BAB III.............................................................................................................. 51
B. Saran
Dengan segala keterbatasan yang ada dalam penelitian ini, maka penulis memberikan beberapa saran yang diajukan untuk penelitian selanjutnya, diantaranya:
1. Penelitian yang dilakukan penulis hanya menguji tentang masalah integrasi pasar modal. Diharapkan pada penelitian selanjutnya bisa menambahkan lagi permasalahan-permasalahan yang lain untuk diteliti bersamaan dengan masalah integrasi pasar modal sehingga hasil penelitian bisa lebih luas serta menambah wawasan bagi pembaca.
2. Periode penelitian yang digunakan penulis selama 12 periode 2008-2020. Diharapkan pada peniliti selanjutnya dapat memperluas periode yang lebih lama dan panjang. Data untuk penelitian selanjutnya juga
diharapkan agar lebih beragam, misalnya seperti indeks harian, mingguan, dan bulanan, agar didapatkan hasil yang lebih bervariasi.
3. Metode penelitian yang dilakukan penulis pada penilitian ini sebanyak 9 metode untuk menguji integrasi. Diharapkan pada penelitian selanjutnya agar menambahkan metode serta alat bantu analisis lain untuk menambah keakuratan hasil uji.
4. Objek penelitian yang dilakukan oleh penulis adalah 9 Pasar Modal.
Diharapkan pada penelitian selanjutnya untuk menambahkan jumlah objek penelitian atau menguji integrasi antar pasar modal syariah agar menambah wawasan mengenai integrasi.
5. Untuk investor internasional yang mencari peluang investasi potensial di pasar Asia, hasil penelitian ini menunjukkan bahwa manfaat diversifikasi portofolio internasional masih sangat relevan di pasar Asia tersebut. Peneliti berharap studi ini dapat memberikan perspektif baru dalam memahami dan menganalisis tren serta pola integrasi pasar saham, tidak hanya di Asia dan Amerika, tetapi juga dapat digeneralisasikan ke wilayah lain.
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LAMPIRAN
Lampiran 1: Tabel Statistik Deskriptif Seluruh Indeks
NASDAQ IHSG KLCI PSEI STI SET NIKKEI225 KOSPI HANGSENG
Mean 4766.963 4457.233 1566.264 5833.411 303.2065 1269.341 15591.17 1969.461 23205.39 Median 4388.975 4760.945 1634.930 6612.250 312.6250 1373.695 15598.35 1995.405 23014.13 Maximum 12888.28 6605.630 1882.710 8764.010 374.4500 1830.130 27444.17 2873.470 32887.27 Minimum 1377.840 1241.540 863.6100 1825.090 164.8300 401.8400 7568.420 1063.030 12811.57 Std. Dev. 2550.832 1384.917 244.9945 1968.247 37.43221 370.5269 5252.094 300.0135 3641.437
Lampiran 2: Uji Stasioneritas Tingkat Level NASDAQ
Null Hypothesis: NASDAQ has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 2.724283 1.0000 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 3: Uji Stasioneritas Tingkat Level IHSG
Null Hypothesis: IHSG has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.042621 0.7372 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 4: Uji Stasioneritas Tingkat Level KLCI
Null Hypothesis: KLCI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.304088 0.6270 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 5: Uji Stasioneritas Tingkat Level PSEI
Null Hypothesis: PSEI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.244849 0.6541 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 6: Uji Stasioneritas Tingkat Level STI
Null Hypothesis: STI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.580584 0.0992 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 7: Uji Stasioneritas Tingkat Level SET
Null Hypothesis: SET has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.393497 0.5843 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 8: Uji Stasioneritas Tingkat Level NIKKEI225
Null Hypothesis: NIKKEI225 has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic 0.143236 0.9680 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 9: Uji Stasioneritas Tingkat Level KOSPI
Null Hypothesis: KOSPI has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -0.972289 0.7623 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 10: Uji Stasioneritas Tingkat Level HANGSENG
Null Hypothesis: HANGSENG has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -2.133078 0.2321 Test critical values: 1% level -3.472813
5% level -2.880088
10% level -2.576739
*MacKinnon (1996) one-sided p-values.
