BAB V KESIMPULAN DAN SARAN
B. Saran
1. Bagi investor yang hendak melakukan investasi pada saham disarankan untuk selalu memperhatikan informasi mengenai perubahan variabel makro ekonomi yang dapat mempengaruhi pergerakan harga saham, baik informasi mengenai keadaan ekonomi makro dalam negeri maupun keadaan ekonomi makro luar negeri. Informasi tersebut diperlukan untuk memprediksi fluktuasi harga saham syariah di Indonesia dan Malaysia, sehingga dapat menerapkan strategi yang tepat dalam mengambil keputusan investasi, khususnya dalam perdagangan saham.
2. Bagi penelitian selanjutnya diharapkan dapat mengembangkan penelitian ini dengan menambahkan periode penelitian, variabel
ekonomi lainnya misalkan ekonomi mikro disertai dengan teori yang mendukungnya serta metode penelitian.
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LAMPIRAN Lampiran 1: Data Penelitian Indonesia
Bulan/Tahun Harga ISSI Inflasi FFR BI Rate Kurs JUB
May-11 123812 5,98% 0,09 6,75% 8537 2475285 Jun-11 124290 5,4% 0,09 6,75% 8597 2522783 Jul-11 132688 4,61% 0,07 6,75% 8508 2564556 Aug-11 124084 4,79% 0,1 6,75% 8578 2621345 Sep-11 115420 4,61% 0,08 6,75% 8823 2643331 Okct-11 122660 4,42% 0,07 6,50% 8835 2677786 Nov-11 121006 4,15% 0,08 6,00% 9170 2729538 Dec-11 125356 3,79% 0,07 6,00% 9068 2877219 Jan-12 130737 3,65% 0,08 6,00% 9000 2857126 Feb-12 133450 3,56% 0,1 5,75% 9085 2852004 Mar-12 138741 3,97% 0,13 5,75% 9180 2914194 Apr-12 139984 4,50% 0,14 5,75% 9190 2929610 May-12 128116 4,45% 0,16 5,75% 9565 2994474 Jun-12 131610 4,53% 0,16 5,75% 9480 3052786 Jul-12 137857 4,56% 0,16 5,75% 9485 3057335 Aug-12 135960 4,58% 0,13 5,75% 9573 3091568 Sep-12 143959 4,31% 0,14 5,75% 9590 3128179 Oct-12 147775 4,61% 0,16 5,75% 9615 3164443 Nov-12 143889 4,32% 0,16 5,75% 9605 3207908 Dec-12 144995 4,30% 0,16 5,75% 9670 3307507 Jan-13 147510 4,57% 0,14 5,75% 9698 3268789 Feb-13 157642 4,31% 0,15 5,75% 9667 3280420 Mar-13 162641 5,90% 0,14 5,75% 9719 3322528 Apr-13 166912 5,57% 0,15 5,75% 9722 3360928 May-13 169814 5,47% 0,11 5,75% 9802 3426304 Jun-13 164240 5,90% 0,09 6,00% 9929 3413378 Jul-13 154202 8,61% 0,09 6,50% 10278 3506573 Aug-13 143922 8,79% 0,08 6,50% 10924 3502419 Sep-13 145155 8,40% 0,08 7,25% 11613 3584080 Oct-13 151308 8,32% 0,09 7,25% 11234 3576869 Nov-13 143029 8,37% 0,08 7,50% 11977 3615972 Dec-13 143706 8,38% 0,09 7,50% 12189 3730197 Jan-14 146858 8,22% 0,07 7,50% 12226 3652349 Feb-14 152878 7,75% 0,07 7,50% 11634 3643059 Mar-14 157354 7,32% 0,08 7,50% 11404 3660605 Apr-14 158831 7,25% 0,09 7,50% 11532 3730376 May-14 161081 7,32% 0,09 7,50% 11611 3789278 Jun-14 159747 6,70% 0,1 7,50% 11969 3865890 Jul-14 167342 4,53& 0,09 7,50% 11591 3895981 Aug-14 168982 3,99% 0,09 7,50% 11717 3895374 Sep-14 166756 4,53% 0,09 7,50% 12212 4010146 Oct-14 163412 4,83% 0,09 7,50% 12082 4024488 Nov-14 166105 6,23% 0,09 7,75% 12196 4076669 Dec-14 168638 8,36% 0,12 7,75% 12440 4173326 Jan-15 171497 6,96% 0,11 7,75% 12515 4174825
Apr-15 161710 6,79% 0,12 7,50% 12937 4275711 May-15 167066 7,15% 0,12 7,50% 13211 4288369 Jun-15 157919 7,26% 0,13 7,50% 13332 4358801 Jul-15 154497 7,26% 0,13 7,50% 13481 4373208 Aug-15 142306 7,18% 0,14 7,50% 14027 4404085 Sep-15 134392 6,83% 0,14 7,50% 14657 4508603 Oct-15 140956 6,25% 0,12 7,50% 13639 4443078 Nov-15 139799 4,89% 0,12 7,50% 13840 4452324 Dec-15 145061 3,35% 0,24 7,50% 13795 4546743
Lampiran 2 : Data Penelitian Indonesia (dalam bentuk LN)
Bulan/
Tahun LnHargaISSI LnInflasi LnFFR LnBIRate LnKurs LnJUB May-11 11,72651957 -2,81674962 -2,407945609 -2,695627681 9,052164937 14,7218661 Jun-11 11,73037282 -2,91877123 -2,407945609 -2,695627681 9,059168584 14,74087322 Jul-11 11,79575579 -3,07694233 -2,659260037 -2,695627681 9,048762176 14,75729592 Aug-11 11,72871403 -3,03863977 -2,302585093 -2,695627681 9,056956065 14,7791981 Sep-11 11,65633293 -3,07694233 -2,525728644 -2,695627681 9,085117227 14,78755042 Oct-11 11,71717158 -3,11903049 -2,659260037 -2,733368009 9,086476385 14,80050089 Nov-11 11,70359541 -3,18206185 -2,525728644 -2,813410717 9,123692565 