THE EFFECT OF THE CHANGES IN THE CLOSING PRICE OF FOUR MAJOR INDEX IN AMERICA TO THE OPENING PRICE OF JKSE (PERIOD : AUGUST-OCTOBER 2013)

Abstract

With the development of Indonesian economy and stock market, Indonesia have become one of the most potential country for investment. This very reason also led many foreign investment to Indonesia which proven to have big impact to the Indonesian stock market itself. With those reason, this research is conducted to determine whether in 3 months, the changes American indices will affect the changes in JKSE index. The data is taken from daily data of five indices, NASDAQ, NYSE, TSX, Bovespa and JKSE from 1st August up to 31st October. This study is using multiple regression analysis in determining the effect. The result showing that the changes in American indices have no significant effect to the changes in the price of JKSE in the next day. The result of this study showing no significant effect due to the short period of research where the result of longer period will be different.