BAB V KESIMPULAN DAN SARAN
5.2. Saran
Dari beberapa kesimpulan di atas, maka disarankan kepada para pengambil kebijakan untuk mempertimbangkan beberapa hal, antara lain:
1. Pasar modal dikembangkan lebih baik lagi dengan mempermudah investor dalam negeri agar lebih banyak investor dalam negeri yang bermain saham.
2. Membatasi kepemilikan saham-saham oleh investor asing dan menjaga aliran dana jangka pendek (hot money) agar tidak berdampak buruk pada perekonomian Indonesia.
3. Fluktuasi nilai tukar rupiah juga harus lebih dijaga agar selalu berada pada keseimbangan, tidak merugikan eksportir maupun importir di Indonesia.
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Sulistyandari. 2008. Analisis Kausalitas Antara Nilai Tukar Mata Uang dan Indeks Harga Saham di Pasar Modal Indonesia. Tesis. Yogyakarta: FEB UGM
Lampiran 1. Uji Akar Unit Periode Sebelum Krisis Variabel Nilai Tukar mata Uang
Null Hypothesis: D(KURS) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.267685 0.0023 Test critical values: 1% level -2.674290
5% level -1.957204 10% level -1.608175 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares
Date: 08/31/09 Time: 08:01
Sample (adjusted): 2005M03 2006M12 Included observations: 22 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(KURS(-1)) -0.674537 0.206427 -3.267685 0.0037 R-squared 0.336703 Mean dependent var -4.863636 Adjusted R-squared 0.336703 S.D. dependent var 210.4096 S.E. of regression 171.3640 Akaike info criterion 13.16985 Sum squared resid 616677.9 Schwarz criterion 13.21944 Log likelihood -143.8683 Durbin-Watson stat 1.999832
Lampiran 2. Uji Akar Unit Periode Sebelum Krisis Variabel IHSG
Null Hypothesis: D(IHSG) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=5)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.640664 0.0009 Test critical values: 1% level -2.674290
5% level -1.957204 10% level -1.608175 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG,2)
Method: Least Squares Date: 08/31/09 Time: 08:03
Sample (adjusted): 2005M03 2006M12 Included observations: 22 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(IHSG(-1)) -0.799399 0.219575 -3.640664 0.0015 R-squared 0.386490 Mean dependent var 2.644091 Adjusted R-squared 0.386490 S.D. dependent var 99.83900 S.E. of regression 78.20076 Akaike info criterion 11.60082 Sum squared resid 128422.5 Schwarz criterion 11.65042 Log likelihood -126.6091 Durbin-Watson stat 2.001651
Lampiran 3. Uji Akar Unit Periode Semasa Krisis Variabel Nilai Tukar Mata Uang
Null Hypothesis: D(KURS,2) has a unit root Exogenous: None
Lag Length: 1 (Automatic based on SIC, MAXLAG=3)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.918970 0.0002 Test critical values: 1% level -2.771926
5% level -1.974028 10% level -1.602922 *MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 12
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,3) Method: Least Squares
Date: 11/30/09 Time: 12:42
Sample (adjusted): 2008M11 2009M10 Included observations: 12 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(KURS(-1),2) -1.934922 0.393359 -4.918970 0.0006 D(KURS(-1),3) 0.575788 0.251834 2.286382 0.0453 R-squared 0.750967 Mean dependent var -71.33333 Adjusted R-squared 0.726064 S.D. dependent var 1287.580 S.E. of regression 673.9056 Akaike info criterion 16.01507 Sum squared resid 4541487. Schwarz criterion 16.09589 Log likelihood -94.09041 Durbin-Watson stat 2.144918
Lampiran 4. Uji Akar Unit Periode Semasa Krisis Variabel IHSG
Null Hypothesis: D(IHSG,2) has a unit root Exogenous: None
Lag Length: 0 (Automatic based on SIC, MAXLAG=3)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.240706 0.0004 Test critical values: 1% level -2.754993
5% level -1.970978 10% level -1.603693 *MacKinnon (1996) one-sided p-values.