14,81964292 Dec-11 11,73891297 -3,27280417 -2,659260037 -2,813410717 9,112507012 14,87233476 Jan-12 11,78094295 -3,31044302 -2,525728644 -2,813410717 9,104979856 14,86532678 Feb-12 11,80148215 -3,33540964 -2,302585093 -2,855970331 9,114379981 14,86353246 Mar-12 11,84036416 -3,22640409 -2,040220829 -2,855970331 9,124782484 14,88510384 Apr-12 11,84928341 -3,10109279 -1,966112856 -2,855970331 9,125871215 14,89037987 May-12 11,76069138 -3,11226609 -1,832581464 -2,855970331 9,165865882 14,91227915 Jun-12 11,78759828 -3,09444825 -1,832581464 -2,855970331 9,156939595 14,93156517 Jul-12 11,83397219 -3,08784756 -1,832581464 -2,855970331 9,157466882 14,93305418 Aug-12 11,820116 -3,08347119 -2,040220829 -2,855970331 9,166701915 14,94418896 Sep-12 11,87728382 -3,14423228 -1,966112856 -2,855970331 9,168476168 14,9559616 Oct-12 11,90344613 -3,07694233 -1,832581464 -2,855970331 9,171079658 14,96748761 Nov-12 11,87679745 -3,14191478 -1,832581464 -2,855970331 9,170039075 14,98112957 Dec-12 11,88445454 -3,14655516 -1,832581464 -2,855970331 9,176783588 15,01170529 Jan-13 11,90165125 -3,08565698 -1,966112856 -2,855970331 9,179674958 14,99993014 Feb-13 11,96808192 -3,14423228 -1,897119985 -2,855970331 9,176473302 15,00348202 Mar-13 11,9993006 -2,83021784 -1,966112856 -2,855970331 9,181838012 15,0162365 Apr-13 12,02522201 -2,88777513 -1,897119985 -2,855970331 9,182146638 15,02772768 May-13 12,042459 -2,90589157 -2,207274913 -2,855970331 9,190341725 15,04699269 Jun-13 12,00908405 -2,83021784 -2,407945609 -2,813410717 9,203215047 15,04321297 Jul-13 11,94601871 -2,45224587 -2,407945609 -2,733368009 9,237760968 15,07014977 Aug-13 11,87702677 -2,43155547 -2,525728644 -2,733368009 9,298717483 15,06896443 Sep-13 11,88555742 -2,47693848 -2,525728644 -2,624168717 9,359880439 15,09201237 Oct-13 11,92707277 -2,48650793 -2,407945609 -2,624168717 9,326700173 15,08999839 Nov-13 11,87080269 -2,4805163 -2,525728644 -2,590267165 9,390743423 15,10087126 Dec-13 11,87552482 -2,47932227 -2,407945609 -2,590267165 9,408289185 15,13197161 Jan-14 11,89722141 -2,49859998 -2,659260037 -2,590267165 9,411320111 15,11088108 Feb-14 11,9373955 -2,55747734 -2,659260037 -2,590267165 9,361687124 15,10833427 Mar-14 11,96625332 -2,61455986 -2,525728644 -2,590267165 9,34171945 15,11313899 Apr-14 11,97559602 -2,62416872 -2,407945609 -2,590267165 9,352881059 15,13201959
Jul-14 12,0277949 1,510721939 -2,407945609 -2,590267165 9,357984214 15,17545607 Aug-14 12,03754748 -3,22137896 -2,407945609 -2,590267165 9,368796058 15,17530025 Sep-14 12,02428695 -3,09444825 -2,407945609 -2,590267165 9,410174354 15,20433821 Oct-14 12,0040299 -3,03032372 -2,407945609 -2,590267165 9,399472021 15,20790826 Nov-14 12,0203754 -2,77579385 -2,407945609 -2,557477343 9,408863308 15,22079079 Dec-14 12,03550968 -2,48171176 -2,120263536 -2,557477343 9,428672366 15,24422388 Jan-15 12,05232105 -2,66499071 -2,207274913 -2,557477343 9,434683204 15,244583 Feb-15 12,06863076 -2,76620912 -2,207274913 -2,590267165 9,462110252 15,25490056 Mar-15 12,06737364 -2,75200209 -2,207274913 -2,590267165 9,479145389 15,26157294 Apr-15 11,99355989 -2,68971924 -2,120263536 -2,590267165 9,467846702 15,26846096 May-15 12,02614422 -2,63805783 -2,120263536 -2,590267165 9,488805095 15,27141703 Jun-15 11,96983752 -2,62279036 -2,040220829 -2,590267165 9,497922439 15,28770758 Jul-15 11,94792996 -2,62279036 -2,040220829 -2,590267165 9,509036566 15,29100739 Aug-15 11,86573495 -2,6338708 -1,966112856 -2,590267165 9,548739323 15,29804308 Sep-15 11,80851618 -2,68384551 -1,966112856 -2,590267165 9,592673316 15,32149791 Oct-15 11,85620306 -2,77258872 -2,120263536 -2,590267165 9,520688615 15,30685794 Nov-15 11,84796096 -3,01797788 -2,120263536 -2,590267165 9,535318229 15,30893677 Dec-15 11,88490962 -3,39620984 -1,427116356 -2,590267165 9,532061487 15,32992171
Lampiran 3 : Data Penelitian Malaysia
