LAPORAN HASIL
PENELITIAN DISERTASI DOKTOR
TAHUN ANGGARAN 2010
Judul : Analisis Pengaruh Kebebasan Ekonomi dan Variabel-variabel Ekonomi Moneter terhadap Harga Saham Di Lima Negara ASEAN
Peneliti : Dwi Wulandari S.E., M.M
Dibiayai Oleh Direktorat Jenderal Pendidikan Tinggi, Kementerian Pendidikan Nasional sesuai dengan Surat Perjanjian Penugasan Dalam Rangka Pelaksanaan
Penugasan Penelitian Disertasi Doktor Tahun Anggaran 2010 Nomor : 492/SP2H/PP/DP2M/VI/2010, tanggal 11 Juni 2010.
Universitas Brawijaya
Malang
2010
Ringkasan: Analisis Pengaruh Kebebasan Ekonomi Dan Variabel- Variabel Ekonomi Moneter Terhadap Harga Saham Di Lima
Negara Asean
Penelitian ini bertujuan untuk mengetahui bagaimanakah pengaruh kebebasan ekonomi dan variabel-variabel ekonomi moneter terhadap harga saham di lima negara ASEAN yaitu Indonesia, Malaysia, Thailand, Filipina dan Singapura. Karakteristik negara-negara ASEAN yang sangat berbeda dengan negara-negara maju, membuat pasar sahamnya juga mempunyai karakteristik yang juga sangat berbeda. Kebebasan ekonomi di negara-negara ini sangat bervariasi dimana Singapura termasuk dalam kategori “free”, Malaysia dan Thailand termasuk “moderately free” dan Indonesia dan Filipina termasuk “almost unfree”. Kebebasan ekonomi akan menentukan jumlah capital inflow dan outflow yang masuk ke suatu negara. Dari hasil analisis data ditemukan bahwa kelima negara ini memiliki perbedaan-perbedaan dalam variabel-variabel yang mempengaruhi harga sahamnya. Di Indonesia, harga sahamnya lebih dipengaruhi oleh harga saham masa lalu. Hal ini menunjukkan bahwa investor di Indonesia cenderung melakukan analisis teknikal dalam melihat harga saham serta cenderung berorientasi pada keuntungan jangka pendek. Di Malaysia, harga sahamnya sangat dipengaruhi oleh nilai tukar. Hal ini menunjukkan kuatnya campur tangan investor asing dalam mempengaruhi pergerakan pasar modal di Malaysia. Sedangkan di Thailand, harga saham lebih dipengaruhi oleh suku bunga. Ini menunjukkan kuatnya campur tangan pemerintah di pasar modal Thailand karena suku bunga merupakan salah satu instrumen dalam kebijakan moneter.
Di Filipina, harga saham dipengaruhi oleh suku bunga dan harga saham sebelumnya. Ini menunjukkan pengaruh pemerintah yang kuat di pasar modal dan investor yang melakukan investasi jangka pendek di pasar modal Filipina. Di Singapura, harga sahamnya dipengaruhi oleh inflasi. Ini menunjukkan bahwa investor Singapura sangat memperhatikan stabilitas makroekonomi Singapura sebelum melakukan investasi di pasar modal Singapura. Di Singapura, harga sahamnya juga dipengaruhi oleh harga saham periode sebelumnya, ini menunjukkan bahwa investor melakukan analisis teknikal terhadap pasar modal di Singapura. Dikaitkan dengan kebebasan ekonomi, dalam penelitian ini . Singapura yang kebebasan ekonominya paling tinggi, justru pasar modalnya tidak banyak dipengaruhi oleh persepsi investor asing. Malaysia yang kebebasan ekonominya sedang justru lebih banyak dipengaruhi oleh persepsi investor asing. Sedangkan untuk Thailand yang mempunyai kebebasan ekonomi moderat dan Filipina yang mempunyai kebebasan ekonomi rendah, pasar modalnya masih banyak dipengaruhi oleh kebijakan pemerintah. Indonesia menunjukkan bahwa variabel moneter maupun kebebasan ekonomi tidak berpengaruh pada pasar modalnya.
Kata Kunci: Harga Saham, inflasi, suku bunga, nilai tukar, jumlah uang beredar,
Summary: Analysis Of The Impact Of Economic Freedom And Monetary Variables To Stock Prices In Five ASEAN Countries
The purpose of this research is to understand the impact of economic freedom and monetary variables in five ASEAN countries namely Indonesia, Malaysia, Thailand, Philipinnes and Singapore. Different characteristics between ASEAN countries and developed countries have made different characterisctics of their stock markets. Economic freedom of these countries are varied. Singapore can be categorized as “free”, while Malaysia and Thailand are “moderately free” and Indonesia and Philipinne are “mostly unfree”. Economic freedom will determine capital inflow and capital outflow Data analysis shows that each country has a different variable affecting the stock price. In Indonesia, stock prices are affected by stock prices in the past. It shows that investors in Indonesia like to conduct technical analysis and look for short term gain. In Malaysia, stock prices are affected by exchange rate. It shows that foreign investors play a big role there. While in Thailand, stock prices are affected by interest rate. This indicates a big role of government in their stock market since interest rate is one of the instrument of monetary policy. In Philipinnes, stock prices are affected by interest rate and stock prices in the past. This indicates the role of government and investors who are also looking for short term gain. In Singapore, stock prices are affected by the inflation rate. This shows that investors care about Singapore’s macroeconomic condition before they invest in Singapore stock market. In Singapore, stock prices are also affected by stock prices in the past, shows that investors are likely to conduct technical analysis. Related to economic freedom, Singapore which has the highest economic freedom, the stock prices are not affected by the perception of foreign investors. Malaysia which is moderatly free are likely affected by the perception of foreign investors. Thailand and Philipinnes are still affected by their government policies and Indonesia are not affected by monetary variables and economic freedom
Key words: economic freedom, stock price, inflation, money supply, interest rate,
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