PENGARUH MAKROEKONOMI DAN INDEKS GLOBAL TERHADAP INDEKS HARGA SAHAM GABUNGAN  SELAMA PANDEMI COVID-19 DI INDONESIA

THE EFFECT OF MACROECONOMICS AND GLOBAL INDEX ON THE COMPOSITE STOCK PRICE INDEX DURING THE COVID-19 PANDEMIC IN INDONESIA

Pandemi COVID-19 berdampak pada banyak sektor, salah satunya pasar modal. Virus Corona telah merenggut nyawa dan bisa menggoyahkan tatanan kehidupan suatu negara. Dari segi ekonomi, hampir semua negara mengalami resesi, penurunan aktivitas ekonomi, peningkatan pengangguran, dan penurunan daya beli masyarakat. Penelitian ini menguji pengaruh suku bunga BI, nilai tukar, inflasi, indeks SSEC, indeks KLSE, indeks SET, dan indeks DJIA terhadap Indeks Harga Saham Gabungan. Populasi penelitian adalah data harian selama masa pandemi COVID-19 di Indonesia mulai bulan Maret 2020 hingga November 2020. Teknik pengambilan sampel menggunakan purposive sampling. Jumlah sampel adalah 111 data. Metode analisis data menggunakan regresi linier berganda dengan perangkat lunak IBM SPSS 25. Hasil penelitian menunjukkan bahwa nilai tukar rupiah terhadap dolar AS berpengaruh negatif dan indeks Kuala Lumpur Stock Exchange berpengaruh positif terhadap Indeks Harga Saham Gabungan, sedangkan suku bunga BI, inflasi, indeks SSEC, indeks SET, dan indeks DJIA tidak berpengaruh terhadap Indeks Harga Saham Gabungan. Namun, semua variabel independen secara simultan memengaruhi Indeks Harga Saham Gabungan.

Kata Kunci : Composite Stock Price Index; Exchange Rate; KLSE; COVID-19 Pandemic.

The COVID-19 pandemic has affected many sectors, one of which is the capital market. The Coronavirus has claimed lives and can shake the order of life of a country. From an economic point of view, almost all countries experience a recession, a reduction in economic activity, increased unemployment, and a decline in people's purchasing power. This research examines the effect of the BI interest rate, exchange rate, inflation, SSEC index, KLSE index, SET index, and DJIA index on the Composite Stock Price Index. The research population is daily data during the COVID-19 pandemic in Indonesia from March 2020 to November 2020. The sampling technique uses purposive sampling. The number of samples is 111 data. The data analysis method uses multiple linear regression with IBM SPSS 25 software tools. The results show that the rupiah exchange rate against the US dollar has a negative effect and the Kuala Lumpur Stock Exchange has a positive effect on the Composite Stock Price Index, while the BI interest rate, inflation, SSEC index, the SET index and the DJIA index have no impact on the Composite Stock Price Index. However, all independent variables simultaneously affect the Composite Stock Price Index.

Keywords: Composite Stock Price Index; Exchange Rate; KLSE; COVID-19 Pandemic.