Bulan/Tahun Harga FBMS Inflasi FFR(%) Malay Rate Kurs JUB May-11 10400,74 3,3% 0,09 3,28% 30115 11454307 Jun-11 10517,49 3,5% 0,09 3,43% 30205 11589808 Jul-11 10375,72 3,4% 0,07 3,34% 29555 11564364 Aug-11 9603,77 3,3% 0,1 3,27% 29803 11604645 Sep-11 9126,66 3,4% 0,08 3,27% 31910 11872199 Okct-11 9924,87 3,4% 0,07 3,26% 30735 11832944 Nov-11 9848,22 3,3% 0,08 3,20% 31725 12118360 Dec-11 10300,29 3,0% 0,07 3,21% 31770 12409286 Jan-12 10498,87 2,7% 0,08 3,13% 30455 12700540 Feb-12 10813,97 2,2% 0,1 3,13% 30000 12736322 Mar-12 10816,23 2,1% 0,13 3,11% 30680 12796188 Apr-12 10721,44 1,9% 0,14 3,13% 30340 12965893 May-12 10716,73 1,8% 0,16 3,16% 31820 12952837 Jun-12 11003,17 1,6% 0,16 3,15% 31895 13062967 Jul-12 11278,6 1,4% 0,16 3,17% 31440 13113076 Aug-12 11377,7 1,4% 0,13 3,14% 31315 13220312 Sep-12 11341,75 1,4% 0,14 3,15% 30660 13351875 Oct-12 11488,38 1,4% 0,16 3,17% 30565 13377116 Nov-12 10957,26 1,3% 0,16 3,21% 30435 13417128 Dec-12 11520,73 1,2% 0,16 3,19% 30583 13504244 Jan-13 11112,97 1,3% 0,14 3,20% 30995 13758580 Feb-13 11105,74 1,5% 0,15 3,19% 30920 13793896 Mar-13 11357,06 1,6% 0,14 3,17% 30885 13921229 Apr-13 11663,19 1,7% 0,15 3,11% 30315 13997989 May-13 12403,8 1,8% 0,11 3,15% 30850 14146321 Jun-13 12294,5 1,8% 0,09 3,12% 31785 14145399 Jul-13 12373,68 2,0% 0,09 3,17% 32490 14232369 Aug-13 12046,89 1,9% 0,08 3,16% 32995 14257834
Nov-13 12734,18 2,9% 0,08 3,20% 32265 14266010 Dec-13 13051,6 3,2% 0,09 3,18% 32815 14523171 Jan-14 12604,02 3,4% 0,07 3,21% 33460 14644089 Feb-14 12895,61 3,5% 0,07 3,29% 32785 14601422 Mar-14 13146,18 3,5% 0,08 3,29% 32685 14739822 Apr-14 13214,5 3,4% 0,09 3,38% 32671 14839621 May-14 13136,04 3,2% 0,09 3,43% 32150 14918723 Jun-14 13387,34 3,3% 0,1 3,45% 32105 14935199 Jul-14 13383,98 3,2% 0,09 3,42% 31890 15036835 Aug-14 13219,74 3,3% 0,09 3,69% 31570 14941215 Sep-14 13185,85 2,6% 0,09 3,72% 32715 15039321 Oct-14 13346,37 2,8% 0,09 3,59% 32835 15164746 Nov-14 13036,26 3,0% 0,09 3,79% 33685 15278142 Dec-14 12507,03 2,7% 0,12 3,86% 34950 15538074 Jan-15 12851,97 1,0% 0,11 3,84% 36235 15543445 Feb-15 13120,63 0,1% 0,11 3,77% 36113 15609234 Mar-15 13122,15 0,9% 0,11 3,73% 37165 15897436 Apr-15 13073,91 1,8% 0,12 3,29% 35705 15798585 May-15 12576,45 2,1% 0,12 3,69% 36515 15763295 Jun-15 12208,85 2,5% 0,13 3,67% 37855 15825226 Jul-15 12373,72 3,3% 0,13 3,66% 38175 15613484 Aug-15 11443,34 3,1% 0,14 3,67% 42140 15628874 Sep-15 11889,05 2,6% 0,14 3,73% 44455 15824622 Oct-15 12392,83 2,5% 0,12 3,75% 43040 15764610 Nov-15 12506,87 2,6% 0,12 3,73% 42615 15841178 Dec-15 12800,65 2,7% 0,24 3,85% 42920 15952637
Lampiran 4 : Data Penelitian Malaysia (dalam bentuk LN)
Bulan/Tahun Harga FBMS Inflasi Malay Rate Kurs JUB May-11 9,249632 -3,41125 -3,41733 10,31278 16,25388 Jun-11 9,260795 -3,35241 -3,37261 10,31576 16,26564 Jul-11 9,247224 -3,38139 -3,3992 10,29401 16,26344 Aug-11 9,169911 -3,41125 -3,42038 10,30236 16,26692 Sep-11 9,118955 -3,38139 -3,42038 10,37067 16,28971 Okct-11 9,202799 -3,38139 -3,42344 10,33316 16,2864 Nov-11 9,195046 -3,41125 -3,44202 10,36486 16,31023 Dec-11 9,239927 -3,50656 -3,4389 10,36628 16,33396 Jan-12 9,259023 -3,61192 -3,46414 10,32401 16,35716 Feb-12 9,288594 -3,81671 -3,46414 10,30895 16,35997 Mar-12 9,288803 -3,86323 -3,47055 10,33137 16,36466 Apr-12 9,280001 -3,96332 -3,46414 10,32022 16,37783 May-12 9,279561 -4,01738 -3,4546 10,36785 16,37683 Jun-12 9,305939 -4,13517 -3,45777 10,3702 16,38529 Jul-12 9,330662 -4,2687 -3,45144 10,35584 16,38912 Aug-12 9,339411 -4,2687 -3,46095 10,35185 16,39726 Sep-12 9,336246 -4,2687 -3,45777 10,33071 16,40717 Oct-12 9,349091 -4,2687 -3,45144 10,32761 16,40906 Nov-12 9,301758 -4,34281 -3,4389 10,32335 16,41204 Dec-12 9,351903 -4,42285 -3,44515 10,3282 16,41851