Lampiran 11: Uji Stasioneritas Tingkat First Difference NASDAQ
Null Hypothesis: D(NASDAQ) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.52058 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 12: Uji Stasioneritas Tingkat First Difference IHSG
Null Hypothesis: D(IHSG) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.02709 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 13: Uji Stasioneritas Tingkat First Difference KLCI
Null Hypothesis: D(KLCI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.08355 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 14: Uji Stasioneritas Tingkat First Difference PSEI
Null Hypothesis: D(PSEI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.11747 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 15: Uji Stasioneritas Tingkat First Difference STI
Null Hypothesis: D(STI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.02064 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 16: Uji Stasioneritas Tingkat First Difference SET
Null Hypothesis: D(SET) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -10.84158 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 17: Uji Stasioneritas Tingkat First Difference Nikkei225
Null Hypothesis: D(NIKKEI225) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.41837 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 18: Uji Stasioneritas Tingkat First Difference KOSPI
Null Hypothesis: D(KOSPI) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -11.49208 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 19: Uji Stasioneritas Tingkat First Difference HANGSENG
Null Hypothesis: D(HANGSENG) has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.73450 0.0000 Test critical values: 1% level -3.473096
5% level -2.880211
10% level -2.576805
*MacKinnon (1996) one-sided p-values.
Lampiran 20: Penentuan Lag Optimal NASDAQ Dengan IHSG
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ IHSG Exogenous variables: C
Date: 03/05/21 Time: 21:50
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
Lampiran 21: Penentuan Lag Optimal NASDAQ Dengan KLCI
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ KLCI Exogenous variables: C
Date: 03/05/21 Time: 21:45
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 22: Penentuan Lag Optimal NASDAQ Dengan PSEI
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ PSEI Exogenous variables: C
Date: 03/05/21 Time: 19:06
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 23: Penentuan Lag Optimal NASDAQ Dengan STI
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ STI Exogenous variables: C
Date: 03/05/21 Time: 19:13
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 24: Penentuan Lag Optimal NASDAQ Dengan SET
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ SET Exogenous variables: C
Date: 03/05/21 Time: 19:21
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 25: Penentuan Lag Optimal NASDAQ Dengan NIKKEI225
VAR Lag Order Selection Criteria
Endogenous variables: NASDAQ NIKKEI225 Exogenous variables: C
Date: 03/05/21 Time: 19:33
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 26: Penentuan Lag Optimal NASDAQ Dengan KOSPI
VAR Lag Order Selection Criteria Endogenous variables: NASDAQ KOSPI Exogenous variables: C
Date: 03/05/21 Time: 19:45
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 27: Penentuan Lag Optimal NASDAQ Dengan HANGSENG
VAR Lag Order Selection Criteria
Endogenous variables: NASDAQ HANGSENG Exogenous variables: C
Date: 03/05/21 Time: 19:48
* indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error
AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion
Lampiran 28: Uji Stabilitas VAR atas NASDAQ Dengan IHSG
Roots of Characteristic Polynomial Endogenous variables: D(NASDAQ) D(IHSG)
Exogenous variables: C Lag specification: 1 3 Date: 03/05/21 Time: 21:39
Root Modulus
0.593636 0.593636
-0.030955 - 0.384675i 0.385918 -0.030955 + 0.384675i 0.385918
-0.272894 0.272894
