BAB IV HASIL DAN PEMBAHASAN
4.4 Analisis Pembahasan
4.4.4 Pengaruh Perubahan Variabel Likuiditas Obligasi
Dalam jangka pendek perubahan variabel likuiditas obligasi (dlo) secara signifikan berpengaruh negatif terhadap perubahan variabel penciptaan likuiditas bank (dlc) dengan koefisien sebesar -.0243356 dan nilai probabilitas F-statistik 0.027 lebih kecil dari α sebesar 5%. Artinya apabila terjadi kenaikan satu poin
pada perubahan variabel likuiditas obligasi (dlo) maka akan menurunkan perubahan variabel penciptaan likuiditas bank (dlc) sebesar -.0243356 poin.
Dalam jangka panjang perubahan variabel likuiditas obligasi (dlo) tidak signifikan mempengaruhi perubahan variabel penciptaan likuiditas bank (dlc) dengan nilai nilai probabilitas F-statistik 0.569 lebih besar dari α sebesar 5% dan koefisien sebesar .0041274. Artinya apabila terjadi kenaikan maupun penururnan terhadap perubahan variabel likuiditas obligasi (dlo) maka tidak akan mempengaruhi perubahan variabel penciptaan likuiditas bank (dlc). Dalam jangka pendek hal ini sesuai dengan hipotesis, namun dalam jangka panjang hal ini tidak sesuai dengan hipotesis.
BAB V
KESIMPULAN DAN SARAN
5.1 Kesimpulan
Berdasarkan tahapan-tahapan penelitian secara keseluruhan, maka dapat diambil kesimpulan sebagai berikut:
1. Likuiditas saham memiliki pengaruh signifikan positif terhadap penciptaan likuiditas bank dalam jangka pendek, namun dalam jangka panjang likuiditas saham memiliki pengaruh signifikan negatif terhadap penciptaan likuiditas bank di Indonesia periode 2010-2018.
2. Return Saham tidak memiliki pengaruh signifikan dalam jangka pendek dan dalam jangka panjang terhadap penciptaan likuiditas bank di Indonesia periode 2010-2018.
3. Volatilitas Saham memiliki pengaruh signifikan negatif terhadap penciptaan likuiditas bank dalam jangka pendek, namun dalam jangka panjang volatilitas saham memiliki pengaruh signifikan positif terhadap penciptaan likuiditas bank di Indonesia periode 2010-2018.
4. Likuiditas obligasi memiliki pengaruh signifikan negatif terhadap penciptaan likuiditas bank dalam jangka pendek, namun dalam jangka panjang tidak memiliki pengaruh signifikan terhadap penciptaan likuiditas bank di Indonesia periode 2010-2018.
5.2 Saran
Berdasarkan hasil penelitian dan kesimpulan diatas, maka peneliti memberikan saran sebagai berikut:
1. Bagi Bursa Saham Indonesia, diharapkan dapat mempublikasikan informasi yang menyangkut data harga saham harian secara konsisten sehingga tidak terjadi perdagangan yang tidak sinkron pada pasar saham serta untuk membantu investor dalam menganalisis dan mengambil keputusan pada saham-saham yang dianggap memiliki tingkat imbal hasil atau return paling optimal.
2. Bagi calon investor, diharapkan sebelum mengambil keputusan pada saham-saham dapat menganalisis tingkat imbal hasil yang optimal dan ketidakpastian atau volatilitas suatu saham.
3. Bagi perbankan, selain dari variabel likuiditas surat berharga yang diterbitkan dapat pula memperhatikan tingkat ketidakpastian atau volatilitas dari surat berharga karena volatilitas mempengaruhi penciptaan likuiditas bank secara signifikan.
4. Bagi penelitian selanjutnya, perlu dipertimbangkan untuk memperluas objek penelitian dan memperbanyak periode penelitian agar hasil yang didapatkan lebih baik lagi.
