DAFTAR PUSTAKA Abdalla, I., dan Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and Philippines. Applied Financial Economics, Vol. 7: 25-35. Ajayi, A.R., dan Mougoue, M. (1996). On the dynamic relation between stock price and exchange rate. The Journal of Financial Research. XIX, 2, 193-207. Ascarya (2012). Transmission Channel and Effectiveness of Dual Monetary Policy in Indonesia. Buletin Ekonomi Moneter dan Perbankan. Jakarta: Bank Indonesia. Aydemir, O., dan Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates: Evidence from Turkey. International Research Journal of Finance and Economics. Vol. 23, 237-215. Bartov, E., dan Bodnar, G. M. (1994). Firm Valuation, earning expectations, and the exchange rate exposure effect. Journal of Finance, vol. 49, 529-543. Baye, M. (2010). Managerial Economics and Business Strategy, 7th Edition. New York: McGraw-Hill International Edition. Cadarajat, Y., dan Lubis, A. (2012). Offshore and Onshore IDR Market: An Evidence On Information Spillover. Buletin Monetary Economy and Banking. Jakarta: Bank Indonesia. Dickey, D.A., dan Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association 74 (366): 427–431. Dimitrova, D. (2005). The Relationship between Exchange Rate and Stock Prices: Studied in Multivariate Model. Issues in Political Economy, Vol. 14. Dornbusch, R. (1975). A Portfolio Balance Model of The Open Economy. Journal of Monetary Economics. Vol. 1. 3-20. Dornbusch, R., dan Fischer, S. (1980). Exchange Rate and Current Account. American Economic Review, vol. 70. 960-971. Enders, W. (1995). Applied Econometric Time Series. New York: John Wiley & Sons. Firdaus, M. (2011). Aplikasi Ekonometrika untuk Data Panel dan Time Series. Bogor: IPB Press.
81
Frankel, J. A. (1983). Monetary and Portfolio-Balance models of the Determination Of Exchange rates. Cambridge: MIT Press. Gavin, M. (1989). The Stock Market and Exchange Rate Dynamics. Journal of International Money and Finance, 8, 181-200. Gonzalo, J. (1994). Five Alternative Methods of Estimating Long-run Equilibrium Relationships. Journal of Econometrics, vol. 60. 203-233. Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica. Gujarati, D., dan Porter, D.C. (2009). Basic Econometrics, 5th Edition. New York: McGraw-Hill. Hanafi, M. M. (2004). Manajemen Keuangan. Yogyakarta: BPFE. Hanafi, M.. M, (2003). Manajemen Keuangan Internasional (Edisi 2003/2004). Yogyakarta: BPFE. Hang, J. (2003). Cointegration and The Causality Between Stock Prices and Exchange Rates of The Korean Economy. International Business & Economics Research Journal, Vol. 3 No 4. Hartono, J. (2009). Teori Portofolio dan Analisis Investasi (Edisi Keenam). Yogyakarta: BPFE. Jones, C. P. (2004). Investment Analysis and Management 10th edition. John Wiley & Sons. Jorion, P. (1990). The exchange rate exposure of U.S. multinationals. Journal of Business, vol. 63, 331-345. Juanda, B., dan Junaidi, A. (2012). Ekonomika Deret Waktu. Bogor: IPB Press. Koop, G. (2000). Analysis of Economic Data, New York: John Wiley and Sons, p. 175. Kutty, G. (2010). The Relationship Between Exchange Rates and Stock Prices: The Case of Mexico. North American Journal of Finance and Banking Research. vol. 4. Ma, C. K.. dan Kao, C. W. (1990). On exchange rate changes and stock price reactions. Journal Finance and Accounting, Vol. 17, 441-449. Mishkin, F. S. (1995). Symposium on The Monetary Transmission Mechanism. Journal of Economic Perspectives, Vol. 4, 3-10
82
Mishkin, F. S. (2001). The transmission mechanism and the role of asset prices in monetary policy. National Bureau Economic Research. Working Paper No. 8617. Nath, G. C., dan Samantha, G. P. (2003). Relationship Between Exchange Rate and Stock Price in India – An Empirical Analysis. Unpublished. Noor Nugroho, M., Ibrahim, Winarno, T., dan Permata, I. M. (2012). Perilaku dan Dampak Capital Reversal Serta Current Account Threshold Terhadap Nilai Tukar Rupiah. Working paper tidak dipublikasikan. Jakarta: Bank Indonesia. Novita, M., dan Nachrowi, N. D. (2004). Dynamic Analysis of the Stock Price Index and the Exchange Rate Using Vector Autoregression (VAR): AN Empirical Study of the Jakarta Stock Exchange, 2001-2004. Economics and Finance in Indonesia, Vol. 53 No.3. 263-278. Ooi, A., Wafa, S. A. W., Lajuni, N., Ghazali, M. F. (2009). Causality Between Exchange Rates and Stock Prices: Evidence from Malaysia and Thailand. International Journal of Business and Management,Vol. 4 No. 3. Phylaktis, K., dan Ravazzollo, F. (2005). Stock Prices and exchange rate dynamics. Journal of International Money and Finance, vol. 24. 1031-1053. Pribadi, Firman. (2001). Hubungan Dinamis Antara Indeks Harga Saham dan Nilai Tukar dalam Masa Krisis Ekonomi di Indonesia. Thesis Program Magister tidak dipublikasikan. Fakultas Ekonomika dan Bisnis, Universitas Gadjah Mada. Saunders, A., dan Cornett, M. M. (2011). Financial Institutions Management: A Risk Management Approach. 7th edition. New York: McGraw-Hill International Edition. Sekaran, U. (2003). Research Methods for Business: A Skill-Building Approach. New York: John Wiley and Sons, Inc. Shapiro, A. C. (2010). Multinational Financial Management 9th edition. New York: John Wiley and Sons, Inc. Siegel, M. H. (1983). Foreign Exchange Risk and Direct Foreign Investment. Michigan: UMI Research Press. Sims, C. A. (1980). Macroeconomics and Reality. Econometrica Vol. 48, pp. 1-48. Sims, C. A. (1986). Are Forecasting Models Usable for Policy Analysis?, Minneapolis Federal Reserve Bank Quarterly Review 10. 2-16. Sohrabian, A.dan Bahmani-Oskooee, M. (1992). Stock Prices and the Exchange Rate of the Dollar. Applied Economics, Volume 24, 459-464.
