APPLICATION OF THE COPULA METHOD TO ANALYZE THE RELATIONSHIPS OF MACROECONOMIC FACTORS AFFECTING THE CSPI

The Composite Stock Price Index (CSPI) is a valuable number in assessing the performance of stocks listed on stock exchange; by looking at Index, investors can determine their investment strategy. However, rise and fall depend country's macroeconomic conditions; if economy weakens, company's will also undermine investors' confidence, confidence decreases. Analysing relationship between with factors show how much influence these increase or decrease question are inflation, interest rates rupiah exchange rate. In this study, dependency analysis was carried out Copula approach method involving Tau Kendal for parameter estimation Maximum Likelihood Estimation (MLE) to choose best model explain factors. Research results it found that structure Price, index inflation Gumbel parameters θ ̂= 1.264 1.174, While rate Student-t −0.6037.