Mar-13 9,337595 -4,13517 -3,45144 10,33803 16,44893 Apr-13 9,364193 -4,07454 -3,47055 10,3194 16,45442 May-13 9,425758 -4,01738 -3,45777 10,33689 16,46497 Jun-13 9,416907 -4,01738 -3,46734 10,36675 16,4649 Jul-13 9,423327 -3,91202 -3,45144 10,38869 16,47103 Aug-13 9,396562 -3,96332 -3,4546 10,40411 16,47282 Sep-13 9,422615 -3,64966 -3,46414 10,3913 16,47541 Oct-13 9,452676 -3,57555 -3,45777 10,36031 16,48212 Nov-13 9,452045 -3,54046 -3,44202 10,38174 16,47339 Dec-13 9,476666 -3,44202 -3,44829 10,39864 16,49126 Jan-14 9,441771 -3,38139 -3,4389 10,41811 16,49955 Feb-14 9,464642 -3,35241 -3,41428 10,39773 16,49663 Mar-14 9,483887 -3,35241 -3,41428 10,39467 16,50606 Apr-14 9,48907 -3,38139 -3,38729 10,39424 16,51281 May-14 9,483115 -3,44202 -3,37261 10,37817 16,51813 Jun-14 9,502065 -3,41125 -3,3668 10,37677 16,51923 Jul-14 9,501814 -3,44202 -3,37553 10,37005 16,52601 Aug-14 9,489466 -3,41125 -3,29954 10,35996 16,51963 Sep-14 9,4869 -3,64966 -3,29145 10,39559 16,52618 Oct-14 9,499 -3,57555 -3,32702 10,39925 16,53448 Nov-14 9,47549 -3,50656 -3,2728 10,42481 16,54193 Dec-14 9,434046 -3,61192 -3,2545 10,46167 16,5588 Jan-15 9,461252 -4,60517 -3,2597 10,49778 16,55915 Feb-15 9,481941 -6,90776 -3,2781 10,49441 16,56337 Mar-15 9,482057 -4,71053 -3,28876 10,52312 16,58167 Apr-15 9,478374 -4,01738 -3,41428 10,48305 16,57543 May-15 9,439581 -3,86323 -3,29954 10,50548 16,57319 Jun-15 9,409916 -3,68888 -3,30498 10,54152 16,57712 Jul-15 9,42333 -3,41125 -3,30771 10,54994 16,56365 Aug-15 9,345163 -3,47377 -3,30498 10,64875 16,56463 Sep-15 9,383373 -3,64966 -3,28876 10,70223 16,57708 Oct-15 9,424873 -3,68888 -3,28341 10,66989 16,57328 Nov-15 9,434033 -3,64966 -3,28876 10,65996 16,57812 Dec-15 9,457251 -3,61192 -3,2571 10,66709 16,58513
Lampiran 5 : Uji Stasioneritas 1. Uji Akar Unit
Augmented Dickey-Fuller Unit Root Test On ISSI Null Hypothesis: ISSI has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.858057 0.3492 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116
Dependent Variable: D(ISSI) Method: Least Squares Date: 07/26/16 Time: 13:16
Sample (adjusted): 2011M02 2015M07 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. ISSI(-1) -0.094902 0.051076 -1.858057 0.0688 C 14495.54 7635.899 1.898341 0.0632 R-squared 0.062258 Mean dependent var 384.6481 Adjusted R-squared 0.044225 S.D. dependent var 5973.396 S.E. of regression 5839.816 Akaike info criterion 20.21912 Sum squared resid 1.77E+09 Schwarz criterion 20.29279 Log likelihood -543.9162 Hannan-Quinn criter. 20.24753 F-statistic 3.452377 Durbin-Watson stat 1.703565 Prob(F-statistic) 0.068826
Augmented Dickey-Fuller Unit Root Test On Inflasi Indonesia Null Hypothesis: INFLASI has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.228882 0.1988 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI) Method: Least Squares
Date: 07/26/16 Time: 13:17
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. INFLASI(-1) -0.139843 0.062742 -2.228882 0.0303 D(INFLASI(-1)) 0.412844 0.135655 3.043340 0.0037 C 0.007890 0.003783 2.085829 0.0421 R-squared 0.190545 Mean dependent var -0.000245 Adjusted R-squared 0.158166 S.D. dependent var 0.007621 S.E. of regression 0.006992 Akaike info criterion -7.033162 Sum squared resid 0.002444 Schwarz criterion -6.921636 Log likelihood 189.3788 Hannan-Quinn criter. -6.990274 F-statistic 5.884964 Durbin-Watson stat 1.823552 Prob(F-statistic) 0.005068
Null Hypothesis: FFR has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.961570 0.7606 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FFR)
Method: Least Squares Date: 07/26/16 Time: 13:17
Sample (adjusted): 2011M02 2015M07 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. FFR(-1) -0.098181 0.102105 -0.961570 0.3407 C 0.013596 0.011631 1.168938 0.2478 R-squared 0.017470 Mean dependent var 0.002778 Adjusted R-squared -0.001424 S.D. dependent var 0.021668 S.E. of regression 0.021683 Akaike info criterion -4.788215 Sum squared resid 0.024449 Schwarz criterion -4.714549 Log likelihood 131.2818 Hannan-Quinn criter. -4.759805 F-statistic 0.924617 Durbin-Watson stat 1.440067 Prob(F-statistic) 0.340716
Augmented Dickey-Fuller Unit Root Test On BIrate Null Hypothesis: BIRATE has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.131607 0.6966 Test critical values: 1% level -3.562669
5% level -2.918778 10% level -2.597285 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(BIRATE) Method: Least Squares Date: 07/26/16 Time: 13:18
Sample (adjusted): 2011M04 2015M07 Included observations: 52 after adjustments
