Electronic Theses and Dissertation

ABSTRAK

Judul : Peran Kebijakan Moneter Terhadap Saham Sektor Pertambangan di Indonesia
Penulis : Miftahul Jannah
NIM : 2001101010096
Fakultas/Jurusan : Ekonomi dan Bisnis/Ekonomi Pembangunan
Pembimbing : Dr. Aliasuddin, S.E., M.Si
Konsentrasi : Ekonomi Moneter

Penelitian ini bertujuan menganalisis pengaruh jangka panjang, jangka pendek, hubungan kausalitas dan efektivitas kebijakan moneter terhadap saham subsektor pertambangan di Indonesia. Penelitian ini menggunakan metode Vector Error Correction Model (VECM) dan menggunakan data sekunder dengan jangka waktu analisis 2000 hingga 2020 dengan frekuensi data bulanan. Total sampel yang digunakan sebanyak 252 bulan. Berdasarkan hasil penelitian ini menunjukkan bahwa dalam jangka pendek pertumbuhan ekonomi dan nilai tukar berpengaruh negatif terhadap indeks harga saham subsektor pertambangan. Sedangkan harga minyak mentah dunia berpengaruh positif dan signifikan terhadap indeks harga saham subsektor pertambangan. Berbeda dengan suku bunga yang tidak mempengaruhi indeks harga saham subsektor pertambangan. Hasil analisis yang berbeda dalam jangka panjang, yaitu hanya suku bunga dan pertumbuhan ekonomi yang berpengaruh terhadap indeks harga saham subsektor pertambangan. Suku bunga dalam jangka panjang berpengaruh positif dan signifikan, sedangkan pertumbuhan ekonomi berpengaruh negatif dan signifikan terhadap indeks harga saham subsektor pertambangan. Hasil penelitian ini juga menunjukkan bahwa terjadi hubungan kausalitas atau timbal balik satu arah yakni pada nilai tukar terhadap indeks harga saham subsektor pertambangan, indeks harga saham subsektor pertambangan terhadap harga minyak, dan suku bunga terhadap indeks harga saham subsektor pertambangan. Sedangkan pertumbuhan ekonomi tidak terdapat hubungan kausalitas terhadap indeks harga saham subsektor pertambangan. Diharapkan bagi pelaku usaha diharapkan untuk dapat mengadopsi kebijakan moneter yang ramah lingkungan seperti yang ditetapkan oleh bank sentral pada Peraturan Bank Indonesia Nomor 24/5/PBI 2022 demi keberlanjutan perekonomian di Indonesia.

Kata kunci: indeks harga saham, subktor pertambang, suku bunga, nilai tukar, pertumbuhan ekonomi, harga minyak, Indonesia

ABSTRACT Title : The Role of Monetary Policy on Mining Sector Shares in Indonesia Author : Miftahul Jannah NIM : 2001101010096 Faculty/Department : Economics and Business/Development Economics Supervisor : Dr. Aliasuddin, S.E., M.Sc Concentration : Monetery Economics This research aims to analyze the long-term, short-term influence, causality and effectiveness of monetary policy on mining subsector shares in Indonesia. This research uses the Vector Error Correction Model (VECM) method and uses secondary data with an analysis period of 2000 to 2020 with a monthly data frequency. The total sample used was 252 months. Based on the results of this research, it shows that in the short term economic growth and the exchange rate have a negative effect on the share price index for the mining subsector. Meanwhile, world crude oil prices have a positive and significant effect on the share price index for the mining subsector. This is different from interest rates which do not affect the share price index for the mining subsector. The results of the analysis are different in the long term, namely that only interest rates and economic growth have an influence on the share price index for the mining subsector. In the long term, interest rates have a positive and significant effect, while economic growth has a negative and significant effect on the share price index for the mining subsector. The results of this research also show that there is a one-way causal or reciprocal relationship, namely in the exchange rate to the mining subsector stock price index, the mining subsector stock price index to oil prices, and the interest rate to the mining subsector stock price index. Meanwhile, there is no causal relationship between economic growth and the share price index for the mining subsector. It is hoped that business actors will be able to adopt environmentally friendly monetary policies as stipulated by the central bank in Bank Indonesia Regulation Number 24/5/PBI 2022 for the sake of economic sustainability in Indonesia Key words: stock price index, mining subsector, interest rates, exchange rates, economic growth, oil prices, Indonesia