KOINTEGRASI BURSA EFEK INDONESIA DENGAN BURSA EFEK AMERIKA SERIKAT, JEPANG, HONGKONG, DAN MALAYSIA

Ignatius Roni Setyawan, Rorlen Rorlen, Margarita Ekadjaja
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Abstract

Penelitian ini bertujuan untuk menganalisis kointegrasi bursa efek di negara Amerika Serikat, Jepang, Hongkong, Malaysia, dan Indonesia dari tahun 2008-2020 dengan menggunakan model Vector Autoregressive Model. Penelitian ini dilakukan pada rentang waktu selama 156 bulan, di mana data yang diamati pasca krisis global di dunia (2008-2014) dan saat kemajuan ekonomi Cina yang berdampak pada perang dagang dengan USA (2014-2020).  Berdasarkan hasil olah data dengan menggunakan aplikasi eviews 9.0 ditemukan adanya kointegrasi antara bursa efek di negara Amerika Serikat, Jepang, Hongkong, Malaysia, dan Indonesia yang diproksikan indeks DJIA, Hang Seng, Nikkei, KLCI, dan IHSG pada tahun 2008-2020. Hasil uji Vector Error Correction Model menunjukkan tidak adanya kausalitas jangka pendek antara pergerakan indeks Dow Jones, Nikkei, Hang Seng, KLCI, dan IHSG. Hasil uji impulse response menggambarkan impact dari perubahan pada indeks Dow Jones, Hang Seng, Nikkei, dan KLCI terhadap IHSG bersifat jangka panjang untuk kembali ke posisi setara dengan perlahan (slow response).Indeks DJIA yang menguat dipercaya dapat memberikan pengaruh positif bagi saham di Indonesia. Sehingga naik atau turunnya indeks DJIA akan diikuti pula naik atau turunnya IHSG. Implikasi dari penelitian ini adalah terkointegrasinya indeks bursa efek negara di Amerika Serikat, Jepang, Hongkong, Malaysia, dan Indonesia memberikan prediksi bagi investor terhadap fluktuasi indeks saham yang akan terjadi. 


This research is an empirical study regarding the cointegration of stock exchanges in US, Japan, Hongkong, Malaysia, and Indonesiafrom 2008-2020 using the Vector Autoregressive Model.  This research was conducted over a period of 156 months, where data was observed after the global crisis in the world (2008-2014) and when Hongkong's economic progress had an impact on the trade war with the USA (2014-2020). Based on the results of data processing using the eviews 9.0 application, it was found that there was a cointegration between stock exchanges in the United States, Japan, Hongkong, Malaysia, and Indonesia, which were proxied by the DJIA, Hang Seng, Nikkei, KLCI, and IHSG indexes in 2008-2020. The results of the Vector Error Correction Model test show that there is no short-term causality between the movements of the Dow Jones, Nikkei, Hang Seng, KLCI, and Indonesia Composite index. The impulse response test results illustrate the long-term impact of changes in the Dow Jones, Hang Seng, Nikkei, and KLCI indices on the Indonesia Composite Index to return to an equivalent position slowly (slow response). The stronger DJIA index is believed to have a positive impact on stocks in Indonesia. So that the increase or decrease in the DJIA index will also be followed by an increase or decrease in the Indonesia Composite index. The implication of this research is the cointegration of stock exchange indexes in United States, Japan, Hongkong, Malaysia, and Indonesia can help investors to predict the fluctuation indexes.

Keywords

Vector Autoregressive Model; kointegrasi; Vector Error Correction Model; impulse response

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