C 0.002154 0.001849 1.164709 0.2499 R-squared 0.182223 Mean dependent var 0.000144 Adjusted R-squared 0.131112 S.D. dependent var 0.001673 S.E. of regression 0.001559 Akaike info criterion -10.01567 Sum squared resid 0.000117 Schwarz criterion -9.865579 Log likelihood 264.4075 Hannan-Quinn criter. -9.958131 F-statistic 3.565234 Durbin-Watson stat 2.089257 Prob(F-statistic) 0.020777
Augmented Dickey-Fuller Unit Root Test On Nilai Tukar Rupiah
Null Hypothesis: KURS has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.367722 0.9070 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS) Method: Least Squares Date: 07/26/16 Time: 13:19
Sample (adjusted): 2011M02 2015M07 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. KURS(-1) -0.008922 0.024264 -0.367722 0.7146 C 194.0037 268.9923 0.721224 0.4740 R-squared 0.002594 Mean dependent var 96.25926 Adjusted R-squared -0.016587 S.D. dependent var 300.6332 S.E. of regression 303.1163 Akaike info criterion 14.30244 Sum squared resid 4777732. Schwarz criterion 14.37611 Log likelihood -384.1660 Hannan-Quinn criter. 14.33085 F-statistic 0.135219 Durbin-Watson stat 2.219654 Prob(F-statistic) 0.714573
Augmented Dickey-Fuller Unit Root Test On JUB Indonesia Null Hypothesis: JUB has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB)
Method: Least Squares Date: 07/26/16 Time: 13:20
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUB(-1) -0.006159 0.010508 -0.586078 0.5605 D(JUB(-1)) -0.331982 0.135590 -2.448421 0.0179 C 71380.16 38307.88 1.863328 0.0683 R-squared 0.111042 Mean dependent var 37399.75 Adjusted R-squared 0.075483 S.D. dependent var 44596.32 S.E. of regression 42880.16 Akaike info criterion 24.22514 Sum squared resid 9.19E+10 Schwarz criterion 24.33667 Log likelihood -638.9663 Hannan-Quinn criter. 24.26803 F-statistic 3.122800 Durbin-Watson stat 2.167257 Prob(F-statistic) 0.052727
Augmented Dickey-Fuller Unit Root Test On FBMS Null Hypothesis: FBMS has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.383221 0.5839 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FTES)
Method: Least Squares Date: 08/31/16 Time: 09:22
Sample (adjusted): 2011M02 2015M08 Included observations: 55 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. FTES(-1) -0.057949 0.041894 -1.383221 0.1724 C 731.1260 499.2660 1.464402 0.1490 R-squared 0.034842 Mean dependent var 43.63473 Adjusted R-squared 0.016632 S.D. dependent var 353.5983 S.E. of regression 350.6455 Akaike info criterion 14.59311 Sum squared resid 6516471. Schwarz criterion 14.66611 Log likelihood -399.3107 Hannan-Quinn criter. 14.62134
Augmented Dickey-Fuller Unit Root Test On Inflasi Malaysia Null Hypothesis: INFLASI has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -0.954049 0.7633 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI) Method: Least Squares
Date: 08/31/16 Time: 09:21
Sample (adjusted): 2011M02 2015M08 Included observations: 55 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. INFLASI(-1) -0.096108 0.100737 -0.954049 0.3444 C 0.013282 0.011436 1.161405 0.2507 R-squared 0.016884 Mean dependent var 0.002727 Adjusted R-squared -0.001666 S.D. dependent var 0.021470 S.E. of regression 0.021487 Akaike info criterion -4.807009 Sum squared resid 0.024471 Schwarz criterion -4.734015 Log likelihood 134.1928 Hannan-Quinn criter. -4.778782 F-statistic 0.910209 Durbin-Watson stat 1.456919 Prob(F-statistic) 0.344390
Augmented Dickey-Fuller Unit Root Test On FFR Null Hypothesis: FFR has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.978371 0.0000 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FFR)
Method: Least Squares Date: 08/31/16 Time: 09:24
FFR(-1) -0.802129 0.134172 -5.978371 0.0000 C 0.020557 0.003801 5.407574 0.0000 R-squared 0.402756 Mean dependent var -0.000109 Adjusted R-squared 0.391487 S.D. dependent var 0.015038 S.E. of regression 0.011731 Akaike info criterion -6.017548 Sum squared resid 0.007293 Schwarz criterion -5.944554 Log likelihood 167.4826 Hannan-Quinn criter. -5.989321 F-statistic 35.74092 Durbin-Watson stat 2.056397 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On Suku Bunga Malaysia Null Hypothesis: MALAYRATE has a unit root
Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -1.716651 0.4172 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MALAYRATE) Method: Least Squares
Date: 08/31/16 Time: 09:25
Sample (adjusted): 2011M04 2015M08 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. MALAYRATE(-1) -0.493599 0.287536 -1.716651 0.0924 D(MALAYRATE(-1)) -0.536464 0.231253 -2.319815 0.0246 D(MALAYRATE(-2)) -0.565037 0.160983 -3.509912 0.0010 C 0.029149 0.016230 1.795971 0.0787 R-squared 0.527392 Mean dependent var 0.006634 Adjusted R-squared 0.498457 S.D. dependent var 0.099205 S.E. of regression 0.070256 Akaike info criterion -2.400859 Sum squared resid 0.241862 Schwarz criterion -2.252157 Log likelihood 67.62276 Hannan-Quinn criter. -2.343675 F-statistic 18.22669 Durbin-Watson stat 1.901201 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On Nilai Tukar Ringgit Null Hypothesis: KURS has a unit root
Exogenous: Constant
Augmented Dickey-Fuller test statistic 0.703867 0.9912 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS) Method: Least Squares Date: 08/31/16 Time: 09:26
Sample (adjusted): 2011M02 2015M08 Included observations: 55 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. KURS(-1) 0.026421 0.037537 0.703867 0.4846 C -641.4642 1248.912 -0.513618 0.6097 R-squared 0.009261 Mean dependent var 232.8182 Adjusted R-squared -0.009432 S.D. dependent var 960.6957 S.E. of regression 965.2157 Akaike info criterion 16.61827 Sum squared resid 49376994 Schwarz criterion 16.69126 Log likelihood -455.0023 Hannan-Quinn criter. 16.64649 F-statistic 0.495429 Durbin-Watson stat 1.925785 Prob(F-statistic) 0.484596
Augmented Dickey-Fuller Unit Root Test On JUB Malaysia Null Hypothesis: JUB has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -2.083959 0.2518 Test critical values: 1% level -3.555023
5% level -2.915522 10% level -2.595565 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB)
Method: Least Squares Date: 08/31/16 Time: 09:27
Sample (adjusted): 2011M02 2015M08 Included observations: 55 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. JUB(-1) -0.022827 0.010954 -2.083959 0.0420 C 403094.8 154857.6 2.603003 0.0120 R-squared 0.075735 Mean dependent var 81787.82 Adjusted R-squared 0.058296 S.D. dependent var 110505.6 S.E. of regression 107236.2 Akaike info criterion 26.03914 Sum squared resid 6.09E+11 Schwarz criterion 26.11214
2. Uji Derajat Integrasi (1 st Difference)
Augmented Dickey-Fuller Unit Root Test On D(ISSI) Null Hypothesis: D(ISSI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.540494 0.0000 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ISSI,2) Method: Least Squares Date: 07/26/16 Time: 13:16
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(ISSI(-1)) -0.901158 0.137781 -6.540494 0.0000 C 204.5293 818.7243 0.249815 0.8037 R-squared 0.456163 Mean dependent var -59.16981 Adjusted R-squared 0.445499 S.D. dependent var 7994.611 S.E. of regression 5953.172 Akaike info criterion 20.25824 Sum squared resid 1.81E+09 Schwarz criterion 20.33259 Log likelihood -534.8434 Hannan-Quinn criter. 20.28683 F-statistic 42.77807 Durbin-Watson stat 1.841660 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(Inflasi Indonesia) Null Hypothesis: D(INFLASI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.775980 0.0003 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Date: 07/26/16 Time: 13:17
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(INFLASI(-1)) -0.655307 0.137209 -4.775980 0.0000 C -0.000265 0.000997 -0.265560 0.7916 R-squared 0.309037 Mean dependent var -0.000302 Adjusted R-squared 0.295488 S.D. dependent var 0.008648 S.E. of regression 0.007259 Akaike info criterion -6.976171 Sum squared resid 0.002687 Schwarz criterion -6.901820 Log likelihood 186.8685 Hannan-Quinn criter. -6.947579 F-statistic 22.80999 Durbin-Watson stat 1.805881 Prob(F-statistic) 0.000016
