<![CDATA[Penelitian ini bertujuan menganalisis pengaruh nilai tukar rupiah dan net foreign flow terhadap pergerakan Indeks Harga Saham Gabungan (IHSG) selama periode Covid-19 dan selama periode pemulihan pasca Covid-19. Selain itu, penelitian ini mengkaji adanya indikasi herding behavior (investor domestik cenderung mengikuti keputusan investor asing) dan juga positive feedback trading (perilaku investor yang mengejar tren) di pasar modal Indonesia. Pendekatan yang digunakan adalah kuantitatif dengan teknik purposive sampling, menggunakan data sekunder harian IHSG, kurs rupiah terhadap dolar AS, dan net foreign flow. Analisis awal dilakukan dengan regresi linier berganda, namun karena ditemukan masalah heteroskedastisitas, pemodelan dilanjutkan menggunakan Generalized Autoregressive Conditional Heteroskedasticity (GARCH) dan pemodelan serupa seperti Threshold Autoregressive Conditional Heteroskedasticity (TARCH). Hasil estimasi TARCH (1,1) menunjukkan bahwa nilai tukar rupiah berpengaruh negatif dan signifikan terhadap Indeks Harga Saham Gabungan, dengan koefisien -0,288652 dan nilai probabilitas 0,0000. Sementara Net foreign flow juga berpengaruh positif dan signifikan terhadap Indeks Harga Saham Gabungan, dengan koefisien 0,008591 dan probabilitas 0,0000. Secara simultan, kedua variabel tersebut berpengaruh signifikan terhadap Indeks Harga Saham Gabungan dengan p-value 0,000000. Kedua variabel mampu menjelaskan sekitar 16,32% variasi pergerakan Indeks Harga Saham Gabungan, sementara sisanya sebesar 83,68% dipengaruhi oleh variabel makroekonomi atau faktor lain diluar penelitian ini. This study aims to analyze how the rupiah exchange rate and net foreign flow affect Jakarta Composite Index (JCI), during the Covid-19 period and the post-Covid recovery period. The article also examines signs of herding behavior (domestic investors following foreign investors’ decisions) and positive feedback trading (trend‑chasing behavior) in the Indonesian capital market. The research uses a quantitative approach with purposive sampling, based on daily secondary data for the JCI, the exchange rate, and net foreign flow. The initial analysis uses multiple linear regression, but because heteroskedasticity is found, the modelling is continued with the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model and the related Threshold Autoregressive Conditional Heteroskedasticity (TARCH) model. The GARCH estimation results show that the rupiah exchange rate has a negative and significant effect on the JCI, with a coefficient of 0,288652 and a p-value of 0,0000. Net foreign flow also has a positive and significant effect on the JCI, with a coefficient of 0,008591 and a p-value of 0,0000. Jointly, these two variables have a significant effect on the JCI with 0,000000 as the p-value. Together, they explain about 16,32% of the variation in JCI, while the remaining 83,68% is influenced by other macroeconomic variables outside this study.]]>
