ANALISIS KEPEKAAN RETURN HARGA SAHAM TERHADAP PERUBAHAN FAKTOR-FAKTOR EKONOMI MAKRO DI PASAR MODAL INDONESIA

This study aims to test the sensitivity of market share price returns (composite stock price index), and sectoral share price returns (nine sectors) to changes in interest rates and the exchange rate of the Rupiah/U.S. Dollar in the short term. This study is using a dynamic model analysis, that is empirically tested by cointegration approach and error correction model (Error Correction Mechanism) Engle and Granger developed (EG-ECM). In addition, also test the market reaction to new information about the announcement of establishment of BI Rate in the short term by using event study methodology. Some empirical findings of this study: first, the results show that the ECM model specification correctly formed (valid). Second, share price return is not sensitive to changes in interest rates in the short term. These findings obtained similar results using either methodology Error Correction Mechanism and event study. Third, the share price return is sensitive to changes in the exchange rate of the Rupiah/U.S. Dollar, with a negative and significant correlation in the short term. Fourth, additional findings from this empirical study states there is indication of long-term equilibrium relationship, as evidenced from the value of the coefficient of the ECT (Error Correction Term) is negative and significant