Perilaku Dinamis Pasar Saham Indonesia dengan ASEAN +3: Kajian Sektor Keuangan, Industri, dan Properti

Abstract

This research investigates the causality and stock market integration between the sectoral stock price indices of Indonesia and its major trading partners ASEAN +3 (Malaysia, Filipina, Thailand, South of Korea, Cina, Japan). Furthermore, investigates relationship between macroeconomic variables and stock market sectoral price indices. Data used for the study are monthly close price sectoral indices (finance, property, industry), money supply, interest rate, consumer price index, the real exchange rate during January 2005- December 2012. Data analysed to use the model of Vector Autoregressions or Vector Error Correction Model. The results shows that (1) there are two bidirectional causalities from property sector stock price indices of Indonesia to Philipine and Malaysia to Philippines (2) there are two bidirectional causalities from industry sector stock price indices of Indonesia to Thailand and Thailand to Philippines (3) furthermore, there are two unidirectional causalities from finance sector stock price indices of Indonesia to those of Malaysia and Thailand. (4) We also found empirical evidence of bidirectional Granger causality, suggesting that sector property and industry stock price indices of Indonesia and its major trading partners ASEAN +3 are interrelated. (5) financial sector stock price indices and the property is not affected from macroeconomic variables (6) industry sector stock price indices is affected by money supply, consumer price index, BI rate, the real exchange rate.

Studi ini meneliti analisis hubungan kausalitas dan integrasi pasar saham antara indeks harga saham sektoral Indonesia dengan negara ASEAN +3 (Malaysia, Filipina, Thailand, Korea Selatan, Cina, dan Jepang). Selain itu, meneliti hubungan variabel makroekonomi dengan indeks harga saham sektoral Indonesia. Data yang digunakan dari studi ini adalah harga penutupan saham sektoral (keuangan, properti, industri) secara bulanan, jumlah uang beredar (M2), BI Rate, indeks harga konsumen, nilai tukar riil selama Januari 2005 hingga Desember 2012. Analisis data menggunakan model Vector Auto Regressions atau Vector Error Correction Model. Hasil yang didapat menunjukkan bahwa: (1) terdapat dua hubungan kausalitas yang timbal balik dari saham sektor properti Indonesia dengan Filipina serta Malaysia dengan Filipina (2) terdapat dua hubungan kausalitas yang timbal balik dari saham sektor industri Indonesia dengan Thailand, serta Thailand dengan Filipina. (3) selain itu, terdapat dua hubungan kausalitas yang searah dari indeks harga saham sektor keuangan Indonesia dengan Malaysia dan Thailand (4) hubungan kausalitas yang timbal balik mengindikasikan indeks harga saham sektor properti dan industri Indonesia dengan negara partner ASEAN +3 saling terintegrasi (5) indeks harga saham sektor keuangan dan properti tidak dipengaruhi dari variabel makroekonomi (6) indeks harga saham industri dipengaruhi oleh jumlah uang beredar, indeks harga konsumen, BI Rate, nilai tukar riil.