V. SIMPULAN DAN SARAN
5.1 Simpulan
Dari hasil pembahasan sebelumnya diperoleh simpulan sebagai berikut: 1. Return saham gabungan, return saham sektor keuangan dan return saham
sektor industri barang konsumsi sangat tergantung dengan return sebelumnya. Sedangkan return sektor pertambangan tidak tergantung dengan return sebelumnya.
2. Pada saat transaksi asing bersih atau foreign net purchase (net position) positif, yang dapat diakibatkan oleh meningkatnya pembelian investor asing di pasar saham Indonesia, akan meningkatkan return saham gabungan, return saham sektor keuangan, return saham sektor industri konsumsi dan return saham sektor pertambangan.
3. Peningkatan return saham pada saat net position positif akan diikuti dengan peningkatan komponen volatilitas transitory, namun tidak meningkatkan komponen volatilitas permanen atau dengan kata lain menstabilkan volatilitas permanen, baik untuk return saham gabungan, return saham sektor keuangan, return saham sektor industri barang konsumsi, maupun return saham sektor pertambangan.
4. Peningkatan net position akan berdampak pada peningkatan volatilitas (komponen transitory) yang lebih besar dibandingkan dengan peningkatan return saham, baik untuk return saham gabungan, return saham sektor keuangan, return saham sektor industri barang konsumsi, maupun return saham sektor pertambangan.
5. Pada komponen permanen, efek suatu guncangan yang terjadi pada return saham sebelumnya di sektor industri barang konsumsi akan menghilang dalam waktu 20 hari, lebih cepat dibandingkan dengan return kedua sektor lainnya yang akan menghilang dalam waktu 140 hari dan 198 hari. Sedangkan guncangan pada return saham gabungan akan menghilang dalam waktu 219 hari.
6. Pada komponen transitory, efek suatu guncangan pada return saham sektor industri barang konsumsi akan menghilang dalam 2 hari, lebih cepat
dibandingkan dengan sektor keuangan dan sektor pertambangan, masing-masing akan menghilang dalam waktu 5 dan 4 hari.
5.2 Saran
Adanya pengaruh transaksi investor asing yang menyebabkan peningkatan volatilitas return saham, baik gabungan maupun sektoral yang lebih besar dibandingkan dengan peningkatan return sahamnya, maka diperlukan peningkatan transaksi investor domestik sebagai penyeimbang di pasar saham. Hal ini dapat dilakukan dengan cara meningkatkan sosialisasi kepada masyarakat Indonesia mengenai pentingnya pasar modal bagi pembangunan nasional, sehingga investor domestik dapat lebih berperan dalam transaksi pasar modal di Indonesia.
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Lampiran 1 Uji Stasioneritas Data Return Indeks Harga Saham Gabungan Null Hypothesis: RIHSG has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -32.69261 0.0000
Test critical values: 1% level -3.965018
5% level -3.413221
10% level -3.128631
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RIHSG) Method: Least Squares Date: 10/01/12 Time: 02:54 Sample (adjusted): 2 1320
Included observations: 1319 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RIHSG(-1) -0.897052 0.027439 -32.69261 0.0000
C 0.040036 0.091029 0.439819 0.6601
@TREND(1) 1.50E-05 0.000119 0.125616 0.9001
R-squared 0.448174 Mean dependent var -0.001590
Adjusted R-squared 0.447336 S.D. dependent var 2.222096 S.E. of regression 1.651937 Akaike info criterion 3.844046
Sum squared resid 3591.228 Schwarz criterion 3.855838
Log likelihood -2532.149 Hannan-Quinn criter. 3.848468
F-statistic 534.4059 Durbin-Watson stat 2.006450
Lampiran 2 Uji Stasioneritas Data Return Indeks Sektor Keuangan Null Hypothesis: RKEU has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -32.61779 0.0000
Test critical values: 1% level -3.965018
5% level -3.413221
10% level -3.128631
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RKEU)
Method: Least Squares Date: 09/05/12 Time: 10:48 Sample (adjusted): 2 1320
Included observations: 1319 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RKEU(-1) -0.894806 0.027433 -32.61779 0.0000
C 0.039529 0.103156 0.383201 0.7016
@TREND(1) 2.49E-05 0.000135 0.184126 0.8539
R-squared 0.447042 Mean dependent var -0.001534
