ESTIMASI TINGKAT BI RATE BERDASARKAN FAKTOR NILAI TUKAR (KURS USD/RP), JUB, INFLASI, IHSG DAN PDB MENGGUNAKAN METODE ADAPTIVE NEURO FUZZY INFERENCE SYSTEM (ANFIS)

Akhmad Kahfi, Armaini Akhirson

Abstract


This study aims to analyze and compare the sensitivity of macroeconomic variables on
stock returns of agriculture, mining, manufacturing and finance in Indonesia Stock
Exchange during the period 2008-2010. Independent variable used is the inflation rate,
interest rates SBI and the exchange rate of U.S. dollar to rupiah . The dependent
variable used is stocks returns of agriculture, mining, manufacturing and finance. The
research method used is multiple linear regression analysis. From the results of research
can be concluded that: (i) In partially, only SBI variables which affecting the agricultural
sector stock returns. In the mining sector, only SBI and EXCHANGE rate which affecting
stock returns. In manufacturing and financial sector is only influenced by EXCHANGE
rate. (ii) In simultaneously macroeconomic variables could affect the stock returns of all
sectors with the highest sensitivity levels in the mining, then agriculture and financial
sectors, and the lowest sensitivity level of the manufacturing sector.


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