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LAMPIRAN
Lampiran 2
Data Penelitian
QTR LC LS RT VOL LO
2010q1 0,205332005 3,273132675 0,016964726 0,000492171 9,559533333 2010q2 0,211117202 3,237185065 0,135480709 0,000662737 8,697080645 2010q3 0,198511647 3,41535258 0,020417044 0,000886775 8,016016129 2010q4 0,18694846 3,468245431 0,020641375 0,001014963 7,405349206 2011q1 0,185420535 3,930265942 0,01910046 0,000404758 8,516579235 2011q2 0,216290904 3,362910119 0,013791099 0,000457009 7,559598361 2011q3 0,19294518 3,561426792 0,020852766 0,000600772 7,01375 2011q4 0,198245227 3,295722999 0,016394534 0,000558422 6,296161458 2012q1 0,186774621 3,542266342 0,014608869 0,000564336 5,599055556 2012q2 0,194583015 3,355472449 0,016166578 0,000669971 6,149854839 2012q3 0,190646192 3,099393184 0,011219038 0,000162271 5,879828358 2012q4 0,196064407 2,978737583 0,013088359 0,000327294 5,476651515 2013q1 0,191262135 3,087293872 0,01314205 0,000226995 5,234128415 2013q2 0,195267006 5,161509952 0,015273013 0,000224597 5,835479487 2013q3 0,187234191 3,695783258 0,018981184 0,000464287 8,04783105 2013q4 0,198944968 3,514964449 0,013713622 0,000267569 8,108454545 2014q1 0,211421067 3,520239029 0,014577182 0,000296545 8,423413978 2014q2 0,174402685 3,491308162 0,087113563 0,00025874 7,924672131 2014q3 0,167107941 3,235747619 0,079081825 0,000253041 8,088394366 2014q4 0,302272909 3,695776447 0,112007573 0,000154349 7,961779412 2015q1 0,212983549 3,316695744 0,103159344 0,000228586 7,239125 2015q2 0,281983302 3,540715876 0,113928053 0,000847226 7,925453125 2015q3 0,234582897 4,196755676 0,129685524 0,000423239 8,693390625 2015q4 0,204449022 3,897285005 0,156188392 0,000595769 8,664384058 2016q1 0,181859482 3,625501417 0,112796745 0,000637804 8,1060625 2016q2 0,269901947 3,624103611 0,147041754 0,000732705 7,61334127 2016q3 0,200221763 2,859931442 0,130112058 0,001787802 6,926727273 2016q4 0,26156594 2,945901528 0,119759882 0,000665539 7,513910256 2017q1 0,290442343 2,802928057 0,112315283 0,002707859 7,434592308 2017q2 0,247669714 2,627661292 0,120223013 0,000465664 6,946912281 2017q3 0,404868382 2,826622228 0,109331224 0,000357149 6,734015152 2017q4 0,252491453 2,83310364 0,101417145 0,000486397 6,53680303 2018q1 0,245178972 2,848968351 0,1289958 0,000354677 6,387722222 2018q2 0,270130924 2,730785419 0,146946406 0,002068459 7,07435119 2018q3 0,286872505 2,592598483 0,163583559 0,000302686 7,911919355 2018q4 0,300607028 2,705909304 0,14257457 0,000240322 8,185103175
Deskriptif Variabel
Lampiran 4
Hasil Uji Stasioneritas Pada First Difference Hasil Uji Stasioneritas dlc
Hasil Uji Stasioneritas dls
MacKinnon approximate p-value for Z(t) = 0.0000
Z(t) -7.526 -3.689 -2.975 -2.619 Statistic Value Value Value Test 1% Critical 5% Critical 10% Critical Interpolated Dickey-Fuller Dickey-Fuller test for unit root Number of obs = 34
MacKinnon approximate p-value for Z(t) = 0.0000
Z(t) -8.394 -3.689 -2.975 -2.619
Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Dickey-Fuller test for unit root Number of obs = 34
Hasil Uji Stasioneritas drt
Hasil Uji Stasioneritas dvol
MacKinnon approximate p-value for Z(t) = 0.0000
Z(t) -11.680 -3.689 -2.975 -2.619 Statistic Value Value Value Test 1% Critical 5% Critical 10% Critical Interpolated Dickey-Fuller Dickey-Fuller test for unit root Number of obs = 34
