Electronic Theses and Dissertation

Penelitian ini bertujuan untuk mengevaluasi dampak beberapa faktor makroekonomi dan pandemi Covid-19 terhadap pergerakan Indeks Harga Saham Gabungan di Indonesia. Dengan menggunakan data deret waktu bulanan selama periode 2017-2022 dan menerapkan metode ARDL, seluruh variabel penelitian terbukti memiliki pengaruh pada saham dalam jangka pendek. Hasil penelitian menunjukkan bahwa peningkatan jumlah uang beredar menjadi pendorong bagi investor untuk melakukan investasi, sementara depresiasi rupiah meningkatkan investasi saham. Efek Covid-19 ternyata memberikan dampak positif yang signifikan terhadap Indeks Harga Saham Gabungan. Di sisi lain, pendapatan dan suku bunga acuan memiliki pengaruh negatif pada saham, yang mengakibatkan penurunan investasi saham. Namun, pada jangka panjang, pendapatan, suku bunga acuan, dan Covid-19 tidak memiliki pengaruh yang signifikan terhadap saham.
Kata Kunci : IHSG, Pasar Saham, Variabel Makroekonomi, Covid-19, ARDL.

This study aims to evaluate the impact of various macroeconomic factors and the Covid-19 pandemic on the movement of the Composite Stock Price Index in Indonesia. Using monthly time series data for the period 2017-2022 and applying the ARDL method, all research variables are found to have a significant influence on stocks in the short term. The results indicate that an increase in the money supply serves as a catalyst for investors to engage in stock investments, while the depreciation of the rupiah enhances stock investment. The Covid-19 effect, on the other hand, surprisingly yields a significant positive impact on the Composite Stock Price Index. Conversely, income and interest rates have a negative influence on stocks, leading to a decline in stock investments. However, in the long term, income, interest rates and Covid-19 do not have a significant impact on stocks. Keywords: IHSG, Stock Market, Macroeconomic Variables, Covid-19, ARDL