Adjusted R-squared 0.446202 S.D. dependent var 2.515598 S.E. of regression 1.872049 Akaike info criterion 4.094216
Sum squared resid 4612.010 Schwarz criterion 4.106008
Log likelihood -2697.135 Hannan-Quinn criter. 4.098637
F-statistic 531.9637 Durbin-Watson stat 1.999514
Lampiran 3 Uji Stasioneritas Data Return Indeks Sektor Industri Barang Konsumsi
Null Hypothesis: RKONSUMSI has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -33.83766 0.0000
Test critical values: 1% level -3.965018
5% level -3.413221
10% level -3.128631
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RKONSUMSI) Method: Least Squares
Date: 09/05/12 Time: 10:49 Sample (adjusted): 2 1320
Included observations: 1319 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RKONSUMSI(-1) -0.932150 0.027548 -33.83766 0.0000
C 0.030785 0.084331 0.365054 0.7151
@TREND(1) 8.75E-05 0.000111 0.789978 0.4297
R-squared 0.465258 Mean dependent var -0.002020
Adjusted R-squared 0.464445 S.D. dependent var 2.091291 S.E. of regression 1.530440 Akaike info criterion 3.691260
Sum squared resid 3082.398 Schwarz criterion 3.703052
Log likelihood -2431.386 Hannan-Quinn criter. 3.695681
F-statistic 572.5000 Durbin-Watson stat 1.989209
Lampiran 4 Uji Stasioneritas Data Return Indeks Sektor Pertambangan Null Hypothesis: RTAMBANG has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -32.86489 0.0000
Test critical values: 1% level -3.965018
5% level -3.413221
10% level -3.128631
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(RTAMBANG) Method: Least Squares
Date: 09/05/12 Time: 10:49 Sample (adjusted): 2 1320
Included observations: 1319 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RTAMBANG(-1) -0.901924 0.027443 -32.86489 0.0000
C 0.239304 0.143453 1.668174 0.0955
@TREND(1) -0.000281 0.000188 -1.491755 0.1360
R-squared 0.450777 Mean dependent var -0.001137
Adjusted R-squared 0.449943 S.D. dependent var 3.506288 S.E. of regression 2.600468 Akaike info criterion 4.751532
Sum squared resid 8899.363 Schwarz criterion 4.763324
Log likelihood -3130.635 Hannan-Quinn criter. 4.755953
F-statistic 540.0568 Durbin-Watson stat 2.007550
Lampiran 5 Uji Stasioneritas Data Transaksi Asing Bersih/Foreign Net Purchase (FNP)
Null Hypothesis: FNP has a unit root Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -32.81149 0.0000
Test critical values: 1% level -3.965018
5% level -3.413221
10% level -3.128631
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(FNP)
Method: Least Squares Date: 10/01/12 Time: 03:50 Sample (adjusted): 2 1320
Included observations: 1319 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
FNP(-1) -0.901018 0.027460 -32.81149 0.0000
C 90.66429 38.35753 2.363664 0.0182
@TREND(1) -0.021180 0.050217 -0.421761 0.6733
R-squared 0.449971 Mean dependent var -0.964787
Adjusted R-squared 0.449135 S.D. dependent var 935.5829 S.E. of regression 694.3924 Akaike info criterion 15.92622
Sum squared resid 6.35E+08 Schwarz criterion 15.93802
Log likelihood -10500.34 Hannan-Quinn criter. 15.93064
F-statistic 538.3000 Durbin-Watson stat 2.005239
Lampiran 6 Uji Stasioneritas Data Volume Perdagangan Saham di Bursa Efek Indonesia (BEI)
Null Hypothesis: VOL has a unit root Exogenous: Constant, Linear Trend
Lag Length: 21 (Automatic based on SIC, MAXLAG=22)
t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.731452 0.0000
Test critical values: 1% level -3.965131
5% level -3.413277
10% level -3.128663
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(VOL)
Method: Least Squares Date: 10/01/12 Time: 03:50 Sample (adjusted): 23 1320
Included observations: 1298 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
VOL(-1) -0.088244 0.015396 -5.731452 0.0000 D(VOL(-1)) -0.023696 0.028974 -0.817842 0.4136 D(VOL(-2)) -0.240437 0.028979 -8.296987 0.0000 D(VOL(-3)) -0.237893 0.029625 -8.030025 0.0000 D(VOL(-4)) 0.065538 0.030343 2.159898 0.0310 D(VOL(-5)) 0.068647 0.030205 2.272688 0.0232 D(VOL(-6)) 0.390620 0.029886 13.07046 0.0000 D(VOL(-7)) -0.215960 0.031764 -6.798946 0.0000 D(VOL(-8)) 0.324512 0.030034 10.80485 0.0000 D(VOL(-9)) 0.052732 0.031337 1.682714 0.0927 D(VOL(-10)) 0.129530 0.031211 4.150100 0.0000 D(VOL(-11)) 0.087283 0.031422 2.777779 0.0056 D(VOL(-12)) -0.024879 0.031496 -0.789923 0.4297 D(VOL(-13)) 0.146658 0.031488 4.657636 0.0000 D(VOL(-14)) -0.339279 0.031058 -10.92418 0.0000 D(VOL(-15)) 0.159642 0.031341 5.093743 0.0000 D(VOL(-16)) -0.082488 0.030505 -2.704107 0.0069 D(VOL(-17)) -0.033866 0.030587 -1.107194 0.2684 D(VOL(-18)) 0.046216 0.030595 1.510569 0.1311 D(VOL(-19)) -0.009331 0.029227 -0.319249 0.7496 D(VOL(-20)) 0.073121 0.027739 2.636014 0.0085 D(VOL(-21)) -0.164224 0.027637 -5.942119 0.0000 C 1065.113 2299.153 0.463263 0.6433 @TREND(1) 0.803004 2.990516 0.268517 0.7883