MacKinnon approximate p-value for Z(t) = 0.0000
Z(t) -11.244 -3.689 -2.975 -2.619
Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Dickey-Fuller test for unit root Number of obs = 34
Hasil Uji Stasioneritas dlo
MacKinnon approximate p-value for Z(t) = 0.0000
Z(t) -4.882 -3.689 -2.975 -2.619
Statistic Value Value Value
Test 1% Critical 5% Critical 10% Critical
Interpolated Dickey-Fuller
Dickey-Fuller test for unit root Number of obs = 34
Lampiran 5
Hasil Uji Lag Optimal
Exogenous: _cons
Endogenous: dlc dls drt dvol dlo
5 993.541 1293.3* 25 0.000 6.3e-30* -57.5694* -55.627* -51.4976*
4 346.895 70.603 25 0.000 3.6e-13 -16.1263 -14.5574 -11.2221
3 311.593 67.762 25 0.000 2.5e-13 -15.4396 -14.2442 -11.703
2 277.713 29.971 25 0.225 2.9e-13 -14.8475 -14.0257 -12.2786
1 262.727 57.394 25 0.000 1.3e-13 -15.5151 -15.0669 -14.1139
0 234.03 1.6e-13 -15.2687 -15.1939 -15.0351
lag LL LR df p FPE AIC HQIC SBIC
Sample: 2011q3 - 2018q4 Number of obs = 30
Selection-order criteria
Lampiran 6
Hasil Hasil Uji Kointegrasi
5 130 543.85845 0.02833
4 129 543.41303 0.37239 0.8908 3.76 3 126 536.19248 0.58050 15.3319* 15.41 2 121 522.72792 0.97747 42.2611 29.68 1 114 463.93793 0.99604 159.8410 47.21 0 105 378.21051 . 331.2959 68.52 rank parms LL eigenvalue statistic value maximum trace critical 5%
Sample: 2011q2 - 2018q4 Lags = 5
Trend: constant Number of obs = 31
Johansen tests for cointegration
Lampiran 7
Lampiran 8
Hasil Estimasi Vecm
D_dlo 22 .412486 0.9257 99.65283 0.0000 D_dvol 22 .000562 0.9580 182.3804 0.0000 D_drt 22 .015058 0.9451 137.7672 0.0000 D_dls 22 .871592 0.7450 23.37052 0.3811 D_dlc 22 .02328 0.9871 613.4367 0.0000 Equation Parms RMSE R-sq chi2 P>chi2
Det(Sigma_ml) = 2.64e-30 SBIC = -40.99196
Log likelihood = 808.7476 HQIC = -44.61314
AIC = -46.31651
Sample: 2011q3 - 2018q4 Number of obs = 30
Vector error-correction model
_cons .001174 . . . . . dlo .0041274 .0072459 0.57 0.569 -.0100744 .0183292 dvol -55.55738 15.58368 -3.57 0.000 -86.10084 -25.01392 drt .0236135 .241934 0.10 0.922 -.4505685 .4977954 dls .0406232 .018307 2.22 0.026 .0047422 .0765043 dlc 1 . . . . . _ce1
beta Coef. Std. Err. z P>|z| [95% Conf. Interval]
Johansen normalization restriction imposed
Identification: beta is exactly identified
_ce1 4 30.26529 0.0000
Equation Parms chi2 P>chi2
Cointegrating equations
Hasil Impulse Response Function (IRF)
Lampiran 10
Hasil Variance Decompotiton
8 .119721 -.059727 .29917 .077046 -.023936 .178027 .107886 -.002087 .217858
7 .112707 -.040903 .266318 .077643 -.029398 .184683 .123609 -.001335 .248552
6 .128816 .020307 .237325 .074934 -.026892 .17676 .118864 -.008117 .245845
5 .191393 -.020786 .403571 .069864 -.039161 .178889 .119667 .002698 .236635
4 .224191 .034994 .413389 .054623 -.056636 .165882 .320553 .073431 .567675
3 .416892 .191768 .642016 .048507 -.058952 .155967 .441067 .169567 .712568
2 .601833 .374053 .829613 .009297 -.046995 .065589 .505517 .25348 .757554
1 1 1 1 .011647 -.064691 .087985 .517625 .269248 .766001
0 0 0 0 0 0 0 0 0 0
step fevd Lower Upper fevd Lower Upper fevd Lower Upper
(1) (1) (1) (2) (2) (2) (3) (3) (3)
Results from vec1