Augmented Dickey-Fuller Unit Root Test On D(FFR) Null Hypothesis: D(FFR) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.174821 0.0001 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FFR,2) Method: Least Squares Date: 07/26/16 Time: 13:18
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(FFR(-1)) -1.082351 0.209157 -5.174821 0.0000 C 0.003254 0.002999 1.084903 0.2831 R-squared 0.344294 Mean dependent var 0.002642 Adjusted R-squared 0.331437 S.D. dependent var 0.026686 S.E. of regression 0.021820 Akaike info criterion -4.775008 Sum squared resid 0.024281 Schwarz criterion -4.700657 Log likelihood 128.5377 Hannan-Quinn criter. -4.746416 F-statistic 26.77878 Durbin-Watson stat 1.373900 Prob(F-statistic) 0.000004
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.066005 0.0355 Test critical values: 1% level -3.562669
5% level -2.918778 10% level -2.597285 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(BIRATE,2) Method: Least Squares
Date: 07/26/16 Time: 13:19
Sample (adjusted): 2011M04 2015M07 Included observations: 52 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(BIRATE(-1)) -0.525253 0.171315 -3.066005 0.0035 D(BIRATE(-1),2) -0.368953 0.132778 -2.778712 0.0077 C 7.58E-05 0.000218 0.347157 0.7300 R-squared 0.495649 Mean dependent var 0.000000 Adjusted R-squared 0.475063 S.D. dependent var 0.002158 S.E. of regression 0.001564 Akaike info criterion -10.02781 Sum squared resid 0.000120 Schwarz criterion -9.915236 Log likelihood 263.7230 Hannan-Quinn criter. -9.984650 F-statistic 24.07728 Durbin-Watson stat 2.057026 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(Nilai Tukar Rupiah) Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.095175 0.0000 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares Date: 07/26/16 Time: 13:19
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
R-squared 0.562351 Mean dependent var 0.830189 Adjusted R-squared 0.553770 S.D. dependent var 453.6175 S.E. of regression 303.0185 Akaike info criterion 14.30247 Sum squared resid 4682830. Schwarz criterion 14.37682 Log likelihood -377.0155 Hannan-Quinn criter. 14.33106 F-statistic 65.53186 Durbin-Watson stat 2.019878 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(JUB Indonesia) Null Hypothesis: D(JUB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -9.872837 0.0000 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB,2) Method: Least Squares Date: 07/26/16 Time: 13:21
Sample (adjusted): 2011M03 2015M07 Included observations: 53 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUB(-1)) -1.329206 0.134633 -9.872837 0.0000 C 49384.96 7633.521 6.469486 0.0000 R-squared 0.656503 Mean dependent var 993.3208 Adjusted R-squared 0.649768 S.D. dependent var 71988.79 S.E. of regression 42603.27 Akaike info criterion 24.19426 Sum squared resid 9.26E+10 Schwarz criterion 24.26861 Log likelihood -639.1478 Hannan-Quinn criter. 24.22285 F-statistic 97.47290 Durbin-Watson stat 2.167826 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(FBMS) Null Hypothesis: D(FBMS) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Augmented Dickey-Fuller test statistic -7.798280 Test critical values: 1% level -3.557472 5% level -2.916566
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FTES,2) Method: Least Squares Date: 08/31/16 Time: 09:29
Sample (adjusted): 2011M03 2015M08 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic D(FTES(-1)) -1.082462 0.138808 -7.798280 C 45.49696 49.14908 0.925693 R-squared 0.539061 Mean dependent var
Adjusted R-squared 0.530197 S.D. dependent var S.E. of regression 358.9727 Akaike info criterion Sum squared resid 6700793. Schwarz criterion Log likelihood -393.2990 Hannan-Quinn criter. F-statistic 60.81318 Durbin-Watson stat Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(Inflasi Malaysia) Null Hypothesis: D(INFLASI) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.163527 0.0001 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(INFLASI,2) Method: Least Squares