R-squared 0.439957 Mean dependent var 1.146701
Adjusted R-squared 0.429846 S.D. dependent var 53376.87 S.E. of regression 40304.09 Akaike info criterion 24.06461
Sum squared resid 2.07E+12 Schwarz criterion 24.16018
Log likelihood -15593.93 Hannan-Quinn criter. 24.10047
F-statistic 43.51415 Durbin-Watson stat 1.976226
Lampiran 11 Model ARIMA(2,0,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Dependent Variable: RIHSG Method: Least Squares Date: 10/01/12 Time: 04:24 Sample (adjusted): 4 1320
Included observations: 1317 after adjustments Convergence not achieved after 500 iterations MA Backcast: 3
Variable Coefficient Std. Error t-Statistic Prob.
C 0.059663 0.045647 1.307057 0.1914
AR(1) 0.733359 0.168317 4.357019 0.0000
AR(3) -0.086275 0.023069 -3.739831 0.0002
MA(1) -0.645864 0.176289 -3.663661 0.0003
R-squared 0.017597 Mean dependent var 0.056028
Adjusted R-squared 0.015353 S.D. dependent var 1.660632 S.E. of regression 1.647835 Akaike info criterion 3.839835
Sum squared resid 3565.270 Schwarz criterion 3.855577
Log likelihood -2524.531 Hannan-Quinn criter. 3.845738
F-statistic 7.839651 Durbin-Watson stat 1.978945
Prob(F-statistic) 0.000035
Inverted AR Roots .51+.19i .51-.19i -.29 Inverted MA Roots .65
Lampiran 12 Correlogram Residual Model ARIMA(2,0,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Lampiran 13 Correlogram Residual Kuadrat Model ARIMA(2,0,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Lampiran 14 Uji ARCH-LM Model ARIMA(2,0,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Heteroskedasticity Test: ARCH
F-statistic 20.83881 Prob. F(12,1292) 0.0000
Obs*R-squared 211.6225 Prob. Chi-Square(12) 0.0000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 10/01/12 Time: 04:33 Sample (adjusted): 16 1320
Included observations: 1305 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.910139 0.239278 3.803682 0.0001 RESID^2(-1) 0.119964 0.027819 4.312299 0.0000 RESID^2(-2) 0.259860 0.027936 9.301937 0.0000 RESID^2(-3) 0.002094 0.028735 0.072880 0.9419 RESID^2(-4) 0.071633 0.028714 2.494690 0.0127 RESID^2(-5) 0.031168 0.028780 1.082969 0.2790 RESID^2(-6) -0.048587 0.028743 -1.690368 0.0912 RESID^2(-7) 0.060906 0.028729 2.120039 0.0342 RESID^2(-8) 0.015077 0.028766 0.524107 0.6003 RESID^2(-9) -0.039539 0.028696 -1.377830 0.1685 RESID^2(-10) 0.095474 0.028686 3.328233 0.0009 RESID^2(-11) 0.077292 0.027899 2.770476 0.0057 RESID^2(-12) 0.018684 0.027779 0.672605 0.5013
R-squared 0.162163 Mean dependent var 2.709242
Adjusted R-squared 0.154381 S.D. dependent var 7.662001 S.E. of regression 7.045788 Akaike info criterion 6.752649
Sum squared resid 64138.92 Schwarz criterion 6.804190
Log likelihood -4393.103 Hannan-Quinn criter. 6.771984
F-statistic 20.83881 Durbin-Watson stat 2.000011
Lampiran 15 Model ARIMA(2,0,0) Data Return Indeks Sektor Keuangan Dependent Variable: RKEU
Method: Least Squares Date: 10/01/12 Time: 04:35 Sample (adjusted): 4 1320
Included observations: 1317 after adjustments Convergence achieved after 3 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 0.061393 0.052996 1.158445 0.2469
AR(1) 0.106570 0.027372 3.893372 0.0001
AR(3) -0.077589 0.027370 -2.834778 0.0047
R-squared 0.017064 Mean dependent var 0.061501
Adjusted R-squared 0.015568 S.D. dependent var 1.882224 S.E. of regression 1.867515 Akaike info criterion 4.089370
Sum squared resid 4582.724 Schwarz criterion 4.101177
Log likelihood -2689.850 Hannan-Quinn criter. 4.093797
F-statistic 11.40590 Durbin-Watson stat 2.007959
Prob(F-statistic) 0.000012
Lampiran 16 Correlogram Residual Model ARIMA(2,0,0) Data Return Indeks Sektor Keuangan
