THE INFLUENCE OF RUPIAH TO USD EXCHANGE RATE, BANK INDONESIA CERTIFICATES (SBI) RATES, AND INFLATION OF CUSTOMER PRICE INDEX ON THE STOCK PRICE OF PROPERTY SECTORS COMPANIES IN INDONESIAN STOCK EXCHANGE
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Date
2010-07-05
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International Conference on Business and Information 2010, National Taipei University
Abstract
The global financial crisis was started when the loss of investments of US financial institutions in sub-prime mortgage increase dramatically. Their investments that aim to give profits has given them the opposite result. The rise of interest rates while housing prices started to drop moderately in the US, has increase the rate of default of subprime mortgage. Financial institutions that has vast amount of subprime mortgage investment suffered unprecedented heavy loss that leading to foreclosure of several financial giants and drop of the stock prices. This events become a financial crisis to the world economy including Indonesia. Several factors that influence stock price are profitability, interest rate, inflation and exchange rate. This study is conducted to determine the influence of Rupiah to USD exchange rate, Bank Indonesia Certificates (SBI) rates, and inflation of Customer Price Index to the stock price of property sectors companies in Indonesian Stock Exchange, both simultaneously and partial. This study using monthly data in the period of August 2007 – November 2008. The exchange rate, SBI rate and CPI is treated as independent variables dan changes of property sector stock prices as dependent variable. To determine the influence of independent variables to dependent variable we used double linear regression analysis, double and partial correlation analysis to find determination coefficient. Hypothesis is test using F-statistic and t-statistic tests in 5% significance level. The result of F-test showed that together, Rupiah to USD exchange rate, Bank Indonesia Certificates (SBI) rates, and inflation of Customer Price Index has significant influence to stock prices of property sector during period of study. Further partial analysis show that only Rupiah to USD exchange rate has the significant influence.
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Keywords
financial crisis, stock price, exchange rate, interest rate, inflation