8 .125456 -.011769 .262681 .173023 -.009084 .35513 .540955 .168687 .913223 7 .141389 -.007292 .29007 .177375 -.015477 .370227 .547752 .237674 .85783 6 .15714 -.016777 .331058 .17969 -.01899 .37837 .312413 -.00151 .626336 5 .138575 -.025133 .302284 .124038 -.055928 .304004 .257027 -.011526 .525581 4 .119185 -.014087 .252458 .144296 -.040865 .329457 .260081 .037028 .483134 3 .042168 -.052244 .136581 .157691 -.04291 .358291 .160042 -.01736 .337443 2 .064277 -.053632 .182186 .153193 -.063237 .369623 .221324 -.006626 .449274 1 .024296 -.084548 .13314 .124863 -.096452 .346178 0 0 0 0 0 0 0 0 0 0 0 0 0 step fevd Lower Upper fevd Lower Upper fevd Lower Upper (4) (4) (4) (5) (5) (5) (6) (6) (6)
8 .746298 .505252 .987344 .684746 .474708 .894783 .40315 .066396 .739903
7 .751152 .504189 .998116 .695862 .492242 .899481 .354149 .041059 .667239
6 .775182 .502978 1.04739 .699969 .497835 .902103 .267184 -.054132 .588501
5 .770682 .497959 1.0434 .665383 .470909 .859857 .270385 -.072974 .613744
4 .781725 .518771 1.04468 .172613 -.042562 .387787 .288796 -.024603 .602196
3 .794751 .545143 1.04436 .069141 -.093266 .231548 .439192 .122405 .755979
2 .947056 .811122 1.08299 .006175 -.030832 .043181 .278646 .005111 .55218
1 .988353 .912015 1.06469 .006695 -.033705 .047096 .01689 -.073432 .107213
0 0 0 0 0 0 0 0 0 0
step fevd Lower Upper fevd Lower Upper fevd Lower Upper
(7) (7) (7) (8) (8) (8) (9) (9) (9)
8 .437279 .164808 .70975 .327607 .024389 .630824 .163839 -.007867 .335545 7 .389224 .140272 .638176 .326697 .067916 .585477 .159782 -.020364 .339929 6 .41653 .151947 .681113 .526331 .22858 .824082 .137967 -.071953 .347887 5 .530156 .274076 .786236 .508522 .204794 .81225 .146598 -.067598 .360793 4 .541319 .291825 .790813 .457721 .219939 .695503 .150442 -.066136 .367019 3 .578336 .327037 .829635 .389939 .156984 .622894 .145178 -.06162 .351975 2 .607796 .368576 .847016 .135874 -.014787 .286535 .040725 -.078824 .160274 1 .174623 -.057031 .406278 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 step fevd Lower Upper fevd Lower Upper fevd Lower Upper (10) (10) (10) (11) (11) (11) (12) (12) (12)
8 .192918 .041552 .344285 .453771 .167927 .739616 .355706 .129988 .581425
7 .168452 .040231 .296673 .488641 .218951 .75833 .391627 .165761 .617493
6 .170614 .043538 .297689 .567982 .271645 .864318 .359731 .142514 .576948
5 .206036 .068202 .343871 .58316 .270237 .896083 .289052 .087333 .490772
4 .483326 .248085 .718567 .58275 .290714 .874787 .240928 .047928 .433929
3 .471388 .22335 .719427 .516787 .196249 .837325 .188651 .024211 .35309
2 .474017 .227183 .720851 .65474 .365911 .943569 .159424 .039645 .279203
1 .47568 .229172 .722188 .958658 .819409 1.09791 .221886 -.001448 .445219
0 0 0 0 0 0 0 0 0 0
step fevd Lower Upper fevd Lower Upper fevd Lower Upper
(13) (13) (13) (14) (14) (14) (15) (15) (15)
8 .011717 -1.4e-06 .023436 .012817 -.010224 .035857 .01445 .000422 .028478 7 .012844 .000838 .024849 .011423 -.007479 .030325 .012077 -.000989 .025144 6 .03244 .004044 .060835 .011917 -.006631 .030464 .010553 -.001304 .022411 5 .043058 .005802 .080314 .012857 -.00764 .033353 .008913 -.000151 .017978 4 .058007 .012392 .103622 .013211 -.008133 .034556 .023509 -.000644 .047661 3 .033128 .002647 .063608 .011564 -.007965 .031093 .018403 -.00446 .041266 2 .040969 .003026 .078911 .002922 -.005146 .010989 .014291 -.006909 .035491 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 step fevd Lower Upper fevd Lower Upper fevd Lower Upper (16) (16) (16) (17) (17) (17) (18) (18) (18)
