Hubungan Kausalitas Antara Harga Saham dengan Nilai Tukar: Studi Empiris Pada Bursa Efek Jakarta Periode 2001-2004 (2005)

Sutarta, A. Edi and Susilo, Y Sri Hubungan Kausalitas Antara Harga Saham dengan Nilai Tukar: Studi Empiris Pada Bursa Efek Jakarta Periode 2001-2004 (2005). [Research]

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Abstract

This paper examines the relationships between stock price and exchange rate using the methodological approach based on_ the statistical theory of cointegration and Granger causality tests. The causal relationship between stock price and exchange rate is examined using Indonesian daily data covering the period January 24, 2001 - October 29, 2004. The data are taken from Jakarta Stock Exchange and Bank Indonesia. The Engle-Granger two step method cointegration technique is used and error-correction modeling is incorporated into the Granger causality tests. The results suggests that stock price and exchange rate are cointegrated. Augmented Granger causality tests support the causality hypotesis between stock price to exchange rate, since there is evidence of long-run causality from stock price to exchange rate.

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