Date: 08/31/16 Time: 09:30
Sample (adjusted): 2011M03 2015M08 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(INFLASI(-1)) -1.081164 0.209385 -5.163527 0.0000 C 0.002823 0.002975 0.948919 0.3471 R-squared 0.338944 Mean dependent var 0.002222 Adjusted R-squared 0.326231 S.D. dependent var 0.026612 S.E. of regression 0.021844 Akaike info criterion -4.773475 Sum squared resid 0.024812 Schwarz criterion -4.699809 Log likelihood 130.8838 Hannan-Quinn criter. -4.745065 F-statistic 26.66201 Durbin-Watson stat 1.439641 Prob(F-statistic) 0.000004
Null Hypothesis: D(FFR) has a unit root Exogenous: Constant
Lag Length: 2 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.393433 0.0000 Test critical values: 1% level -3.562669
5% level -2.918778 10% level -2.597285 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FFR,2) Method: Least Squares Date: 08/31/16 Time: 09:31
Sample (adjusted): 2011M05 2015M08 Included observations: 52 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(FFR(-1)) -2.953754 0.351913 -8.393433 0.0000 D(FFR(-1),2) 1.090888 0.255632 4.267415 0.0001 D(FFR(-2),2) 0.380057 0.133509 2.846664 0.0065 C -0.000436 0.001607 -0.271275 0.7873 R-squared 0.821589 Mean dependent var 3.85E-05 Adjusted R-squared 0.810439 S.D. dependent var 0.026602 S.E. of regression 0.011582 Akaike info criterion -6.004874 Sum squared resid 0.006439 Schwarz criterion -5.854778 Log likelihood 160.1267 Hannan-Quinn criter. -5.947331 F-statistic 73.68075 Durbin-Watson stat 2.157599 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(Suku Bunga Malaysia) Null Hypothesis: D(MALAYRATE) has a unit root
Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -11.35752 0.0000 Test critical values: 1% level -3.560019
5% level -2.917650 10% level -2.596689 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(MALAYRATE,2) Method: Least Squares
Date: 08/31/16 Time: 09:32
Sample (adjusted): 2011M04 2015M08 Included observations: 53 after adjustments
C 0.006748 0.009837 0.685975 0.4959 R-squared 0.802547 Mean dependent var 0.006577 Adjusted R-squared 0.794649 S.D. dependent var 0.158027 S.E. of regression 0.071611 Akaike info criterion -2.380193 Sum squared resid 0.256408 Schwarz criterion -2.268667 Log likelihood 66.07512 Hannan-Quinn criter. -2.337306 F-statistic 101.6126 Durbin-Watson stat 2.128415 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(Nilai Tukar Ringgit) Null Hypothesis: D(KURS) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -6.719318 0.0000 Test critical values: 1% level -3.557472
5% level -2.916566 10% level -2.596116 *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares Date: 08/31/16 Time: 09:33
Sample (adjusted): 2011M03 2015M08 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(KURS(-1)) -0.929327 0.138307 -6.719318 0.0000 C 219.1034 136.6665 1.603198 0.1149 R-squared 0.464741 Mean dependent var 3.981481 Adjusted R-squared 0.454448 S.D. dependent var 1321.857 S.E. of regression 976.3440 Akaike info criterion 16.64184 Sum squared resid 49568879 Schwarz criterion 16.71551 Log likelihood -447.3297 Hannan-Quinn criter. 16.67025 F-statistic 45.14924 Durbin-Watson stat 1.977502 Prob(F-statistic) 0.000000
Augmented Dickey-Fuller Unit Root Test On D(JUB Malaysia) Null Hypothesis: D(JUB) has a unit root
Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -8.123829 0.0000
*MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(JUB,2) Method: Least Squares Date: 08/31/16 Time: 09:33
Sample (adjusted): 2011M03 2015M08 Included observations: 54 after adjustments
Variable Coefficient Std. Error t-Statistic Prob. D(JUB(-1)) -1.117066 0.137505 -8.123829 0.0000 C 90303.40 18850.99 4.790379 0.0000 R-squared 0.559309 Mean dependent var -445.2222 Adjusted R-squared 0.550835 S.D. dependent var 166494.9 S.E. of regression 111584.5 Akaike info criterion 26.11929 Sum squared resid 6.47E+11 Schwarz criterion 26.19295 Log likelihood -703.2207 Hannan-Quinn criter. 26.14770 F-statistic 65.99660 Durbin-Watson stat 1.972535 Prob(F-statistic) 0.000000