Lampiran 17 Correlogram Residual Kuadrat Model ARIMA(2,0,0) Data Return Indeks Sektor Keuangan
Lampiran 18 Uji ARCH-LM Model ARIMA(2,0,0) Data Return Indeks Sektor Keuangan
Heteroskedasticity Test: ARCH
F-statistic 19.60685 Prob. F(12,1295) 0.0000
Obs*R-squared 201.1061 Prob. Chi-Square(12) 0.0000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 10/01/12 Time: 04:37 Sample (adjusted): 13 1320
Included observations: 1308 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.074470 0.271959 3.950854 0.0001 RESID^2(-1) 0.221677 0.027686 8.006964 0.0000 RESID^2(-2) 0.042570 0.028354 1.501385 0.1335 RESID^2(-3) 0.093727 0.028270 3.315425 0.0009 RESID^2(-4) 0.062795 0.028368 2.213600 0.0270 RESID^2(-5) 0.030096 0.028421 1.058920 0.2898 RESID^2(-6) -0.005381 0.028397 -0.189510 0.8497 RESID^2(-7) 0.050466 0.028367 1.779040 0.0755 RESID^2(-8) 0.009648 0.028389 0.339838 0.7340 RESID^2(-9) -0.017562 0.028339 -0.619721 0.5356 RESID^2(-10) 0.087212 0.028221 3.090361 0.0020 RESID^2(-11) 0.027740 0.028303 0.980101 0.3272 RESID^2(-12) 0.087354 0.027635 3.161010 0.0016
R-squared 0.153751 Mean dependent var 3.473476
Adjusted R-squared 0.145909 S.D. dependent var 8.134267 S.E. of regression 7.517448 Akaike info criterion 6.882220
Sum squared resid 73183.08 Schwarz criterion 6.933666
Log likelihood -4487.972 Hannan-Quinn criter. 6.901517
F-statistic 19.60685 Durbin-Watson stat 2.004172
Lampiran 19 Model ARIMA(2,0,1) Data Return Indeks Sektor Industri Barang Konsumsi
Dependent Variable: RKONSUMSI Method: Least Squares
Date: 10/01/12 Time: 04:42 Sample (adjusted): 3 1320
Included observations: 1318 after adjustments Convergence achieved after 14 iterations MA Backcast: 2
Variable Coefficient Std. Error t-Statistic Prob.
C 0.098552 0.033597 2.933395 0.0034
AR(1) 0.801790 0.107528 7.456556 0.0000
AR(2) -0.128199 0.028035 -4.572908 0.0000
MA(1) -0.738891 0.106324 -6.949433 0.0000
R-squared 0.018283 Mean dependent var 0.096230
Adjusted R-squared 0.016042 S.D. dependent var 1.533254 S.E. of regression 1.520907 Akaike info criterion 3.679521
Sum squared resid 3039.488 Schwarz criterion 3.695253
Log likelihood -2420.804 Hannan-Quinn criter. 3.685419
F-statistic 8.157178 Durbin-Watson stat 2.004527
Prob(F-statistic) 0.000022
Inverted AR Roots .58 .22 Inverted MA Roots .74
Lampiran 20 Correlogram Residual Model ARIMA(2,0,1) Data Return Indeks Sektor Industri Barang Konsumsi
Lampiran 21 Correlogram Residual Kuadrat Model ARIMA(2,0,1) Data Return Indeks Sektor Industri Barang Konsumsi
Lampiran 22 Uji ARCH-LM Model ARIMA(2,0,1) Data Return Indeks Sektor Industri Barang Konsumsi
Heteroskedasticity Test: ARCH
F-statistic 22.86368 Prob. F(12,1293) 0.0000
Obs*R-squared 228.6129 Prob. Chi-Square(12) 0.0000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 10/01/12 Time: 04:45 Sample (adjusted): 15 1320
Included observations: 1306 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.797591 0.191438 4.166314 0.0000 RESID^2(-1) 0.248866 0.027771 8.961233 0.0000 RESID^2(-2) 0.156802 0.028607 5.481316 0.0000 RESID^2(-3) 0.026947 0.028712 0.938531 0.3481 RESID^2(-4) 0.047636 0.028719 1.658721 0.0974 RESID^2(-5) 0.035764 0.028746 1.244157 0.2137 RESID^2(-6) -0.009074 0.028761 -0.315497 0.7524 RESID^2(-7) -0.012579 0.028762 -0.437370 0.6619 RESID^2(-8) -0.016265 0.028746 -0.565831 0.5716 RESID^2(-9) 0.014351 0.028682 0.500354 0.6169 RESID^2(-10) 0.129682 0.028673 4.522760 0.0000 RESID^2(-11) -0.033937 0.028567 -1.187967 0.2351 RESID^2(-12) 0.067796 0.027738 2.444149 0.0147
R-squared 0.175048 Mean dependent var 2.310436
Adjusted R-squared 0.167392 S.D. dependent var 6.060830 S.E. of regression 5.530347 Akaike info criterion 6.268282
Sum squared resid 39546.06 Schwarz criterion 6.319792
Log likelihood -4080.188 Hannan-Quinn criter. 6.287604
F-statistic 22.86368 Durbin-Watson stat 1.987742
Lampiran 23 Model ARIMA(2,0,0) Data Return Indeks Sektor Pertambangan Dependent Variable: RTAMBANG
Method: Least Squares Date: 10/01/12 Time: 07:36 Sample (adjusted): 3 1320
Included observations: 1318 after adjustments Convergence achieved after 3 iterations
Variable Coefficient Std. Error t-Statistic Prob.
