

  72 Normal Parameters a,b Mean .0202569 Std. Deviation .02127248

  N

  Unstandardized Predicted Value

1.2 Uji Heterokedastisitas

  Uji Park a

Coefficients

  Model Standardized

  Unstandardized Coefficients Coefficients B Std. Error Beta t Sig. 1 (Constant) -7.747 .295 -26.221 .000

  HargaMinyak 3.792 4.764 .102 .796 .429 NilaiTukar 3.779 4.875 .093 .775 .441 Inflasi 3.094 2.291 .175 1.350 .181 SBI -5.981 5.947 -.123 -1.006 .318

  a. Dependent Variable: LnU2i

1.3 Uji Autokorelasi Runs Test

  Unstandardized a Residual Test Value .00069 Cases < Test Value

  36 Cases >= Test Value

  36 Total Cases

  72 Number of Runs

  41 Z .950 Asymp. Sig. (2-tailed) .342

  a. Median

  Uji Durbin-Watson (DW) b Model Summary

  Model Adjusted R Std. Error of the dimension0 R R Square Square Estimate Durbin-Watson a 1 .402 .162 .112 .0498533 2.091 a. Predictors: (Constant), SBI, NilaiTukar, HargaMinyak, Inflasi

  b. Dependent Variable: IHSG

1.4 Uji Multikolinieritas Coefficients

  a

2. Pengujian Hipotesis Variables Entered/Removed

  Model R R Square Adjusted R Square Std. Error of the Estimate dimension0 1 .402 a .162 .112 .0498533

  b. Dependent Variable: IHSG

  a. Predictors: (Constant), SBI, NilaiTukar, HargaMinyak, Inflasi

  1 Regression .032 4 .008 3.232 .017 a Residual .167 67 .002 Total .199 71

  b Model Sum of Squares df Mean Square F Sig.

  b. Dependent Variable: IHSG

  a. Predictors: (Constant), SBI, NilaiTukar, HargaMinyak, Inflasi

  Model Summary b

  Model Unstandardized Coefficients

  b. Dependent Variable: IHSG

  1 SBI, NilaiTukar, HargaMinyak, Inflasi a . Enter a. All requested variables entered.

  Model Variables Entered Variables Removed Method dimension0

  b

  a. Dependent Variable: IHSG

  VIF 1 (Constant) .021 .006 3.517 .001 HargaMinyak .146 .097 .180 1.500 .138 .872 1.147 NilaiTukar -.244 .100 -.276 -2.455 .017 .989 1.011 Inflasi -.068 .047 -.178 -1.463 .148 .845 1.183 SBI -.047 .121 -.044 -.384 .702 .951 1.052

  B Std. Error Beta Tolerance

  Collinearity Statistics

  Standardized Coefficients t Sig.

a. Uji F Simultan ANOVA

  b. Uji t Parsial Coefficients

a

  Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) .021 .006 3.517 .001

  HargaMinyak .146 .097 .180 1.500 .138 NilaiTukar -.244 .100 -.276 -2.455 .017 Inflasi -.068 .047 -.178 -1.463 .148 SBI -.047 .121 -.044 -.384 .702

  a. Dependent Variable: IHSG

  c. Koefisien Determinasi (Uji Goodeness of Fit) Variables Entered/Removed b

  Model Variables Entered Variables Removed Method 1

  1 SBI, NilaiTukar, HargaMinyak, Inflasi a

  . Enter a. All requested variables entered.

  b. Dependent Variable: IHSG

  Model Summary b

  Model R R Square Adjusted R Square Std. Error of the Estimate dimension0 1 .402 a .162 .112 .0498533

  a. Predictors: (Constant), SBI, NilaiTukar, HargaMinyak, Inflasi

  b. Dependent Variable: IHSG

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