Hubungan Jangka Panjang dan Jangka Pendek Ekonomi Makro Terhadap Pasar Modal Saat dan Setelah Krisis Global : Error Correction Model

This study aimed to determine the long-term and short-term of macroeconomic Indonesia to the Indonesian capital market during the period of the global crisis and its aftermath. Macroeconomics is represented by the exchange rate, inflation (Consumer Price Index), and interest rates. Meanwhile, Indonesia's capital market is reflected through Composite Stock Price Index (CSPI) and stock price of nine sectoral indices. Period used in this study is divided into two, namely the current global crisis (2007-2009) and after the global crisis (2010-2011) to determine the relationship posed in different economic conditions. This study used a quantitative approach using the Engle-Granger Error Correction Model (EG-ECM) to determine the relationship of long-term or short-term of macroeconomic variables generated by the CSPI and stock price of nine sectoral indices, by employing the EG-ECM method, the length time of adjusting to normal economic conditions can be seen. This study used probability sample, they are CSPI and stock price of nine sectoral indices listed on the Stock Exchange in the period 2007-2011. The results showed that for the current global crisis (2007-2009) and after the crisis (2010-2011), the relationships formed between the macroeconomic (exchange rate, interest rate) against CSPI and stock price of nine sectoral indices simultaneously is in short term, except for the stock price of agriculture (2007-2009) and the stock price of trade (2010-2011)