Pengaruh Suku Bunga, Inflasi dan Nilai Tukar Terhadap Stock Returns pada Subsectors Industri Pariwisata yang Terdaftar di Bursa Efek Indonesia (BEI) pada Tahun 2011-2015
(1)
(*) Corresponding Author
Abstract
Penelitian ini dilakukan untuk mengetahui ada atau tidak adanya pengaruh suku bunga, inflasi dan nilai tukar terhadap stock returns pada subsectors industri pariwisata yang terdaftar di Bursa Efek Indonesia (BEI) pada tahun 2011-2015. Percepatan sektor pariwisata yang telah dilakukan membuat sektor pariwisata di Bursa Efek Indonesia (BEI) akan menjadi sektor yang menarik untuk diteliti. Kemungkinan sektor pariwisata di BEI menjadi sektor yang menguntungkan untuk investasi selama beberapa tahun kedepan karena program-program pemerintah yang menguntungkan sektor pariwisata di BEI. Dalam penelitian ini teknik analisa yang digunakan adalah Analisis Data Kuantitatif dengan metode Uji Normalitas, Uji Multikolinearitas, Uji Heteroskedastisitas, Uji Autokorelasi, Uji T dan Uji F.
Kata kunci : Suku Bunga, Inflasi, Nilai Tukar dan Stock Returns
Full Text:
PDFReferences
Adams, G. McQueen, G & Wood, R. (2004). The effects of inflation news on high frequency stock returns. Journal of Business, 77, 547-574.
Aggarwal, R. (2003). Exchange rates and stock prices: A study of the US capital markets under floating exchange rates. Akron Business and Economic Review, 12, 7-12.
Ahmed S. & Cardinale, (2005). Does inflation matter for equity returns, Journal of Asset Management, 6, (4), 259-273
Akinboade, O.A. & Braimoh, L.A. (2010). International tourism and economic development in South Africa: A Granger causality test, International Journal of Tourism Research, 12, (2), 149-163.
Alpert, M. and H. Raiffa (1982), “A Progress Report on the Training of Probability Assessors,” in D. Kahneman, P. Slovic, and A. Tversky, eds., Judgment Under Uncertainty: Heuristics and Biases (Cambridge University Press), 294-305.
Anari, A. & Kolari, J. (2001), Stock prices and inflation, The Journal of Financial Research, 26.(4), 587-602
Arango, L. E., Gonzalez, A. and Posada, C. E. (2002). Returns and interest rate: A nonlinear relationship in the Bogotá stock market. Applied Financial Economics, 12(11), 835-842.
Balmash, S.B., & Trivoli, G.W., (1991), Time-Lagged Interactions between Stock Prices and Selected Economic Variables, Journal of Portfolio Management, Vol. 17(4), pp 61–67.
Barnes, Mp., Boyd, J.H & B.D Smith (1999). Inflation and asset returns, European Economic Review, 43, 737-754
Barber, B.M. and T. Odean (2000), “Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors,” Journal of Finance 55:773-806.
Barber, B.M. and T. Odean (2001), “Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment, c Quarterly Journal of Economics 116:261-292.
Bashir, A. and Hassan, A. (1997), Interest Rate Sensitivity and Stock Returns in the United Arab Emirates, Journal of King Saud University, Vol. 9, pp 79-89.
Benos, A.V. (1998), “Overconfident Speculators in Call Markets: Trade Patterns and Survival,” Journal of Financial Markets 1:353-383.
Bodie, Z., (1976), Common stocks as a hedge against inflation, Journal of Finance, 31, 459-470
Bodie, Z., A. Kane, dan A. J. Marcus. (2007). Investment, (7th Ed). New York: McGrow-Hill.
Boudoukh, J.,Richardson, M. & Whitelaw, R.F.(1994), Industry returns and the Fishers Effect, The Journal of Finance, 49, 1595-1615
Buehler, R., Griffin, D., & Ross, M. (1994). Exploring the “planning fallacy”: Why people underestimate their task completion times. Journal of Personality and Social Psychology, 67(3), 366-381.
Caballe, J. and J. Sakovics (2003), “Speculating Against an Overconfident Market,” Journal of Financial Markets 6:199-225.
Campbell, John. (1985) Stock Returns and the Term Structure, Journal of Financial Economics, Vol. 18, No. 2, June 1987, pp. 373-399.
Chen, M.H., Liao, C.N. & Huang, S.S. (2010). Effects of shifts in monetary policy on hospitality stock performance, Service Industries Journal, 30, (2), 171-184.
Choudhry, T., (2001). Inflation and rates of returns on stocks: Evidence from high inflation countries, Journal of International Financial Markets, Institutions and Money, 11, 75-96
Creswell, J. (2002). Educational research: Planning, conducting, and evaluating quantitative and qualitative research. Upper Saddle River, NJ: Merrill Prentice Hall.
