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Jurnal Keuangan dan Perbankan


KEYWORD : agriculture stock price index, exchange rate, USD/IDR, EUR/IDR, JPY/IDR


  1. Vania Jessica Tedjamulia
  2. Sahala Manalu
  3. Rony Joyo Negoro Octavianus


    1. FINANCE
    2. BANKING



      ABSTRACT :

      This study was
      conducted to test the independent variable exchange rate USD/IDR, EUR/IDR,
      JPY/IDR, and the independent variable agricultural stock index during five
      years (2008-2012). Sampling technique used was purposive sampling method. Data
      analysis technique used was auto regressive distributed lag (ARDL) proposed by
      pesaran et al. (2001) in order to investigate the order of co-integration.
      Hypothesis test used was F-test to test the simultaneous effect and t-test for
      testing the partial regression coefficient with a significance level of 5%.
      F-test results indicated that exchange rate of USD/IDR, EUR/IDR, and JPY/IDR
      gave significant effect on agriculture stock index. The t-test results
      indicated that the variable exchange rate of USD/IDR, EUR/IDR, and JPY/IDR gave
      partially significant effect on agricultural stock index period 2008-2012.
      Adjusted R square (R2) was 7,8%. The statistical results of auto regressive
      distributed lag indicated that changes in USD/IDR and JPY/IDR were negatively related
      to changes in stock price index of agriculture. EUR/IDR had a positive impact
      to the stock price index of agriculture.


      Vol 17, Nomor 03, Tahun 2013


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