PENGARUH VOLATILITAS HARGA CRYPTOCURRENCY BITCOIN DAN TINGKAT SUKU BUNGA TERHADAP VOLATILITAS NILAI INDEKS HARGA SAHAM GABUNGAN (Studi Terhadap Indeks Harga Saham Gabungan di Indonesia)

Farizki Maulana Rafliansyah, - (2022) PENGARUH VOLATILITAS HARGA CRYPTOCURRENCY BITCOIN DAN TINGKAT SUKU BUNGA TERHADAP VOLATILITAS NILAI INDEKS HARGA SAHAM GABUNGAN (Studi Terhadap Indeks Harga Saham Gabungan di Indonesia). S1 thesis, Universitas Pendidikan Indonesia.

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Official URL: http://repository.upi.edu/

Abstract

ujuan dari penelitian ini adalah untuk mengetahui dan menganalisis pengaruh volatilitas Cryptocurrency bitcoin dan tingkat suku bunga terhadap volatilitas IHSG di Indonesia. Penelitian ini menggunakan metode kuantitatif dengan desain penelitian kausal. Metode analisis menggunakan model analisis linear berganda dengan menggunakan dua variabel bebas dan satu variabel terikat dengan urutan penelitian (1) Analisis asumsi klasik menggunakan Uji Linearitas, Uji Multikolinieritas, Uji Heteroskedastisitas, dan Uji Autokorelasi. (2) Analisis data panel dengan model regresi berganda. Dan teknik analisa terakhir adalah (3) Uji Hipotesis melalui Uji Keberartian Regresi (Uji F), Uji Keberartian Koefisien Regresi (Uji t), dan Uji Koefisien Determinasi (Adjsuted R-Squared). Data yang digunakan dalam penelitian ini adalah data bulanan periode januari 2017-Desember 2021 dengan populasi seluruh indeks yang terdapat pada Bursa Efek Indonesia dan sampel Indeks Harga Saham Gabungan. Penelitian ini diolah dengan bantuan software IBM SPSS statistic 26. Berdasarkan uji F atau uji keberartian regresi bahwa volatilitas harga cryptocurrency bitcoin dan tingkat suku bunga berpengaruh signifikan terhadap volatilitas nilai IHSG. Berdasarkan hasil uji T pada variabel volatilitas harga cryptocurrency bitcoin berpengaruh positif terhadap volatilitas nilai IHSG sesuai dengan teori APT (Arbitrage Pricing Theory), namun untuk variabel tingkat suku bunga tidak berpengaruh signifikan terhadpa volatilitas nilai IHSG dan tidak sesuai dengan teori APT. The purpose of this study is to determine and analyze the effect of Bitcoin Cryptocurrency volatility and interest rates on JCI volatility in Indonesia. This study uses quantitative methods with causal research design. The method of analysis uses multiple linear analysis models in the order of (1) Classical assumption analysis using Linearity Test, Multicollinearity Test, Heteroscedasticity Test, and Autocorrelation Test. (2) Panel data analysis with multiple regression model. And the last analysis technique is (3) Hypothesis Testing through Regression Significance Test (F Test), Regression Coefficient Significance Test (t Test), and Coefficient of Determination Test (Adjsuted R-Squared). The data used in this study is monthly data for the period January 2017-December 2021 with a population of all indices on the Indonesia Stock Exchange and a sample of the Composite Stock Price Index. This research was processed with the help of IBM SPSS statistic 26 software. Based on the F test or regression significance test that bitcoin cryptocurrency price volatility and interest rates have a significant effect on the volatility of the JCI value. Based on the results of the T test on the bitcoin cryptocurrency price volatility variable, it has a positive effect on the volatility of the JCI value according to the APT (Arbitrage Pricing Theory) theory, but the interest rate variable has no significant effect on the volatility of the JCI value and is not in accordance with the APT theory.

Item Type: Thesis (S1)
Uncontrolled Keywords: Cryptocurrency, Regresi, IHSG, Volatilitas, Suku bunga, Regression, JCI, Volatility, Interest Rate
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
L Education > L Education (General)
Divisions: Fakultas Pendidikan Ekonomi dan Bisnis > Manajemen (non kependidikan)
Depositing User: Farizki Maulana Rafliansyah
Date Deposited: 07 Oct 2022 08:43
Last Modified: 07 Oct 2022 08:43
URI: http://repository.upi.edu/id/eprint/83770

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