KAUSALITAS HARGA SAHAM DAN KURS USD/IDR

Abstract

Theoretically Correlation exchange rate on stock prices, there is the relationship (negative) associated with
the performance of the issuer and economic conditions, there is also the approach that shows the
relationship because of the behavior of foreign investors related to the investment portfolio, but there is
also approach that states no direct relationship. Likewise, previous studies showed a negative relationship
beetween stock prices and exchange rates, but there is also research showing that the relationship
significant or under certain conditions, and the more extreme results showed no relationship between
stock prices and exchange rates.In this study, we just want to prove which variable affect other variables
whether the exchange rate affect the price of the stock or just the opposite, based on test granger causality
shows stock prices and the exchange rate of USD / IDR turns affect each other, so that the analysis of
changes in exchange rates can be used to predict the tendency towards the stock price, and vice versa, in
addition to stock price changes are not necessarily directly affect the exchange rate at that time, but it
takes time or lag.