Rahadzan, Mochamad Fauzidin (2026) Pengaruh BI Rate, Nilai Tukar Rupiah, Indeks S&P 500 dan Harga Emas Dunia Terhadap Pergerakan Saham Sektor Perbankan Indonesia. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
This study aims to analyze the effect of the BI Rate, rupiah exchange rate, world gold prices, and the S&P 500 Index on banking sector stocks in Indonesia during the 2019–2024 period. The data used are monthly time series data obtained from Bank Indonesia, Investing.com, and the Indonesia Stock Exchange. The analytical method employed is Vector Autoregression (VAR) in first difference form because all variables are stationary at the first difference level and do not exhibit cointegration (long-run relationship). The analysis was conducted through stationarity tests, optimal lag selection, model stability tests, Granger causality tests, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). The results show that the rupiah exchange rate has a significant negative effect on the banking sector stock index, while the S&P 500 Index has a significant positive effect and is the most dominant variable. Meanwhile, the BI Rate and world gold prices do not have a significant effect. The IRF results indicate that market responses are temporary and return to stability within 4–10 periods, while the FEVD results show that the largest contribution comes from the S&P 500 Index. This study indicates that global factors are more dominant in influencing banking sector stocks than domestic monetary policy.
| Item Type: | Thesis (Undergraduate) | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Economic and Business > Departement of Economics | ||||||||
| Depositing User: | Mochammad Fauzidin Rahadzan | ||||||||
| Date Deposited: | 08 Jun 2026 08:43 | ||||||||
| Last Modified: | 08 Jun 2026 08:43 | ||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/53527 |
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