8 .017623 -.003977 .039223 .033992 .007815 .060168 5.8e-14 -9.4e-07 9.4e-07
7 .015821 -.002791 .034433 .041774 .009144 .074404 6.4e-14 -2.1e-06 2.1e-06
6 .007694 -.003166 .018553 .044049 .010477 .077622 1.6e-13 -4.2e-06 4.2e-06
5 .00788 -.00444 .0202 .056754 .013748 .09976 2.2e-13 -5.4e-06 5.4e-06
4 .009268 -.004216 .022752 .073456 .021208 .125704 3.0e-13 -.00001 .00001
3 .001853 -.001592 .005298 .075323 .022527 .128119 1.6e-13 -2.2e-06 2.2e-06
2 .002337 -.003197 .007872 .079587 .024201 .134973 2.0e-13 -4.2e-06 4.2e-06
1 .000155 .000044 .000266 .478628 .231291 .725965 0 0 0
0 0 0 0 0 0 0 0 0 0
step fevd Lower Upper fevd Lower Upper fevd Lower Upper
(19) (19) (19) (20) (20) (20) (21) (21) (21)
8 6.3e-14 -2.0e-06 2.0e-06 7.4e-14 -2.6e-06 2.6e-06 9.0e-14 -2.8e-06 2.8e-06 7 5.5e-14 -1.9e-06 1.9e-06 6.1e-14 -1.3e-06 1.3e-06 8.0e-14 -2.0e-06 2.0e-06 6 5.8e-14 -1.9e-06 1.9e-06 5.3e-14 . . 3.7e-14 -9.8e-07 9.8e-07 5 6.2e-14 -1.3e-06 1.3e-06 4.6e-14 -1.4e-06 1.4e-06 3.8e-14 -1.0e-06 1.0e-06 4 6.4e-14 -1.8e-06 1.8e-06 1.2e-13 -3.8e-06 3.8e-06 4.5e-14 -1.2e-06 1.2e-06 3 5.5e-14 -1.5e-06 1.5e-06 9.1e-14 -2.0e-06 2.0e-06 1.0e-14 -2.9e-07 2.9e-07 2 1.4e-14 -4.8e-07 4.8e-07 6.9e-14 -2.2e-06 2.2e-06 1.4e-14 -4.1e-07 4.1e-07 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 step fevd Lower Upper fevd Lower Upper fevd Lower Upper (22) (22) (22) (23) (23) (23) (24) (24) (24)
8 1.6e-13 -4.4e-06 4.4e-06
7 2.0e-13 -1.3e-06 1.3e-06
6 2.1e-13 -2.4e-06 2.4e-06
5 2.7e-13 -5.5e-06 5.5e-06
4 3.5e-13 -.000011 .000011
3 3.7e-13 -8.1e-06 8.1e-06
2 3.9e-13 -9.8e-06 9.8e-06
1 2.3e-12 -.000024 .000024
0 0 0 0
step fevd Lower Upper
(25) (25) (25)
(25) irfname = vec1, impulse = dlo, and response = dlo (24) irfname = vec1, impulse = dlo, and response = dvol (23) irfname = vec1, impulse = dlo, and response = drt (22) irfname = vec1, impulse = dlo, and response = dls (21) irfname = vec1, impulse = dlo, and response = dlc (20) irfname = vec1, impulse = dvol, and response = dlo (19) irfname = vec1, impulse = dvol, and response = dvol (18) irfname = vec1, impulse = dvol, and response = drt (17) irfname = vec1, impulse = dvol, and response = dls (16) irfname = vec1, impulse = dvol, and response = dlc (15) irfname = vec1, impulse = drt, and response = dlo (14) irfname = vec1, impulse = drt, and response = dvol (13) irfname = vec1, impulse = drt, and response = drt (12) irfname = vec1, impulse = drt, and response = dls (11) irfname = vec1, impulse = drt, and response = dlc (10) irfname = vec1, impulse = dls, and response = dlo (9) irfname = vec1, impulse = dls, and response = dvol (8) irfname = vec1, impulse = dls, and response = drt (7) irfname = vec1, impulse = dls, and response = dls (6) irfname = vec1, impulse = dls, and response = dlc (5) irfname = vec1, impulse = dlc, and response = dlo (4) irfname = vec1, impulse = dlc, and response = dvol (3) irfname = vec1, impulse = dlc, and response = drt (2) irfname = vec1, impulse = dlc, and response = dls (1) irfname = vec1, impulse = dlc, and response = dlc 95% lower and upper bounds reported