Abstract
Purpose- This research aimed to study the effect of macroeconomic variables: Dow Jones Industrial Average, USD/IDR, and World Crude Oil Price towards Jakarta Composite Index (JCI) during the period of 2005-2016.
 Methods- This research using the daily closing prices of Dow Jones Industrial Average (JCI), USD/IDR, World Crude Oil Price, and Jakarta Composite Index, the GARCH (1,1) The data analysis technique used in this study is Generalized Autoregressive Conditional Heteroscedasticity (GARCH). The reason for choosing the GARCH analysis technique is that this study uses time series data which is often abnormal and cannot be normalized.
 Finding- Analysis show that Dow Jones Industrial Average and world crude oil price has a positive significant effect on the JCI while USD/IDR has a negative significant effect on JCI.
 Implication- The findings imply the importance to consider macroeconomic variables when investing at Jakarta Stock Exchange
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