C 0.060526 0.083267 0.726893 0.4674
AR(1) 0.095165 0.027568 3.451957 0.0006
AR(2) 0.044422 0.027565 1.611551 0.1073
R-squared 0.011851 Mean dependent var 0.060834
Adjusted R-squared 0.010348 S.D. dependent var 2.614536 S.E. of regression 2.600974 Akaike info criterion 4.751922
Sum squared resid 8896.058 Schwarz criterion 4.763722
Log likelihood -3128.517 Hannan-Quinn criter. 4.756346
F-statistic 7.885368 Durbin-Watson stat 2.000191
Prob(F-statistic) 0.000394
Lampiran 24 Correlogram Residual Model ARIMA(2,0,0) Data Return Indeks Sektor Pertambangan
Lampiran 25 Correlogram Residual Kuadrat Model ARIMA(2,0,0) Data Return Indeks Sektor Pertambangan
Lampiran 26 Uji ARCH-LM Model ARIMA(2,0,0) Data Return Indeks Sektor Pertambangan
Heteroskedasticity Test: ARCH
F-statistic 8.147524 Prob. F(12,1295) 0.0000
Obs*R-squared 91.81954 Prob. Chi-Square(12) 0.0000
Test Equation:
Dependent Variable: RESID^2 Method: Least Squares Date: 10/01/12 Time: 07:38 Sample (adjusted): 13 1320
Included observations: 1308 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 3.462048 0.735504 4.707042 0.0000 RESID^2(-1) 0.085961 0.027781 3.094280 0.0020 RESID^2(-2) 0.167180 0.027792 6.015337 0.0000 RESID^2(-3) 0.006489 0.028170 0.230341 0.8179 RESID^2(-4) 0.023802 0.028167 0.845031 0.3982 RESID^2(-5) 0.008134 0.028137 0.289081 0.7726 RESID^2(-6) -0.037879 0.027982 -1.353687 0.1761 RESID^2(-7) 0.106187 0.027968 3.796668 0.0002 RESID^2(-8) 0.051211 0.028123 1.820972 0.0688 RESID^2(-9) -0.013460 0.028151 -0.478129 0.6326 RESID^2(-10) 0.024577 0.028153 0.872980 0.3828 RESID^2(-11) 0.080539 0.027777 2.899530 0.0038 RESID^2(-12) -0.016635 0.027764 -0.599173 0.5492
R-squared 0.070198 Mean dependent var 6.747827
Adjusted R-squared 0.061583 S.D. dependent var 21.93548 S.E. of regression 21.24933 Akaike info criterion 8.960417
Sum squared resid 584736.6 Schwarz criterion 9.011863
Log likelihood -5847.113 Hannan-Quinn criter. 8.979714
F-statistic 8.147524 Durbin-Watson stat 1.999077
Lampiran 27 Model Component GARCH(1,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Dependent Variable: RIHSG
Method: ML - ARCH (Marquardt) - Student's t distribution Date: 10/01/12 Time: 11:17
Sample (adjusted): 4 1320
Included observations: 1317 after adjustments Convergence achieved after 50 iterations MA Backcast: 3
Presample variance: backcast (parameter = 0.7)
Q = C(7) + C(8)*(Q(-1) - C(7)) + C(9)*(RESID(-1)^2 - GARCH(-1)) + C(10) *FNP
GARCH = Q + C(11) * (RESID(-1)^2 - Q(-1)) + C(12)*(GARCH(-1) - Q(-1)) + C(13)*FNP
Variable Coefficient Std. Error z-Statistic Prob.
