PENGARUH PERUBAHAN TINGKAT SUKU BUNGA TERHADAP KINERJA PASAR MODAL DI INDONESIA: Analisis Pada Tingkat Pasar dan Tingkat Industri

Gunawan, Widiyantoro (2006) PENGARUH PERUBAHAN TINGKAT SUKU BUNGA TERHADAP KINERJA PASAR MODAL DI INDONESIA: Analisis Pada Tingkat Pasar dan Tingkat Industri. S2 thesis, UAJY.

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Abstract

he objective of this thesis is to test empirically the effect of interest rate changes to performance of Indonesian Capital Market. This study also test the effect of interest rate changes to the subsequence performance in various industries sector in Jakarta Stock exchange. We used market level analysis as well as industry level analysis. We examine at the beginning year of 2000 until July, 2005. We used one market index and ten industry index, which are Indonesian Capital Market Composite Index, Agriculture Sector Index, Mining Sector Index, Basic Industry Sector index, Miscellaneous Sector Index, Consumer Goods Sector Index, Property Sector Index, Infrastucture Sector Index, Finance Sector Index, Trade and Services Sector Index, Manufacturing Sector Index. In order to examine the market and industry performance following interest rate changes, we test the effect of interest rate changing announcement, which are delegated by Cumulative Mean Adjusted Return (CMAR) during 21 event windows to performance of Indonesian capital Market. The matrix approach to matrix regression model is used to know the effect of the event. The results indicate that market and industrial performance has not influenced by changes of interest rate. The changes only affected in two sector, there are Manufacture and Consumer Good sector. Its produce negatively to the increase of interest rate in Manufacture but moved increase for Consumer Goods Sector, while result positively to decrease of interest rate in Consumer Goods Sector, but negatively to Manufacture Sector. These abnormal effect because there are other factors could influenced market and industrial performance such as; inflation, government regulations, exchange rates.

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