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REAKSI HARGA SAHAM PERUSAHAAN AGRIBISNIS INDEKS LQ-45 TERHADAP PERUBAHAN VARIABEL MAKROEKONOMI

Sciprofile linkAlghif Aruni Nur Rukman, Harianto Harianto, Suprehatin Suprehatin
Published: 5 December 2019
Jurnal Agribisnis Indonesia , Volume 7, pp 129-140; doi:10.29244/jai.2019.7.2.129-138

Abstract: This study aims to analyze the effect of changes in macroeconomic variables, namely exchange rates, interest rates, and inflation on stock prices of agribusiness companies on the LQ-45 index. This study used monthly time series data from 2008-2018 and analyzed by the VECM method. The results showed that the stock price reaction of eight agribusiness companies in the LQ-45 index varies with changes in macroeconomic variables both in the short and long term. In the short term, changes in exchange rates had a positive and significant effect on one company stock prices, while changes in inflation and interest rates had a negative and significant effect on four companies and one company respectively. In the long term, the results showed that changes in exchange rates had a positive and significant effect on two companies’ stock prices, while it had a negative and significant effect on five companies. The result also showed that changes in inflation had a positive and negative effect on one company and six companies respectively in the long term. Also besides changes in interest rates had a positive and negative effect on two companies’ stock prices respectively.
Keywords: inflation / interest / stock prices / agribusiness / macroeconomic / Changes / companies

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