NEWS, GEJOLAK SOSIAL-POLITIK DAN INDEKS HARGA SAHAM DI BURSA EFEK JAKARTA

Abstract

The impact of “news” in the financial markets had been observed since the early 1980’s. A series of path-breaking studies had been conducted to investigate the role of the unexpected “news” sparked by the sudden changes in the international financial system from the original Bretton Woods system to freely market system resulting in the random changes in the international currency exchange, the general price level and the stock market indices. This paper is an attempt to utilize Frenkel (1981) theoretical framework to expose the role of social-political index on the Jakarta Stock Exchange Composite Stock Price Index. Findings of the logistic regression model on 1995-2000 data shows that the “news” variable has signifance influence on the stock price index. This should have valuable implications on the management of macroeconomic information, particularly in managing “news” for direct public consumption.