C 0.039037 0.020409 1.912682 0.0558
FNP 0.001028 4.89E-05 21.00413 0.0000
VOL 2.28E-07 1.60E-07 1.427074 0.1536
AR(1) 0.658423 0.110019 5.984608 0.0000 AR(3) -0.029729 0.027825 -1.068416 0.2853 MA(1) -0.729457 0.104391 -6.987766 0.0000 Variance Equation C(7) 11.40248 21.95691 0.519312 0.6035 C(8) 0.996837 0.006130 162.6129 0.0000 C(9) 0.041509 0.025538 1.625412 0.1041 C(10) -0.000210 8.47E-05 -2.476192 0.0133 C(11) 0.211395 0.043367 4.874591 0.0000 C(12) 0.660007 0.069420 9.507485 0.0000 C(13) 0.000198 8.72E-05 2.271888 0.0231 T-DIST. DOF 3.672330 0.361622 10.15515 0.0000
R-squared 0.001669 Mean dependent var 0.056028
Adjusted R-squared -0.008291 S.D. dependent var 1.660632 S.E. of regression 1.667502 Akaike info criterion 3.302850
Sum squared resid 3623.076 Schwarz criterion 3.357948
Log likelihood -2160.927 Hannan-Quinn criter. 3.323510
F-statistic 0.167556 Durbin-Watson stat 1.754708
Prob(F-statistic) 0.999628
Inverted AR Roots .57 .28 -.19 Inverted MA Roots .73
Lampiran 28 Model Component GARCH(1,1) Data Return Indeks Sektor Keuangan
Dependent Variable: RKEU
Method: ML - ARCH (Marquardt) - Student's t distribution Date: 10/01/12 Time: 11:20
Sample (adjusted): 4 1320
Included observations: 1317 after adjustments Convergence achieved after 32 iterations Presample variance: backcast (parameter = 0.7)
Q = C(6) + C(7)*(Q(-1) - C(6)) + C(8)*(RESID(-1)^2 - GARCH(-1)) + C(9) *FNP
GARCH = Q + C(10) * (RESID(-1)^2 - Q(-1)) + C(11)*(GARCH(-1) - Q(-1)) + C(12)*FNP
Variable Coefficient Std. Error z-Statistic Prob.
C -0.001868 0.032575 -0.057331 0.9543
FNP 0.000941 5.62E-05 16.72525 0.0000
VOL 4.88E-07 2.58E-07 1.895929 0.0580
AR(1) -0.001190 0.030728 -0.038718 0.9691 AR(3) -0.089539 0.027730 -3.228973 0.0012 Variance Equation C(6) 11.80674 19.45894 0.606751 0.5440 C(7) 0.995067 0.008585 115.9067 0.0000 C(8) 0.078060 0.037011 2.109105 0.0349 C(9) -0.000257 0.000103 -2.503563 0.0123 C(10) 0.158424 0.045079 3.514365 0.0004 C(11) 0.701573 0.080095 8.759252 0.0000 C(12) 0.000283 0.000116 2.438943 0.0147 T-DIST. DOF 5.688455 0.732872 7.761866 0.0000
R-squared 0.031835 Mean dependent var 0.061501
Adjusted R-squared 0.022925 S.D. dependent var 1.882224 S.E. of regression 1.860524 Akaike info criterion 3.732437
Sum squared resid 4513.860 Schwarz criterion 3.783599
Log likelihood -2444.810 Hannan-Quinn criter. 3.751621
F-statistic 3.573115 Durbin-Watson stat 1.886595
Prob(F-statistic) 0.000029
Lampiran 29 Model Component GARCH(1,1) Data Return Indeks Sektor Industri Barang Konsumsi
Dependent Variable: RKONSUMSI
Method: ML - ARCH (Marquardt) - Student's t distribution Date: 10/01/12 Time: 11:23
Sample (adjusted): 3 1320
Included observations: 1318 after adjustments Convergence achieved after 56 iterations MA Backcast: 2
Presample variance: backcast (parameter = 0.7)
Q = C(7) + C(8)*(Q(-1) - C(7)) + C(9)*(RESID(-1)^2 - GARCH(-1)) + C(10) *FNP
GARCH = Q + C(11) * (RESID(-1)^2 - Q(-1)) + C(12)*(GARCH(-1) - Q(-1)) + C(13)*FNP
Variable Coefficient Std. Error z-Statistic Prob.
