Analisis MakroekonomiTerhadap Indeks Harga Saham Sektor Property , Real Estate and Building Construction Dengan Pendekatan Error Correction Model

Sri, Mona Octafia (2017) Analisis MakroekonomiTerhadap Indeks Harga Saham Sektor Property , Real Estate and Building Construction Dengan Pendekatan Error Correction Model. Masters thesis, Universitas Andalas.

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Abstract

This study aims to verify the impac of interest rate, exchange rate, money supply and inflation on the property and real estate sector composite index by using Error Correction Model (ECM) for 2000-2015 period. The result of cointegration test shows that there is a value of residualthe residual value of the coefficient of 0.08353 explaining that around 8,35% discrepancy between the actual value of the stock price index in the short term and the balance value of the stock price index in the long term will be corrected in a given month or equilibrium relationship between interest rate, exchange rate, money supply and property and real estate sector composite index. In the short term, interest rate and exchange rate to be significant and negative determinant of the property, real estate and building construction sector composite index and money supply not be significant of the property, real estate and building construction composite index. In the long term, interest rate to be significant and negative determinant of the property, real estate and building construction sector composite index. Money supply and exchange rate to be significant and positive determinant of the property, real estate and building construction sector composite index, and inflation not be significant determinant of the property, real estate and building construction sector composite index. Keyword : Property and real estate sector composite index, macroeconomics and error correction model.

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