PENGARUH INDEX LQ45 TERHADAP HARGA SAHAM KEPEMILIKAN LO KHENG HONG DENGAN MEDIASI PERUBAHAN DOLLAR (TAHUN 2021-2024)

This study aims to analyze the effect of the LQ45 Index on the stock prices of companies owned by Lo Kheng Hong, with changes in the USD/IDR exchange rate as a mediating variable. The movement of the Indonesian capital market and the sensitivity of the exchange rate to global dynamics provide an important context for understanding the link between key market indicators and individual stock performance, particularly the portfolio of legendary value investor Lo Kheng Hong. The research adopts a quantitative approach using panel data regression. The sample consists of seven companies consistently included in Lo Kheng Hong’s portfolio during the 2021–2024 period, comprising a total of 336 observations. The results show that the LQ45 Index has a significantly negative effect on the exchange rate, meaning that a stronger stock market is followed by the appreciation of the Rupiah. In addition, the LQ45 Index has a significantly positive effect on the stock prices in Lo Kheng Hong’s portfolio, indicating that an increase in the main market index leads to higher stock prices. The exchange rate variable is found to significantly mediate the effect of the LQ45 Index on stock prices, with a negative relationship direction, implying that Rupiah depreciation weakens the portfolio's stock prices. The regression model explains 26.09% of the variation in stock price movements. These findings imply that the dynamics of the leading stock index and exchange rate fluctuations play an important role in determining value stock investment performance, serving as strategic considerations for investors in making investment decisions in the Indonesian capital market.