C 0.072140 0.026782 2.693644 0.0071
FNP 0.000558 4.96E-05 11.25546 0.0000
VOL -7.70E-08 2.73E-07 -0.281772 0.7781
AR(1) 0.587697 0.194442 3.022475 0.0025 AR(2) -0.064934 0.032036 -2.026889 0.0427 MA(1) -0.594229 0.194174 -3.060283 0.0022 Variance Equation C(7) 2.773131 0.561860 4.935629 0.0000 C(8) 0.966671 0.016382 59.00653 0.0000 C(9) 0.019519 0.016769 1.163939 0.2444 C(10) -0.000254 8.80E-05 -2.887665 0.0039 C(11) 0.222479 0.055304 4.022839 0.0001 C(12) 0.523792 0.097899 5.350301 0.0000 C(13) 0.000286 0.000104 2.736321 0.0062 T-DIST. DOF 5.333999 0.865752 6.161119 0.0000
R-squared 0.049957 Mean dependent var 0.096230
Adjusted R-squared 0.040485 S.D. dependent var 1.533254 S.E. of regression 1.501897 Akaike info criterion 3.356781
Sum squared resid 2941.424 Schwarz criterion 3.411845
Log likelihood -2198.119 Hannan-Quinn criter. 3.377427
F-statistic 5.274539 Durbin-Watson stat 1.908400
Prob(F-statistic) 0.000000
Inverted AR Roots .44 .15 Inverted MA Roots .59
Lampiran 30 Model Component GARCH(1,1) Data Return Indeks Sektor Pertambangan
Dependent Variable: RTAMBANG
Method: ML - ARCH (Marquardt) - Normal distribution Date: 10/01/12 Time: 11:28
Sample (adjusted): 3 1320
Included observations: 1318 after adjustments Convergence achieved after 49 iterations MA Backcast: 2
Presample variance: backcast (parameter = 0.7)
Q = C(7) + C(8)*(Q(-1) - C(7)) + C(9)*(RESID(-1)^2 - GARCH(-1)) + C(10) *FNP
GARCH = Q + C(11) * (RESID(-1)^2 - Q(-1)) + C(12)*(GARCH(-1) - Q(-1)) + C(13)*FNP
Variable Coefficient Std. Error z-Statistic Prob.
C 0.043919 0.052032 0.844081 0.3986
FNP 0.000366 4.79E-05 7.646207 0.0000
VOL 6.49E-07 5.24E-07 1.237716 0.2158
AR(1) -0.778034 0.351030 -2.216432 0.0267 AR(2) 0.007469 0.028986 0.257677 0.7967 MA(1) 0.786555 0.349928 2.247766 0.0246 Variance Equation C(7) 10.56837 3.485207 3.032349 0.0024 C(8) 0.984854 0.005243 187.8337 0.0000 C(9) 0.108743 0.015477 7.026052 0.0000 C(10) -0.000387 5.53E-05 -6.999716 0.0000 C(11) 0.071648 0.024336 2.944093 0.0032 C(12) 0.690549 0.055804 12.37444 0.0000 C(13) 0.000423 8.39E-05 5.034101 0.0000
R-squared 0.032033 Mean dependent var 0.060834
Adjusted R-squared 0.023133 S.D. dependent var 2.614536 S.E. of regression 2.584119 Akaike info criterion 4.366556
Sum squared resid 8714.360 Schwarz criterion 4.417686
Log likelihood -2864.560 Hannan-Quinn criter. 4.385727
F-statistic 3.598917 Durbin-Watson stat 1.843733
Prob(F-statistic) 0.000026
Inverted AR Roots .01 -.79 Inverted MA Roots -.79
Lampiran 31 Correlogram Residual Model CGARCH(1,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Lampiran 32 Correlogram Residual Kuadrat Model CGARCH(1,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Lampiran 33 Uji ARCH-LM Model CGARCH(1,1) Data Return Indeks Harga Saham Gabungan (IHSG)
Heteroskedasticity Test: ARCH
F-statistic 0.070493 Prob. F(12,1292) 1.0000
Obs*R-squared 0.853869 Prob. Chi-Square(12) 1.0000
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 10/01/12 Time: 11:35 Sample (adjusted): 16 1320
Included observations: 1305 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.172206 0.202395 5.791663 0.0000 WGT_RESID^2(-1) -0.011601 0.027820 -0.416982 0.6768 WGT_RESID^2(-2) -0.005898 0.027822 -0.211987 0.8322 WGT_RESID^2(-3) -0.004805 0.027823 -0.172697 0.8629 WGT_RESID^2(-4) -0.007138 0.027821 -0.256567 0.7976 WGT_RESID^2(-5) -0.011797 0.027821 -0.424034 0.6716 WGT_RESID^2(-6) -0.008043 0.027822 -0.289086 0.7726 WGT_RESID^2(-7) -0.004087 0.027822 -0.146914 0.8832 WGT_RESID^2(-8) -0.007080 0.027824 -0.254458 0.7992 WGT_RESID^2(-9) -0.012483 0.027824 -0.448650 0.6538 WGT_RESID^2(-10) -0.000514 0.027817 -0.018478 0.9853 WGT_RESID^2(-11) -0.003254 0.027817 -0.116965 0.9069 WGT_RESID^2(-12) -0.003701 0.027816 -0.133046 0.8942