Creswell, J. (2003). Research design: Qualitative, quantitative and mixed methods approaches (2nd ed.). Thousand Oaks, CA: SAGE Publications.
Crouch, G. (1993). Currency exchange rates and the demand for international tourism, The Journal of Tourism Studies, 4, (2), 45-53.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam (1998), “Investor Psychology and Security Market Under- and Overreactions,” Journal of Finance 53:1893-1885.
Diamond, D.W. and R.E. Verrecchia (1981), “Information Aggregation in a Noisy Rational Expectations Economy, c Journal of Financial Economics 9:221-235.
Dritsakis, N. (2004), Tourism as a long-run economic growth factor: an empirical investigation for Greece using causality analysis, Tourism Economics 10, (3), 305-316.
Ely, D. & Robinson, K.J., (1997). Are stock a hedge against inflation? International evidence using a long run approach, Journal of International Money and Finance, 16, (1), 141-167.
Engsted T & Tanggaard, C (2002), The relation between asset returns and inflation at short and long Horizons, Journal of International Financial Markets, Institutions and Money, 12, 101-118.
Eugenio-Martín J., Morales. N. & Scarpa, R. (2004). Tourism and economic growth in Latin American countries: a panel data approach. Fondazione Eni Enrico Mattei Nota di Lavoro, Working Paper No. 26.
Fairbanks, M. (2013). The end of the coolde Cutter,” Harvard International Review, 35, (2), 4-5.
Fama, E.F. & Schwert, G.W., (1977). Asset returns and inflation, Journal of Financial Economics, 5, 115-146
Fred, Weston, J. dan Thomas E. Copeland. 1999. Manajemen Keuangan. Edisi 8. Jakarta: Bina Rupa Aksara.
Flannery, M.J. & Protopapadakis A.A, (2002). Macroeconomic factors do influence aggregate stock returns, the review of financial studies, 15, 751-782
Gervais, S. and T. Odean (2001), “Learning to Be Overconfident, c Review of Financial Studies 14:1-27.
Geske, R., & Roll, R., (1983), The Monetary and Fiscal Linkage between Stock Returns and Inflation, Journal of Finance, Vol. 38, pp 1–33.
Ghozali, Imam. 2001. Aplikasi Analisis Multivariate dengan Program SPSS, BP UNDIP, Semarang.
Ghozali, Imam. 2012. “Aplikasi Analisis Multivariate dengan Program IBM SPSS 20”. Semarang : UNDIP.
Glaser, M. and M. Weber (2007), “Overconfidence and Trading Volume, c Geneva Risk and Insurance Revue 32:1-36.
Graham, F.C. (1996). Inflation, real stock returns and monetary policy, Applied Financial Economics, 6, 29-35.
Graham, J.R., C.R. Harvey, and H. Huang (2009), “Investor Competence, Trading Frequency, and Home Bias, Management Science 55:1094-1106.
Greenwood, C. (2007). How do currency exchange rate influence the price of holidays? Journal of Revenue and Pricing Management, 6, (4), 272-273.
Gričar, Sergej and Štefan Bojnec (2013). Inflation and hospitality industry prices, Eastern European Economics, 51, (3), 91-108.
Grinblatt, M. and M. Keloharju (2009), “Sensation Seeking, Overconfidence, and Trading Activity, c Journal of Finance 64:549-578.
Grossman, S.J. and J.E. Stiglitz (1980), “On the Impossibility of Informationally
Efficient Markets," American Economic Review 70:393-408.
Gultekin, N.B. (1983). Stock market returns and inflation evidences from other countries, The Journal of Finance, xxxviii,1, 49-65
Hakim, A. 2010. Ekonomi Pebangunan. Ekonisia. Yogyakarta.
Hess, P.J. & Lee, B.S (1999). Stock returns and inflation with supply and demand disturbance, The Review of Financial studies, 12, (5), 1203-1218
Hong, H., J. Scheinkman, and W. Xiong (2008), “Advisers and Asset Prices: A Model of the Origins of Bubbles,” Journal of Financial Economics 89:268-287.
Hsing, Y. (2004). Impacts of Fiscal Policy, Monetary Policy, and Exchange Rate Policy on Real GDP in Brazil: A VAR Model. Brazilian Electronic Journal of Economics, 6 (1).
Humpe, A., & Macmillan, P., (2007), Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan, Centre for Dynamic Macroeconomic Analysis Working Paper Series, Retrieved 9, July 2016 from http://www.st-andrews.ac.uk /economics/CDMA/papers/wp0720.
Jaffe, J. & G. Mandelker (1976). The fisher effect for risky assets: an empirical Investigation Journal of Finance, 31, 447-458
James C.S, Koreisha, S. & Partch M., (1985). A Varma analysis of the causal relations among stock returns real output and nominal interest rates, Journal of Finance 40, 375
Joseph, N. (2002). Modelling the impacts of interest rate and exchange rate changes on UK Stock Returns. Derivatives Use, Trading & Regulation, 7 (4), 306-323.