-0.026861 - 0.226270i 0.227859 -0.026861 + 0.226270i 0.227859 No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 29: Uji Stabilitas VAR atas NASDAQ Dengan KLCI
Roots of Characteristic Polynomial
Endogenous variables: D(NASDAQ) D(KLCI)
Exogenous variables: C Lag specification: 1 3 Date: 03/05/21 Time: 21:40
Root Modulus
-0.384482 - 0.338151i 0.512028 -0.384482 + 0.338151i 0.512028 0.006297 - 0.500438i 0.500477 0.006297 + 0.500438i 0.500477
0.486746 0.486746
0.332952 0.332952
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 30: Uji Stabilitas VAR atas NASDAQ Dengan PSEI
Roots of Characteristic Polynomial
Endogenous variables: D(NASDAQ) D(PSEI)
Exogenous variables: C Lag specification: 1 1 Date: 03/05/21 Time: 20:57
Root Modulus
0.084662 - 0.074536i 0.112798 0.084662 + 0.074536i 0.112798 No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 31: Uji Stabilitas VAR atas NASDAQ Dengan STI
Roots of Characteristic Polynomial
Endogenous variables: D(NASDAQ) D(STI) Exogenous variables: C
Lag specification: 1 3 Date: 03/05/21 Time: 21:03
Root Modulus
0.568490 0.568490
-0.041476 - 0.499428i 0.501147 -0.041476 + 0.499428i 0.501147 -0.315509 - 0.331096i 0.457352 -0.315509 + 0.331096i 0.457352
0.308349 0.308349
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 32: Uji Stabilitas VAR atas NASDAQ Dengan SET
Roots of Characteristic Polynomial
Endogenous variables: D(NASDAQ) D(SET) Exogenous variables: C
Lag specification: 1 2 Date: 03/05/21 Time: 21:08
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 33: Uji Stabilitas VAR atas NASDAQ Dengan NIKKEI225
Roots of Characteristic Polynomial Endogenous variables: D(NASDAQ) D(NIKKEI225)
Exogenous variables: C Lag specification: 1 3 Date: 03/05/21 Time: 21:14
Root Modulus
0.116608 - 0.467429i 0.481754 0.116608 + 0.467429i 0.481754 -0.301684 - 0.341023i 0.455313 -0.301684 + 0.341023i 0.455313 0.278042 - 0.199365i 0.342131 0.278042 + 0.199365i 0.342131 No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 34: Uji Stabilitas VAR atas NASDAQ Dengan KOSPI
Roots of Characteristic Polynomial Endogenous variables: D(NASDAQ) D(KOSPI)
Exogenous variables: C Lag specification: 1 1 Date: 03/05/21 Time: 21:22
Root Modulus
0.047287 0.047287
-0.017580 0.017580
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 35: Uji Stabilitas VAR atas NASDAQ Dengan HANGSENG
Roots of Characteristic Polynomial Endogenous variables: D(NASDAQ) D(HANGSENG)
Exogenous variables: C Lag specification: 1 5 Date: 03/05/21 Time: 21:24
Root Modulus
-0.275968 - 0.667106i 0.721934 -0.275968 + 0.667106i 0.721934 0.559797 - 0.309230i 0.639527 0.559797 + 0.309230i 0.639527 -0.428734 - 0.282163i 0.513253 -0.428734 + 0.282163i 0.513253 0.216117 - 0.366941i 0.425854 0.216117 + 0.366941i 0.425854
0.246648 0.246648
-0.218454 0.218454
No root lies outside the unit circle.
VAR satisfies the stability condition.
Lampiran 36: Uji Kausalitas Granger NASDAQ Dengan IHSG
Pairwise Granger Causality Tests Date: 03/05/21 Time: 21:38 Sample: 2008M01 2020M12 Lags: 3
Null Hypothesis: Obs F-Statistic Prob.
IHSG does not Granger Cause NASDAQ 153 1.81946 0.1462 NASDAQ does not Granger Cause IHSG 2.37551 0.0725
Lampiran 37: Uji Kausalitas Granger NASDAQ Dengan KLCI
Pairwise Granger Causality Tests Date: 03/05/21 Time: 21:37 Sample: 2008M01 2020M12 Lags: 3
Null Hypothesis: Obs F-Statistic Prob.
KLCI does not Granger Cause NASDAQ 153 4.96350 0.0026 NASDAQ does not Granger Cause KLCI 1.57221 0.1986
Lampiran 38: Uji Kausalitas Granger NASDAQ Dengan PSEI
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:03
Sample: 2008M01 2020M12 Lags: 1
Null Hypothesis: Obs F-Statistic Prob.
PSEI does not Granger Cause NASDAQ 155 1.15837 0.2835 NASDAQ does not Granger Cause PSEI 0.03430 0.8533
Lampiran 39: Uji Kausalitas Granger NASDAQ Dengan STI
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:12 Sample: 2008M01 2020M12 Lags: 3
Null Hypothesis: Obs F-Statistic Prob.