83
Stock, J. H., Watson, M. W. (2001). Vector Autoregression. National Bureau of Economic Research. Sulistyandari. (2007). Analisis Kausalitas Antara Nilai Tukar Mata Uang dan Indeks Harga Saham di Pasar Modal Indonesia. Thesis Program Magister tidak dipublikasikan. Fakultas Ekonomika dan Bisnis, Universitas Gadjah Mada. Supriyanto. (2006). Analisis hubungan Dinamis Antara Arus Modal Asing, Perubahan Nilai Tukar dan Pergerakan Indeks LQ 45: Pendekatan VAR. Thesis Program Magister tidak dipublikasikan. Fakultas Ekonomi, Universitas Indonesia. Susilowati. (2009). Analisis Kausalitas Antara Nilai Tukar Mata Uang dan Indeks Harga Saham di Pasar Modal Indonesia. Thesis Program Magister tidak dipublikasikan. Fakultas Ekonomika dan Bisnis, Universitas Gadjah Mada. Tabak, B. M. (2006). The Dynamic Relationship between stock prices and exchange rates: evidence from Brazil. Banco Central do Brazil. Working Paper. Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. Yogyakarta: BPFE. Tandelilin, E. (2010). Portofolio dan Investasi : Teori dan Aplikasi Edisi Pertama. Yogyakarta: Kanisius. Tim Penyusun Neraca Arus Dana (NAD) Tahunan Badan Pusat Statistik (BPS) (2010). Neraca Arus Dana Indonesia Tahunan 2004-2009. Jakarta: Badan Pusat Statistik. Tim Studi BAPEPAM-LK (2008). Analisis Hubungan Kointegrasi dan Kausalitas serta Hubungan Dinamis antara Aliran Modal Asing, Perubahan Nilai Tukar dan Pergerakan IHSG di Pasar Modal Indonesia. Jakarta: BAPEPAM-LK Trenggana, A., Untoro, Syarifuddin, F., dan Setiawan, I. (2014). Dampak Transaksi Uang Kertas Asing (UKA) terhadap volatilitas nilai tukar rupiah. Working paper tidak dipublikasikan. Jakarta: Bank Indonesia. Undang-Undang Republik Indonesia No 8 Tahun 1995 Tentang Pasar Modal Indonesia Untoro dan Widodo, P. R. (2008). Mengkaji Perubahan Nilai Tukar Rupiah dan Pasar Saham. Buletin Ekonomi Moneter dan Perbankan. Bank Indonesia : Jakarta. Wu, K., Lu, C., Jono, H., dan Perez, I. (2012). Interrelationship between Phillipine Stock Exchange Index and USD Exchange Rate. Social Behavioral and Sciences, vol 40. 768-782.
84
Wu, Y. (2000). Stock Prices and Exchange Rates in a VEC Model – The Case of Singapore in the 1990s. Journal of Economics and Finance, vol. 24 No. 3. Zhao, H. (2010). Dynamic Relationship Between Exchange Rate and Stock Price: Evidence from China. Research in International Business and Finance, vol. 24. 103-112. Zubair, A. (2013). Causal Relationship between Stock Market Index and Exchange Rate: Evidence from Nigeria. CBN Journal of Applied Statistics, vol. 4 No. 2. http://www.idx.co.id/ http://www.ojk.go.id/ http://www.reuters.com/article/2013/01/27/us-singapore-probe-ndfsidUSBRE90Q0IF20130127 http://www.reuters.com/article/2014/02/19/markets-indonesia-rupiah-ndfsdUSL3N0LO0RY20140219 http://www.seasite.niu.edu/
85
