The document is an abstract for a thesis that examines the relationship between Indonesia's Composite Stock Exchange Index (CSEI) and inflation using a transfer function model. The study identifies a transfer function model between CSEI and inflation values through four stages: identification, parameter estimation, diagnostic testing, and forecasting. The results show a transfer function model that forecasts CSEI in 2011, and the forecast values were found to be within the 95% confidence interval of the actual 2011 CSEI data, indicating an acceptable forecasting model.

1. ABSTRACT
Mikhratunnisa, 2012.-- RELATIONSHIP BETWEEN THE COMPOSITE STOCK
EXCHANGE INDEX AND THE VALUE OF INFLATION USING TRANSFER
FUNCTION MODEL (i – xv; 120 pages) (Supervisors : I Gde Ekaputra Gunartha
and Mustika Hadijati)
The development of the stock exchange can be seen on the fluctuation of the
Composite Stock Exchange Index (CSEI). The CSEI fluctuation is influenced by
various factors both internal and external. One of the factors that influences it is
inflation. Data inflation and CSEI classified as time series data, therefore the
relationship between inflation and stock exchange index values can be modeled by
using a transfer function model. The transfer function is one of the analysis
technique in time series data to solve problems when consist of more than one set of
time series data. Application of the transfer function in this study aims to determine
the transfer function model between CSEI and the value of inflation, and then to
forecast value of CSEI in year of 2011.
In this study, transfer function modeling is done through four stages, namely:
identification of the model, the transfer function model parameter estimation,
diagnostic test for transfer function models, and the use of transfer function models
selected for forecasting.
The results show the transfer function model for forecasting stock index in 2011 as
follows:
y t  0,602 x t -17  1  0,864 B at
or
Yt *  2Yt* 1  Yt* 2  0,602 X t*17  1,204 X t*18  0,602 X t*19  at  0,864at 1
 
where Yt *  Yt and X t*  Xt .
By using the above selected model found that the forecasting results and the actual
data of CSEI in 2011 are spread-out in the 95% confidence interval lines. This
means that the model used for forecasting is an acceptable model.
Key words: time series, the transfer function model
©
Program Studi Matematika – FMIPA Universitas Mataram (2012)