THE INFLUENCE OF S&P 500 INDEX, 30-YEAR US TREASURY BOND, COMMODITY RESEARCH BUREAU INDEX, AND USD INDEX TOWARDS THE VOLATILITY OF JAKARTA COMPOSITE INDEX DURING THE GLOBAL FINANCIAL CRISIS (PERIOD 2006 - 2011)

Abstract

This research aims to find out the simultaneous and partial influence of Standard and Poor’s 500 Index, 30-Year US Treasury Bond, Commodity Research Bureau Index and US Dollar Index towards the volatility of Jakarta Composite Index during the global financial crisis for 2006 – 2011 period. The data of the research is monthly secondary data. The total population of data is 72 monthly data taken from six years of data observation. The analysis technique used in the research is multiple regression analysis. To test the hypotheses of the research, T-Test is used to examine partial influence of the independent variables and F-Test is used to examine the simultaneous influence of the independent variables. In addition, coefficient of determination, descriptive statistics and classic test assumptions are also performed. The conclusion of this research is the whole independent variables entirely influence Jakarta Composite Index significantly. Partially, Standard and Poor’s 500 influences Jakarta Composite Index significantly with positive relationship. On the other hand, 30-Year US Treasury Bond, Commodity Research Bureau Index and US Dollar Index partially influence Jakarta Composite Index significantly with inverse relationship. Furthermore, coefficient of determination also shows that 80.1% of the dependent variable could be explained by the four independent variables of the model.