Analisis Kausalitas dan Kointegrasi antara Nilai Tukar Mata Uang dan Indeks Harga Saham Gabungan di Pasar Modal Indonesia

This research try to analyze the causality and cointegration relationship between exchange rates and stock prices index in the emerging financial market of Indonesia which hit by the Global Financial Crisis. This research using monthly data, when the data divide the entire period into two sub-periods and call the first sub-period which covered from Januari 2005 to Desember 2006 as pre-crisis period and the sub-period which covered from July 2008 to October 2009 as post-crisis period, by using method of cointegration and granger causality test. The result of unit root test finds that both stock price index and exchange rate were in stationer at first difference in pre crisis period and at second difference in post crisis period. The Johansen’s cointegration test finds long-run relationships between stock prices indexs and exchange rate in pre and post crisis period. Other result show that The Granger Causality test show that stock price index and exchange rate consistent with portfolio approacht, it’s means that there is one directional causality, in which stock prices affect exchange rates in the period before the crisis and during crisis periods.