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"Penelitian ini ingin mengetahui respon yield Surat Berharga Negara (SBN) terhadap perubahan suku bunga kebijakan moneter, nilai tukar, dan inflasi di Indonesia pada periode Juli 2005 hingga Desember 2012 dengan menggunakan metode Vector Error Correction Model (VECM) karena SBN telah menjadi komponen utama dalam pembiayaan defisit belanja pemerintah Indonesia.Penelitian menyimpulkan bahwa pada bulan pertama respon terbesar yield SBN berasal dari nilai tukar, sedangkan pada bulan keduabelas respon terbesar yield SBN berasal dari inflasi. Selain itu, terdapat hubungan jangka panjang antara yield SBN dengan inflasi, nilai tukar, dan BI Rate. Mekanisme koreksi terjadi pada yield semua jenis SBN, dengan proses penyesuaian berlangsung lebih cepat pada yield SBN 1 tahun.

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This study investigates the yield response of Government Securities (SBN) to changes in monetary policy interest rate, exchange rate, and inflation in Indonesia in the period July 2005 to December 2012 using the Vector Error Correction Model (VECM) for SBN has become a major component in the deficit financing government spending Indonesia.

The study concludes that in the first month the greatest response SBN yield came from the exchange rate, while in the twelfth month the greatest response SBN yield came from inflation. In addition, there is a long-term relationship between the yield on government securities with inflation, exchange rate, and the BI Rate. Yield correction mechanism occurs in all types of government securities, the adjustment process is faster in the 1-year government securities."

"Tesis ini membahas pengaruh pengumuman makroekonomi Amerika pada imbal hasil, volatilitas dan volume transaksi pasar futures emas, perak dan tembaga. Penelitian dimulai dengan deteksi tingkat efisiensi pasar futures menggunakan model stepwise regression lima menitan. Didapatkan bahwa efisiensi pasar sangat tinggi dimana pasar bereaksi secara instan terhadap pengumuman makroekonomi pukul 8:30 EST dan 10:00 EST, namun bereaksi setelah 25 - 30 menit terhadap pengumuman pukul 9:15 EST. Perbedaan speed of adjustment ini diakomodasi dalam model regresi untuk menemukan pengaruh indikator makroekonomi. Hasil menunjukan bahwa pengumuman makroekonomi Amerika berpengaruh kuat terhadap pergerakan harga, volatilitas dan volume transaksi ketiga futures. Ekspektasi atas pertumbuhan ekonomi akan menurunkan harga futures emas dan perak, sebaliknya menaikan harga futures tembaga. Pengumuman atas kondisi tenaga kerja merupakan pengumuman dengan intensitas terkuat diantara seluruh pengumuman lain. Pasar metal futures relatif lebih sensitif atas kedatangan pengumuman pada periode setelah krisis. Dideteksi pula terdapat perubahan karakter futures tembaga sejak krisis subprime mortgage, mendekati karakter futures emas dan perak.

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This thesis explores the impact of U.S. macroeconomic announcements on returns, volatility and trading volume of gold, silver and copper futures markets. First, this study detects futures market efficiency using five-minute interval stepwise regression models. The efficiency is very high as markets react instantaneously to macroeconomic announcement at 8:30 EST and 10:00 EST, although markets respond after 25 - 30 minutes to 9:15 EST announcements. Difference in speed of adjustment is accommodated in a regression model to discover the impact of macroeconomic indicators. Results showed that U.S. macroeconomic announcements have powerful impact on price, volatility and trading volume. Expectation of economic improvement negatively affect the price of gold and silver futures, but positively affect the price of copper futures. Announcements of labor conditions have the strongest impact among other announcements. Metals futures markets are relatively more sensitive to the arrival of the announcement after the crisis. Results also detect copper futures character changed since the subprime mortgage crisis approaching character of gold and silver futures."

"Penelitian ini menganalisis pengaruh size reksa dana, kepemilikan manajer investasi dan variabel makroekonomi terhadap return reksa dana saham yang terdaftar di Bapepam selama tahun 2006-2013. Ukuran reksa dana diukur melalui besarnya asset under management dan kepemilikan manajer investasi dilihat dari prospektus reksa dana yaitu manajer investasi nasional patungan. Sementara variabel makro ekonomi yang digunakan adalah tingkat inflasi, nilai tukar rupiah, suku bunga sertifikat Bank Indonesia dan jumlah uang yang beredar. Selanjutnya akan dilakukan perbandingan kinerja antara reksa dana yang dikelola oleh manajer investasi nasional dan manajer investasi asing.Hasil penelitian menunjukkan bahwa tidak terdapat pengaruh signifikan antara ukuran dan kepemilikan manajer investasi terhadap return reksa dana. Sementara dari variabel makroeknomi disimpulkan adanya pengaruh signifikan antara tingkat inflasi dan suku bunga Sertifikat Bank Indonesia terhadap return reksa dana, namun tidak ada pengaruh signifikan antara nilai tukar rupiah dan jumlah uang beredar terhadap return reksa dana. Yang terakhir, perbandingan kinerja antara reksa dana yang dimiliki oleh manajer investasi nasional dan patungan menunjukkan ada perbedaan jika diukur menggunakan Rasio Treynor.

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This thesis analyses the influence of size, fund manager ownership and macroeconomic variabels to return of equity fund that listed on Bapepam within the last 8 years from 2006 to 2013. Mutual fund size was reflected by asset under management while information about fund manager ownership can be found on each prospectus. After that, this study will compare the performace of mutual fund based on the fund manager ownership.