Joyce, M.A.S & Read V. (2002). Asset price reactions to RPI announcements, Applied Financial Economics, 12, 253-276
Kandir, Serkan Yilmaz (2008) ”Macroeconomic Variables, Firm Characteristics and Stock Returns: Evidence from Turkey”. International Research Journal of Finance and Economics ISSN 1450‐2887 Issue 16.
Kashmir. 2008. Bank dan Lembaga Keuangan Lainnya. Rajawali Pers. Jakarta.
Kaul G.,(1990). Monetary regimes and the relation between stock returns and inflation expectation, Journal of Financial and Quantitative Analysis, 25, (3), 307-321
Kaul, G., (1987). Stock returns and inflation: The role of the monetary sector, Journal of Financial Economics, 18,253-274.
Khalwaty, T. 2010. Inflasi dan Solusinya. PT Gramedia Pustaka Utama. Jakarta.
Kim, H.J., Chen, M.H. & Jang S. (2006). Tourism expansion and economic development: the case of Taiwan, Tourism Management 27, 925–933.
Kim, K. (2003). Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction model. Review of Financial Economics, 12, 301-313.
Krakover, S. (2004), Tourism development - centres versus peripheries: the Israeli experience during the 1990s, International Journal of Tourism Research, Mar/Apr 2004, 6, (2), 97-111.
Kyle, A.S. (1985), “Continuous Auctions and Insider Trading,” Econometrica 53:1315-1336.
Kyle, A.S. and F.A. Wang (1997), “Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?" Journal of Finance 52:2073-2090.
Laopodis N.T (2006). Dynamic interaction among the stock market, Federal Funds Rate, Inflation and Economic Activity. The Financial Review, Eastern Finance Association, 41 (4), 515-545.
Lee, S., Tang, D., & Wong, M. (2000`). Stock returns during German hyperinflation. The Quarterly review of economics and finance Vol, 40 , 375-386.
Leedy, P. & Ormrod, J. (2001). Practical research: Planning and design (7th ed.). Upper Saddle River, NJ: Merrill Prentice Hall. Thousand Oaks: SAGE Publications.
Luintel, K.B. & Paudyal, k. (2006). Are common stock a hedge against inflation? Journal of Financial Research, 29, 1-19
Marey, P. (2004). Exchange rate expectations: controlled experiments with artificial traders, Journal of International Money and Finance, Vol. 23 (2), pp. 283 – 304.
Maysami, R.C., Howe, L.C., & Hamzah, M.A., (2004), Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore’s All-S Sector Indices. Journal Pengurusan, Vol. 24, pp 47-77.
McCarthy, J. (2006). Pass-through of exchange rates and import price prices to domestic inflation in some industrialized economics, Federal Reserve Bank of New York, June 29, www.newyorkfed.org/research/econo mists/mccarthy/passthru.pdf (accessed July 23, 2016).
McQueen, G. & Roley, V.V., (1993) Stock prices, news and business conditions, Reviews on Financial Studies, 3, 144-157
Mishkin, S.F. 2008. Ekonomi Uang, Perbankan, dan Pasar Keuangan. Buku 1. Edisi ke-8. Salemba Empat. Jakarta.
Mishra, A. K., Swain, N., & Malhotra, D. (2007). Volatility Spillover between Stock and Foreign Exchange Markets: Indian Evidence. International Journal of Business, 12(3), 343-359.
Moore, D. and P.J. Healy (2008), “The Trouble with Overconfidence," Psychological Review 115:502-517.
Nasseh, A. & Strauss, J., (2000), Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach. The Quarterly Review of Economics and Finance; Vol. 40 (2), pp 229-245.
Quarterly Review of Economics and Finance; Vol. 40 (2), pp 229-245.
Nelson, C.R, (1976). Inflation and rate of return on common stocks, The journal of Finance, 31, 471-483.
Nieh, C.-C., & Lee, C.-F. (2001). Dynamic relationship between stock prices and exchange rates for G-7 countries. The Quarterly Review of Economics andFinance, 41, 477-490.
Nopirin. 2009. Ekonomi Moneter. Edisi Satu. Cetakan ke 12. Penerbit BPFE. Jakarta.
Odean, T. (1998), “Volume, Volatility, Price, and Profit When All Traders Are Above Average," Journal of Finance 53:1887-1934.
Odean, T. (1999), “Do Investors Trade too Much?" American Economic Review 89:1279-1298.
Odhiambo, N.M. (2012). Is Tourism development an engine for economic growth? The Zambian experience, Economics, Management and Financial Markets, 7, (4), 87-100.