STI does not Granger Cause NASDAQ 153 2.16873 0.0942
NASDAQ does not Granger Cause STI 2.60267 0.0543
Lampiran 40: Uji Kausalitas Granger NASDAQ Dengan SET
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:20 Sample: 2008M01 2020M12 Lags: 2
Null Hypothesis: Obs F-Statistic Prob.
SET does not Granger Cause NASDAQ 154 2.84958 0.0610
NASDAQ does not Granger Cause SET 2.98249 0.0537
Lampiran 41: Uji Kausalitas Granger NASDAQ Dengan NIKKEI225
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:27 Sample: 2008M01 2020M12 Lags: 3
Null Hypothesis: Obs F-Statistic Prob.
NIKKEI225 does not Granger Cause NASDAQ 153 4.14526 0.0075 NASDAQ does not Granger Cause NIKKEI225 6.39905 0.0004
Lampiran 42: Uji Kausalitas Granger NASDAQ Dengan KOSPI
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:29
Sample: 2008M01 2020M12 Lags: 1
Null Hypothesis: Obs F-Statistic Prob.
KOSPI does not Granger Cause NASDAQ 155 0.94308 0.3330 NASDAQ does not Granger Cause KOSPI 4.97845 0.0271
Lampiran 43: Uji Kausalitas Granger NASDAQ Dengan HANGSENG
Pairwise Granger Causality Tests Date: 03/05/21 Time: 23:30 Sample: 2008M01 2020M12 Lags: 5
Null Hypothesis: Obs F-Statistic Prob.
HANGSENG does not Granger Cause NASDAQ 151 3.23555 0.0085 NASDAQ does not Granger Cause HANGSENG 4.06697 0.0018
Lampiran 44: Uji Kointegrasi Johansen atas NASDAQ Dengan IHSG
Date: 03/05/21 Time: 23:46
Sample (adjusted): 2008M06 2020M12 Included observations: 151 after adjustments Trend assumption: Linear deterministic trend Series: D(NASDAQ) D(IHSG)
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.221068 60.94698 15.49471 0.0000 At most 1 * 0.142549 23.22250 3.841466 0.0000 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.221068 37.72448 14.26460 0.0000 At most 1 * 0.142549 23.22250 3.841466 0.0000 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Lampiran 45: Uji Kointegrasi Johansen atas NASDAQ Dengan KLCI
Date: 03/05/21 Time: 23:49
Sample (adjusted): 2008M06 2020M12 Included observations: 151 after adjustments Trend assumption: Linear deterministic trend Series: D(NASDAQ) D(KLCI)
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.213070 60.52749 15.49471 0.0000 At most 1 * 0.148902 24.34540 3.841466 0.0000 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.213070 36.18209 14.26460 0.0000 At most 1 * 0.148902 24.34540 3.841466 0.0000 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Lampiran 46: Uji Kointegrasi Johansen atas NASDAQ Dengan PSEI
Date: 03/05/21 Time: 23:52
Sample (adjusted): 2008M04 2020M12 Included observations: 153 after adjustments Trend assumption: Linear deterministic trend Series: D(NASDAQ) D(PSEI)
Lags interval (in first differences): 1 to 1
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.365925 118.8029 15.49471 0.0001 At most 1 * 0.274505 49.09781 3.841466 0.0000 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.365925 69.70507 14.26460 0.0000 At most 1 * 0.274505 49.09781 3.841466 0.0000 Max-eigenvalue test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Lampiran 47: Uji Kointegrasi Johansen atas NASDAQ Dengan STI
Date: 03/05/21 Time: 23:53
Sample (adjusted): 2008M06 2020M12 Included observations: 151 after adjustments Trend assumption: Linear deterministic trend Series: D(NASDAQ) D(STI)
Lags interval (in first differences): 1 to 3
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
None * 0.194461 55.41463 15.49471 0.0000 At most 1 * 0.139929 22.76177 3.841466 0.0000 Trace test indicates 2 cointegrating eqn(s) at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**
No. of CE(s) Eigenvalue Statistic Critical Value Prob.**