Penelitian ini bertujuan untuk menganalisis pengaruh variabel makroekonomi, harga komoditas dunia, Dow Jones, dan Shanghai Stock Exchange terhadap indeks harga saham gabungan. Variabel makroekonomi yang dimaksud dalam penelitian ini antara lain inflasi, kurs USD, suku bunga SBI, produk domestik bruto, dan jumlah uang beredar. Sedangkan harga komoditas dunia yang digunakan adalah harga minyak dunia dan harga emas dunia. Pengambilan sampel dalam penelitian ini menggunakan metode sampling jenuh (sensus) karena menggunakan data bulanan IHSG selama periode 2014-2018, sehingga berjumlah 60. Teknik analisis data yang digunakan adalah regresi linier berganda. Hasil penelitian menunjukkan bahwa kurs USD berpengaruh negatif terhadap indeks harga saham gabungan. Sedangkan inflasi, suku bunga SBI, produk domestik bruto, jumlah uang beredar, harga minyak dunia, harga emas dunia, Dow Jones, dan Shanghai Stock Exchange tidak memiliki pengaruh yang signifikan terhadap indeks harga saham gabungan. Namun, semua variabel independen secara bersama-sama berpengaruh terhadap IHSG. Variabel penelitian hanya mampu menjelaskan sebesar 22,8% terhadap IHSG, sedangkan sisanya 77,2% dijelaskan oleh variabel lain di luar model penelitian.

Kata Kunci: Makroekonomi, Komoditas Dunia, Dow Jones, Shanghai Stock Exchange, IHSG

            This research aims to analyze the effect of macroeconomic variables, world commodity price, and global stock index on Jakarta Composite Index. The macroeconomics variables include the inflation, exchange rate, SBI rate, gross domestic product, and money supply. While the world commodity prices include oil prices and gold prices. Global stock index include Dow Jones and Shanghai Stock Exchange. The sampling in this study uses a saturated sampling method (census) because it uses monthly JCI data during the 2014-2018 period, so the sample of this study were 60. The data analysis technique used is multiple linear regression. The outputs indicate that the exchange rate have a negative effect on Jakarta Composite Index. Meanwhile, SBI rate, gross domestic product, money supply, oil prices, gold prices, Dow Jones, and Shanghai Stock Exchange have no significant effect on Jakarta Composite Index. But, all independent variables have simultaneously effect on Jakarta Composite Index. The research variable was only able to explain 22.8% on JCI, while the remaining 77.2% was explained by the other variables outside of this research model.

Keywords: Macroeconomics, World Commodity Prices, Dow Jones, Shanghai Stock Exchange, Jakarta Composite Index