Odhiambo, N. M. (2011), Tourism development and economic growth in Tanzania: empirical evidence from the ARDL-Bounds Testing approach, Economic Computation and Economic Cybernetics Studies and Research 45, (3), 71–83. OECD (1991), "Manual on Tourism Economic Accounts", Paris.
Payne, J. E. & Mervar, A. (2010), Research Note: The tourism-growth nexus in Croatia, Tourism Economics 16, (4), 1089–1094.
Peng, L. and W. Xiong (2006), “Investor Attention, Overreaction, and Category
Learning,” Journal of Financial Economics 60:563-602.
Phylaktis, Kate, & Ravazzolo, F. (2005). Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24, 1031-1053.
Premawardhana, V., (1997). The relationship between stock returns and interest rates in Sri Lanka. Sri Lankan, Journal of Management, Vol. 3, pp 251– 263.
Ratanapakorn, O. & Sharma, S.C., (2007), Dynamic Analysis between the US Stock Returns and the Macroeconomic Variables, Applied Financial Economics, Vol. 17, pp 369–377.
Requena-Silvente, F. & Walker, J. (2007). The Impact of exchange rate fluctuations on profit margins: the UK car market, 1971-2002, Journal of Applied Economics, X, 1, 213-235.
Ruane, M. & Claret, M. (2014). Exchange rates and tourism: evidence from the island of Guam, Journal of Economics and Economic Education Research, 15, (2), 165-185.
Scheinkman, J. and W. Xiong (2003), “Overconfidence and Speculative Bubbles," Journal of Political Economy 111:1183-1219.
Schotman, P.C. & Schweitzer, M. (2000). Horizon sensitivity of the inflation hedge of stocks, Journal of Empirical Finance, 7, 301-315.
Schwert, G.W. (1981).The adjustment of stock prices to information about inflation, The Journal of Finance, 12, 435-444.
Supriyanto. 2009. Metodologi Riset Bisnis, Cetakan 1-PT Indeks. Jakarta Barat.
Stavarek, D. (2005). Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions. Finance a úvûr–Czech Journal of Economics and Finance, 55, 141-161.
Sukirno, S. 2012. Makroekonomi. Teori Pengantar. Edisi Ketiga. Cetakan ke 21 PT. Raja Grafindo Persada. Jakarta.
Svenson, O. (1981), “Are We All Less Risky and More Skillful than Our Fellow Drivers?" Acta Psychol 47:143-148.
Thomas, D.E.L. (1986). Tourism in the UK - an industry riding on the exchange rate, The Service Industries Journal, 6, (3), 399-416.
Tsen, W. (2011). The real exchange rate determination: An empirical investigation, International Review of Economics and Finance, Vol. 20 (4), pp. 800 – 811.
Uddin, M. G. S. and Alam, M. M. (2007). The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange. South Asian Journal of Management and Sciences, 1 (2), 123-132.
Ugur, S., & Ramazan, S. (2005). Inflation, Stock Returns, and Real Activity in Turkey. The Empirical Economics Letters Vol, 4 (3) , 181-192. United Nation and World Tourism Organization (1993), "Recommendations on Tourism Statistics", Statistical Papers Series M, No. 83, New York.
Volt, W. (1999). Dictionary of statistics and methodology: A nontechnical guide for the social sciences (2nd ed.). Thousand Oaks, CA: SAGE Publications.
Wang, F.A. (2001), “Overconfidence, Investor Sentiment, and Evolution,” Journal of Financial Intermediation 10:138-170.
Wongbangpo, Praphan dan Subhash C. Sharma (2002) ”Stock Market and Macroeconomic Fundamental Dynamic Interaction : ASEAN‐5 Countries”. Journal of Asian Economics 13:27‐51.
Wong, K. & Wu, H. (2003). Testing fisher hypothesis in long horizons for G7 and Eight Asian Countries, Applied Economics Letter, 10,(14), 917-923.
World Tourism Organization (1996), "Draft Manual of a Satellite Account for Tourism". Available at: statistics.unwto.org/sites/all/files/docpdf/parti.pdf
World Travel and Tourism Council (1995), "Travel & Tourism: A New Economic Perspective", the 1995 WTTC Report - Research Edition.
Wu, Y. (2000). Stock prices and exchange rates in a VEC model-the case of Singapore in the 1990s. Journal of Economics and Finance, 24(3), 260-274.
Yau, H.-Y., & Nieh, C.-C. (2006). Interrelationships among stock prices of Taiwan and Japan and NTD/Yen exchange rate . Journal of Asian Economics, 17, 535–552.
Zordan, D. J. (2005). Stock Prices, Interest Rates, Investment Survival. Econometrica USA, Illinois. [Online] Available: http://www.econometricausa.com/publications/StockPrices.pdf http://www.kemenpar.go.id/asp/detil.asp?c=16&id=3098
Refbacks
- There are currently no refbacks.