Analisis Pengaruh Nilai Tukar, Federal Funds Rate, Inflasi, dan Jumlah Uang Beredar Terhadap Indeks Saham Negara ASEAN-5
DOI:
https://doi.org/10.35870/jemsi.v12i5.7033Keywords:
JUB, Inflation, Indeks, Fed RateAbstract
Studi ini bertujuan menganalisis pengaruh nilai tukar, Federal Funds Rate (FFR), tingkat inflasi, dan jumlah uang beredar terhadap kinerja indeks saham negara-negara ASEAN-5 (Indonesia, Malaysia, Thailand, Filipina, dan Singapura) periode 2015-2024. Menggunakan pendekatan panel data regression dengan fixed effect model pada data bulanan dari Bloomberg dan Bank Sentral masing-masing negara, studi ini menguji hubungan simultan keempat variabel makroekonomi tersebut terhadap return indeks saham. Hasil menunjukkan bahwa apresiasi nilai tukar terhadap USD berpengaruh positif signifikan terhadap kinerja saham ASEAN-5, sementara kenaikan FFR dan inflasi memiliki dampak negatif yang lebih kuat pada negara dengan ketergantungan ekspor tinggi seperti Indonesia dan Thailand. Jumlah uang beredar (M2) justru menunjukkan hubungan non-linier, positif pada fase ekspansi moneter namun memicu volatilitas saat quantitative easing berkepanjangan. Temuan ini mengindikasikan bahwa kebijakan moneter AS dan stabilitas makro regional memainkan peran krusial dalam dinamika pasar modal ASEAN, dengan implikasi bagi investor asing dan pembuat kebijakan untuk mengantisipasi Spillover Effects global dalam merancang strategi hedging dan diversifikasi portofolio.
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