ANALISIS HUBUNGAN DINAMIS ARUS MODAL ASING, NILAI TUKAR RUPIAH DAN PERGERAKAN INDEKS JII 30 DENGAN METODE PENDEKATAN VECTOR AUTOREGRESSIVE (VAR) PADA MASA PANDEMI COVID 19

Anita, Septiana (2022) ANALISIS HUBUNGAN DINAMIS ARUS MODAL ASING, NILAI TUKAR RUPIAH DAN PERGERAKAN INDEKS JII 30 DENGAN METODE PENDEKATAN VECTOR AUTOREGRESSIVE (VAR) PADA MASA PANDEMI COVID 19. Undergraduate thesis, UIN RADEN INTAN LAMPUNG.

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Abstract

ABSTRAK Penelitian ini dilakukan untuk mengetahui hubungan dinamis arus modal asing, nilai tukar rupiah dan pergerakan indeks JII 30. Jenis penelitian yang digunakan adalah penelitian kuantitatif dengan Metode analisis Vector Autoregressive (VAR) menggunakan data time series harian untuk periode maret-desember 2019 sampai maret�desember 2020 dengan bantuan program eviews 9. Pengumpulan data dilakukan dengan menggunakan data sekunder berupa laporan publikasi dari website yang terkait dengan penelitian. Populasi penelitian ini adalah perusahaan yang tercatat dalam indeks Jakarta Islamic Index (JII) 30. Teknik pengambilan sample yang digunakan dalam penelitian ini yaitu teknik sample jenuh. Jumlah perusahaan yang menjadi sample dalam penelitian ini yaitu 30 perusahaan. Hasil uji kausalitas granger menunjukkan variabel arus modal asing memiliki hubungan satu arah dengan nilai tukar rupiah, dimana arus modal asing mempengaruhi nilai tukar rupiah di Indonesia. Kemudian variabel arus modal asing juga memilki hubungan satu arah dengan pergerakan indeks JII 30. Dimana arus modal asing mempengaruhi pergerakan indeks JII 30, begitu pula dengan variabel nilai tukar rupiah memiliki hubungan satu arah dengan pergerakan indeks JII 30. Dimana indeks JII 30 mempengaruhi nilai tukar rupiah. Hasil penelitian lain menggunakan uji kointegrasi menunjukkan variabel arus modal asing, nilai tukar rupiah dan pergerakan indeks JII 30 memiliki hubungan keseimbangan jangka panjang. Arus modal asing dan nilai tukar rupiah sebelum dan sesudah covid 19 tidak saling mempengaruhi sedangkan nilai tukar rupiah sebelum dan sesudah covid 19 mempengaruhi indeks JII 30. Kata Kunci : Arus modal asing, nilai tukar rupiah, pergerakan indeks JII 30 ABSTRACT This study was conducted to determine the dynamic relationship of foreign capital flows, the rupiah exchange rate and the movement of the JII 30 index. The type of research used is quantitative research with the Autoregressive vector analysis (VAR) method using daily time series data for the period March-December 2019 to March�December. 2020 with the help of the eviews 9. Data collection was carried out using secondary data in the form of published reports from websites related to research. The population of this study are companies listed in the Jakarta Islamic Index (JII). The sampling technique used in this research is the saturated sample technique. The number of companies that were sampled in this study were 30 companies. Granger causality test results show that the variable of foreign capital flows has a one-way relationship with the rupiah exchange rate, where foreign capital flows affect the rupiah exchange rate in Indonesia. Then the variable of foreign capital flows also has a one�way relationship with the JII 30 movement index. Where foreign capital flows affect the JII 30 movement index, as well as the rupiah exchange rate variable has a one-way relationship with the JII 30 movement index. Where the JII 30 index affects the exchange rate. rupiah. The results of another study using the cointegration test show that the variables of foreign capital flows, the rupiah exchange rate and the JII 30 movement index have a long-term equilibrium relationship. Foreign capital flows and the rupiah exchange rate before and before covid 19 did not affect each other, while the rupiah exchange rate before and before covid 19 affected the JII 30 index. Keywords: foreign capital flows, rupiah exchange rate, index movement JII 30

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