| Summary: | The purpose of this research is to examine the influence of
macroeconomics variables and international stock market to stock price index in
Indonesia Stock Exchange (Composite Stock Price Index/IHSG) in the long run.
This study uses time series data with period 2008:10 � 2010:12. Variables that
used are Indonesia Stock Exchange (IHSG), Dow Jones Industrial Average Index,
Hang Seng Index, money supply (M2), BI rate and inflation. Jakarta Stock
Exchange (IHSG) is the dependent variable where the rest of them are
independent variables.
This research using Ordinary Least Squares method by Co-integration
approach. The result show that IHSG in the long run is determined by Dow Jones
Industrial Average Index (DJIA), Hang Seng Index (HSI), money supply (M2), BI
rate and inflation. DJIA, HSI, Inflation and money supply (M2) has positive effect
and statistically significant on IHSG. Whereas, BI Rate has negative effect and
statistically significant on IHSG.
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