DOI: https://doi.org/10.14710/j.gauss.14.1.236-246

ANALISIS RESPON INDEKS DOLAR TERHADAP PASAR SAHAM AMERIKA MENGGUNAKAN MODEL VECTOR AUTO REGRESSIVE

*Lailatul Maziyah Wildan Mufaridho  -  Sains Aktuaria, Universitas Darunnajah, Indonesia
Paiz Jalaludin  -  Program Studi Sains Akturia, Universitas Darunnajah, Indonesia
Royyan Amigo  -  Program Studi Sains Akturia, Universitas Darunnajah, Indonesia
Open Access Copyright 2025 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

The US Dollar Index (DXY) reflects the strength of the US Dollar and is often used as an indicator to measure changes in its value. Changes in the DXY also exert direct pressure on US stock markets, such as NASDAQ, S&P 500, and AAPL. Current trends indicate that US tensions with other countries are affecting the dollar's attractiveness as the world's dominant currency. Furthermore, US political dynamics, such as the 2024 presidential election, add complexity, ultimately impacting the US stock market. Sudden fluctuations in the US Dollar can cause shocks, leading to increased stock market volatility. One effective analytical tool for studying this relationship is the Impulse Response Function (IRF). Based on Vector Auto-Regression (VAR), IRF facilitates analysis of how the US stock market responds to shocks in the dollar's value over a certain period, and vice versa. When the DXY experiences a shock, its response to NASDAQ, S&P 500, and AAPL tends to oscillate positively and negatively, stabilizing around the third period on average. Conversely, when the US Dollar Index faces a shock, the responses of NASDAQ and S&P 500 are more stable compared to AAPL's response

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Keywords: VAR;IRF;Indeks Dolar, Saham

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