Warning: Probabilities and critical values calculated for 20
observations and may not be accurate for a sample size of 13
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG,3)
Method: Least Squares Date: 11/30/09 Time: 12:44
Sample (adjusted): 2008M10 2009M10 Included observations: 13 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(IHSG(-1),2) -1.209621 0.285240 -4.240706 0.0011 R-squared 0.599762 Mean dependent var -2.390769 Adjusted R-squared 0.599762 S.D. dependent var 362.0231 S.E. of regression 229.0316 Akaike info criterion 13.77940 Sum squared resid 629465.7 Schwarz criterion 13.82286 Log likelihood -88.56610 Durbin-Watson stat 2.125610
Lampiran 5. Uji Kointegrasi Johansen Periode Sebelum Krisis
Date: 01/13/10 Time: 15:08
Sample (adjusted): 2005M06 2006M12 Included observations: 19 after adjustments Trend assumption: Linear deterministic trend Series: IHSG KURS
Lags interval (in first differences): 1 to 4 Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace 0.05
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.778464 33.34384 15.49471 0.0000 At most 1 * 0.219459 4.707583 3.841466 0.0300 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 * 0.778464 28.63626 14.26460 0.0002 At most 1 * 0.219459 4.707583 3.841466 0.0300 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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
IHSG KURS
0.011457 0.006569 0.008891 -0.000286
Unrestricted Adjustment Coefficients (alpha): D(IHSG) 3.884711 29.39069 D(KURS) -88.77801 -19.51091
(0.06600)
Adjustment coefficients (standard error in parentheses) D(IHSG) 0.044509
(0.23974) D(KURS) -1.017173 (0.24087)
Lampiran 6. Uji Kointegrasi Johansen Periode Sebelum Krisis
Date: 11/30/09 Time: 12:46
Sample (adjusted): 2008M11 2009M10 Included observations: 12 after adjustments Trend assumption: Linear deterministic trend Series: IHSG KURS
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 * 0.804507 26.72422 15.49471 0.0007 At most 1 * 0.448319 7.137430 3.841466 0.0075 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 * 0.804507 19.58679 14.26460 0.0065 At most 1 * 0.448319 7.137430 3.841466 0.0075 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
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
IHSG KURS
Unrestricted Adjustment Coefficients (alpha): D(IHSG) 36.18606 -63.44825 D(KURS) -201.6859 43.63793
1 Cointegrating Equation(s): Log likelihood -142.2826 Normalized cointegrating coefficients (standard error in parentheses)
IHSG KURS
1.000000 0.525626 (0.02714)
Adjustment coefficients (standard error in parentheses) D(IHSG) 0.641344
(0.85449) D(KURS) -3.574584 (1.05347)
Lampiran 7. Uji Kausalitas Granger Periode Sebelum Krisis
Pairwise Granger Causality Tests Date: 08/26/09 Time: 11:24 Sample: 2005M01 2006M12 Lags: 6
Null Hypothesis: Obs F-Statistic Probability KURS does not Granger Cause IHSG 18 3.47003 0.09671 IHSG does not Granger Cause KURS 16.6841 0.00363
Lampiran 8. Uji Kausalitas Granger Periode Semasa Krisis
Pairwise Granger Causality Tests Date: 11/30/09 Time: 12:38 Sample: 2008M07 2009M10 Lags: 2
Null Hypothesis: Obs F-Statistic Probability KURS does not Granger Cause IHSG 14 1.40595 0.29421 IHSG does not Granger Cause KURS 12.5193 0.00251
Saya yang bertanda tangan di bawah ini:
SURAT PERNYATAAN
Nama : CITRA GIATRI NIM : 060501113
Departemen : Ekonomi Pembangunan
adalah benar telah membuat skripsi dengan judul “Analisis Kausalitas dan Kointegrasi
antara Nilai Tukar Mata Uang dan Indeks Harga Saham Gabungan di Pasar Modal Indonesia”, guna memenuhi salah satu syarat untuk memperoleh gelar Sarjana Ekonomi
pada Fakultas Ekonomi Universitas Sumatera Utara.
Demikian surat pernyataan ini saya buat dengan sebenarnya untuk dapat dipergunakan seperlunya.
Medan, Februari 2010