R-squared 0.000654 Mean dependent var 1.085020
Adjusted R-squared -0.008628 S.D. dependent var 6.136153 S.E. of regression 6.162566 Akaike info criterion 6.484775
Sum squared resid 49066.57 Schwarz criterion 6.536317
Log likelihood -4218.316 Hannan-Quinn criter. 6.504110
F-statistic 0.070493 Durbin-Watson stat 2.000071
Lampiran 34 Correlogram Residual Model CGARCH(1,1) Data Return Indeks Sektor Keuangan
Lampiran 35 Correlogram Residual Kuadrat Model CGARCH(1,1) Data Return Indeks Sektor Keuangan
Lampiran 36 Uji ARCH-LM Model CGARCH(1,1) Data Return Indeks Sektor Keuangan
Heteroskedasticity Test: ARCH
F-statistic 0.309581 Prob. F(12,1295) 0.9879
Obs*R-squared 3.741534 Prob. Chi-Square(12) 0.9877
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 10/01/12 Time: 11:38 Sample (adjusted): 13 1320
Included observations: 1308 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 1.196423 0.143498 8.337541 0.0000 WGT_RESID^2(-1) -0.027015 0.027785 -0.972293 0.3311 WGT_RESID^2(-2) -0.022232 0.027795 -0.799851 0.4239 WGT_RESID^2(-3) -0.008977 0.027799 -0.322928 0.7468 WGT_RESID^2(-4) -0.013314 0.027791 -0.479073 0.6320 WGT_RESID^2(-5) -0.015601 0.027791 -0.561381 0.5746 WGT_RESID^2(-6) 0.001311 0.027791 0.047183 0.9624 WGT_RESID^2(-7) -0.015340 0.027788 -0.552022 0.5810 WGT_RESID^2(-8) -0.010222 0.027791 -0.367830 0.7131 WGT_RESID^2(-9) -0.024071 0.027790 -0.866158 0.3866 WGT_RESID^2(-10) 0.013382 0.027798 0.481405 0.6303 WGT_RESID^2(-11) -0.005849 0.027793 -0.210458 0.8333 WGT_RESID^2(-12) -0.013681 0.027789 -0.492312 0.6226
R-squared 0.002860 Mean dependent var 1.048045
Adjusted R-squared -0.006379 S.D. dependent var 3.367813 S.E. of regression 3.378538 Akaike info criterion 5.282652
Sum squared resid 14781.80 Schwarz criterion 5.334098
Log likelihood -3441.855 Hannan-Quinn criter. 5.301949
F-statistic 0.309581 Durbin-Watson stat 2.000395
Lampiran 37 Correlogram Residual Model CGARCH(1,1) Data Return Indeks Sektor Industri Barang Konsumsi
Lampiran 38 Correlogram Residual Kuadrat Model CGARCH(1,1) Data Return Indeks Sektor Industri Barang Konsumsi
Lampiran 39 Uji ARCH-LM Model CGARCH(1,1) Data Return Indeks Sektor Industri Barang Konsumsi
Heteroskedasticity Test: ARCH
F-statistic 1.268633 Prob. F(12,1293) 0.2310
Obs*R-squared 15.19772 Prob. Chi-Square(12) 0.2308
Test Equation:
Dependent Variable: WGT_RESID^2 Method: Least Squares
Date: 10/01/12 Time: 11:42 Sample (adjusted): 15 1320
Included observations: 1306 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.963565 0.113823 8.465452 0.0000 WGT_RESID^2(-1) -0.033374 0.027820 -1.199663 0.2305 WGT_RESID^2(-2) 0.022398 0.027834 0.804697 0.4211 WGT_RESID^2(-3) 0.014681 0.027738 0.529263 0.5967 WGT_RESID^2(-4) 0.004082 0.027737 0.147153 0.8830 WGT_RESID^2(-5) -0.020304 0.027739 -0.731978 0.4643 WGT_RESID^2(-6) -0.029527 0.027745 -1.064245 0.2874 WGT_RESID^2(-7) -0.004714 0.027746 -0.169897 0.8651 WGT_RESID^2(-8) -0.002831 0.027745 -0.102027 0.9188 WGT_RESID^2(-9) -0.020707 0.027682 -0.748050 0.4546 WGT_RESID^2(-10) 0.085715 0.027685 3.096026 0.0020