Fhadilla, Iffra (2024) Pengaruh Harga Minyak Dunia, Kurs, dan Inflasi terhadap Return Saham Perusahaan Semen yang Terdaftar di Bursa Efek Indonesia dengan Menggunakan Vector Auto Regressive. Other thesis, Universitas Islam Riau.

Text 195210654.pdf - Submitted Version Restricted to Registered users only Download (1MB) | Request a copy

Abstract

This study aims to examine the effect of world oil prices, exchange rates, and inflation on stock returns. The population in this study are companies included in the cement industry consisting of 6 companies listed on the Indonesian stock exchange for the period 2018-2022. The sampling technique used in this study was purposive sampling consisting of 6 cement companies on the Indonesian stock exchange. In this study, the Vector Auto Regressive (VaR) method is used, which is one of the analyses used to analyse time series data. Time series data can be expressed in years, months, weeks or days. Because the data is not stationary, differencing is performed on the data. After stationary, the cointegration test is then conducted to find out whether there is cointegration that changes. The characteristics of the data are stationary on differencing and there is cointegration, so it fulfils the assumptions of VECM analysis. After VECM analysis, IRF and VD analyses were conducted. The results of the analysis show that world oil affects stock returns on the company PT Semen Baturaja Tbk. In addition, macroeconomic variables, namely period (-2) and period (-1) are proven to affect the value in period (t).

Actions (login required)

View Item