ANALISIS DETERMINASI INDEKS HARGA SAHAM GABUNGAN (IHSG) DI INDONESIA PERIODE 2014-2019

This study aims to examine and analyze the effect of the Rupiah exchange rate, Gross Domestic Product, Dow Jones Index, and Hang Seng Index variables on the Indonesian Composite Index (IHSG) in Indonesia Stock Echange. The data used in this study are monthly time series data, from January 2014 to December 2019. The analysis method used is the Error Correction Model (ECM). The results show that in the long run The Rupiah Exchange Rate variable has a significant negative effect on the Composite Stock Price Index. The Gross Domestic Product and Hang Seng Index variables has a significant positive effect on the Composite Stock Price Index. The Dow Jones Index variable has a positive and insignificant effect on the Composite Stock Price Index. Meanwhile, in the short term, The Rupiah Exchange Rate variable has a significant negative effect on the Composite Stock Price Index. The Gross Domestic Product variable has no effect on the Composite Stock Price Index. Meanwhile, the variables of the Dow Jones Index and the Hang Seng Index have a positive and insignificant effect on the Composite Stock Price Index.