Perpustakaan Digital ITB

Indonesia can be categorized as one of country that has developed financial markets sufficiently, especially in capital market. Capital market and listed price movements sometimes shows some patterns that can't be understood or difficult to explain for some people. That is why since years ago, many people find the perfect investment strategy that can help every investor to invest their money in stock exchange. Each investor in the investment decisions always have to face with a number of alternatives. Since, stock index movement in a country certainly cannot be separated from the conditions of the country's macroeconomic, this research will focus it to the several macroeconomic factors that may affect the return of stock indices such as inflation, SBI rate, money supply, exchange rate (JPY/IDR, SGD/IDR, CNY/IDR, EUR/IDR, USD/IDR), net foreign flow, oil price, and how big the influence of these factors on the movement of stock using the JCI as sample index from period of January 2001 - December 2009. Based on the description, the main problems to be answered in this research are to find the right model of calculation, partial, and jointly correlation between macroeconomic variables and JCI returns. In finding the best model for the calculation, there are several tests which have been conducted such as multiple regression model and classical assumption test for regression. However, since the data that have been examined has a deviation of one of the classical assumption which is heteroscedasticity problems, a sophisticated model, ARCH/GARCH was used to calculate the result.