Canonical Analysis of Global Stock Indices, Commodity Prices and Rupiah Exchange Rate Against The Dollar With the Indonesian Capital Market Index

Muhammad Basri

Abstract


The purpose of this research was to determine the relationship of Global Stock Index (Dow Jones, Nikkei 225 and the Shanghai Index), commodity prices (oil prices and gold price) and the rupiah exchange rate to Dollar simultaneously with the Indonesian Capital Market Index.

This study uses the type of associative research, which aims to analyze the relationship between one variable with other variables or explain the influence of independent variables on bound. For hypothesis testing is done with canonical correlation. Canonical correlation aims basically the same as simple or multiple correlation, ie want to know whether there is relationship (association) between two variables. The sampling technique used in this study is the census method, one of the non probability sampling technique in which the researcher determines the sampling by taking the entire population into a sample of research, the sample of this study consisted of 72 months.

From the results of this study it is evident that if the Global Index (Dow Jones Index, Nikkei 225 Index and Shanghai Index), Commodity Price and Rupiah Exchange Rate to Dollar simultaneously have significant relationship with Indonesian Capital Market Index (LQ45 and JCI). Of the six independent variables, there are three variables that have a positive relationship, namely Dow Jones Index, Nikkei 225 Index and Gold Price has a positive value with a positive sign, meaning if the covariate increases (Dow Jones Index, Nikkei 225 Index and Gold Price) then LQ45 and JCI also rose. On the other hand, the Shanghai Index, Oil Price and Rupiah exchange rate against the dollar have opposite value with negative sign, meaning if the covariate rises (Shanghai Index, Oil Price and rupiah exchange rate to Dollar) then LQ45 and JCI will decrease.


Keywords


Canonikal Correlation, Dow Jones Index, Nikkei 225 Index, Shanghai Index, Oil Price, Gold Price, rupiah exchange rate to Dollar, LQ45 and JCI

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DOI: https://doi.org/10.30596/miceb.v1i0.375

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