The result showed that size, fund manager ownership, exchange rate and the amount of money are not significant to return of equity fund. But the inflation and SBI rate has a significant influence toward return of equity fund. Lastly, there is a difference between mutual fund performance based on their fund manager ownership when measured using Treynor Ratio."

"Despite the challenges encountered in 2004, Indonesia's economy sustained a favorable performance and is predicted to show a stronger recovery, along with improvements in the components of GDP in 2005. Mutually supportive monetary and fiscal policies have helped maintaining the momentum of economic recovery. Reflecting the progress achieved in 2004 and looking forward to the economic prospects in 2005, at least four main structural challenges ahead be addressed, namely maintaining macroeconomic stability, dealing with unemployment and poverty, financing economic growth without loosening the efforts of maintaining macroeconomic stability, and confronting challenges concerning banking consolidation. Some points can be iterated from the recent progress and from the 2005 prospects for the Indonesian economy. Economic progress in 2004 is the result of Indonesia' s important efforts in laying the foundation for a durable improvement of macroeconomic fundamentals. However, much remains to be done. Nonetheless the solid macroeconomic policy coordination between fiscal and monetary policies provides a sound basis to strengthen economic growth. Furthermore, a consistent implementation of the structural reform programs will allow economic growth to reach approximately 5.5% this year and will establish the basis for real growth rates of 6-7% over the medium-term. The support from the international community, both public and private, will also be a key to further strengthen Indonesian's growth prospects."

"Penelitian ini mengkaji bagaimana pengaruh faktor makroekonomi khususnya variabel inflasi, nilai tukar, dan suku bunga terhadap imbal hasil saham sektor infrastruktur dan sektor keuangan pada pasar saham Indonesia pada periode tahun 2018 hingga 2021. Penelitian ini menggunakan model uji regresi linier berganda dengan menggunakan metode OLS dalam mencari tahu pengaruh dari variabel independen terhadap variabel dependen. Pada penelitian ini ditemukan bahwa inflasi, nilai tukar, dan suku bunga secara simultan mempengaruhi imbal hasil pada sektor infrastruktur dan sektor keuangan. Berdasarkan hasil uji f dan uji t ditemukan bahwa pada pasar saham Indonesia sektor saham keuangan lebih sensitif terhadap perubahan faktor makroekonomi dibandingkan sektor saham infrastruktur dalam merespon perubahan faktor makroekonomi. Berdasarkan hasil uji t ditemukan bahwa inflasi dan suku bunga tidak berpengaruh secara signifikan terhadap imbal hasil saham pada kedua sektor. Nilai tukar sebagai satu-satunya faktor makroekonomi dalam penelitian yang mempengaruhi secara signifikan negatif terhadap imbal hasil saham pada sektor infrastruktur dan sektor keuangan.

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This research examines the effect of macroeconomic factors, especially inflation, exchange rate and interest rate variables on stock returns in the infrastructure sector and financial sector on the Indonesian stock market in the period 2018 to 2021. This research uses a multiple linear regression model with OLS method to find out the effect of the independent variable on the dependent variable. In this research, it was found that inflation, exchange rates and interest rates simultaneously influence returns in the infrastructure sector and the financial sector. Based on the results of the f and t test, it was found that the financial sector is more sensitive to changes in macroeconomic factors compared to the infrastructure sector responding to changes in macroeconomic factors. Based on the results of the t test, it was found that inflation and interest rates did not have a significant effect on stock returns. The exchange rate is the only macroeconomic factor in the research that has a significantly negative influence on stock returns in the infrastructure sector and financial sector."

"Penelitian ini secara umum menganalisa pengaruh variabel-variabel ekonomi makro terhadap index harga saham gabungan (IHSG). Dengan menggunakan data variabel makro BI rate, jumlah uang beredar, kurs dollar, inflasi dan PDB, juga IHSG di BEI periode 2005-2014 sebagai variabel dependen. Teknik analisis yang dilakukan pada penelitian ini menggunankan metode regresi linier berganda dengan menggunakan variabel independen BI rate, jumlah uang beredar, kurs dollar, inflasi dan PDB terhadap variabel dependen IHSG.Hasil penelitian ini menunjukkan bahwa hanya variabel PDB saja yang tidak berpengaruh secara signifikan terhadap index harga saham gabungan. Dari empat variabel yang memiliki hubungan yang signifikan dengan IHSG, tiga diantaranya yaitu KURS, BI rate dan INF memiliki hubungan yang negatif, yang artinya jika KURS, BI rate dan INF meningkat maka akan menurunkan nilai IHSG, sedangkan jumlah uang beredar memiliki hubungan yang positif yang artinya jika jumlah uang beredar meningkat maka akan meningkat juga nilai dari IHSG.

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In generally, this research is analyze the effect of macroeconomic variables on Jakarta Composite Index (JCI). By using the macro variable data BI rate, money supply, exchange rate of the dollar, inflation and GDP, also JCI in BEI period 2005-2014 as the dependent variable. Technical analyzes conducted in this study using multiple regression method using independent variables BI rate, money supply, exchange rate of the dollar, inflation and the GDP on the dependent variable JCI.

The results showed that the only variable that GDP alone does not significantly on JCI. Of the four variables have a significant relationship with JCI, three of them namely EXCHANGE ($), BI rate and INF have a negative relationship, which means that if EXCHANGE ($), BI rate and INF increase will decrease the value of JCI, while money supply has a positive relationship which means that if the money supply increase it will too increase value of the JCI."