Indeks Harga Saham Asia Tenggara dan Indeks Harga Saham Gabungan

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LAMPIRAN 1

Indeks Harga Saham Asia Tenggara dan

Indeks Harga Saham Gabungan

Tanggal

KLCI

STI

SET

PSE

VNE

JKSE

Malaysia Singapura Thailand

Filipina

Vietnam Indonesia

Jan-05

916.27 2,096.32

701.91 2,019.56

233.32 1,045.44

Apr-05

878.96 2,125.25

658.88 1,854.63

246.25 1,029.61

Jul-05

937.39 2,352.56

675.67 2,000.30

245.53 1,182.30

Okt-05

910.76 2,216.77

682.62 1,960.20

307.40 1,066.22

Jan-06

914.01 2,412.08

762.63 2,145.39

312.32 1,232.32

Apr-06

949.23 2,610.71

768.29 2,270.53

595.48 1,464.41

Jul-06

935.85 2,445.43

691.49 2,390.84

422.41 1,351.65

Okt-06

988.30 2,701.75

722.46 2,708.50

511.54 1,582.63

Jan-07

1,189.35

3,125.56

654.04 3,239.27

1041.33

1,757.26

Apr-07

1,322.25

3,361.29

699.16 3,270.73

923.89 1,999.17

Jul-07

1,373.71

3,547.66

859.76 3,501.20

907.95 2,348.67

Okt-07

1,413.65

3,805.70

907.28 3,758.97

1065.09

2,643.49

Jan-08

1,393.25

2,981.75

784.23 3,266.00

844.11 2,627.25

Apr-08

1,279.86

3,147.79

832.45 2,749.77

522.36 2,304.52

Jul-08

1,163.09

2,929.65

676.32 2,577.10

451.36 2,304.51

Okt-08

863.61 1,794.20

416.53 1,951.09

347.05 1,256.70

Jan-09

884.45 1,746.47

437.69 1,825.09

303.21 1,332.67

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Jul-09

1,174.90

2,659.20

624.00 2,798.33

466.76 2,323.24

Okt-09

1,243.23

2,651.13

685.24

2.908.50

587.12 2,367.70

Jan-10

1,259.16

2,745.35

696.55 2,953.19

481.96 2,610.80

Apr-10

1,346.38

2,974.61

763.51 3,290.09

542.37 2,971.25

Jul-10

1,360.92

2,987.70

855.83 3,426.95

493.91 3,069.28

Okt-10

1,505.66

3,142.62

984.46 4,268.74

452.63 3,635.32

Jan-11

1,519.94

3,179.72

964.10 3,881.47

510.60 3,409.17

Apr-11

1,534.95

3,172.73

1,093.56

4,319.51

480.08 3,819.62

Jul-11

1,548.81

3,189.26

1,133.53

4,503.63

405.70 4,130.80

Okt-11

1,491.89

2,855.77

974.75 4,333.72

420.81 3,790.85

Jan-12

1,521.29

2,906.69

1,083.97

4,682.44

387.97 3,941.69

Apr-12

1,570.61

2,978.57

1,228.49

5,202.70

473.77 4,180.73

Jul-12

1,631.60

3,036.40

1,199.30

5,307.66

414.48 4,142.34

Okt-12

1,673.07

3,038.37

1,298.87

5,424.51

388.42 4,350.29

Jan-13

1,627.55

3,282.66

1,474.20

6,242.74

479.79 4,453.70

Apr-13

1,717.65

3,368.18

1,597.86

7,070.99

474.51 5,034.07

Jul-13

1,772.62

3,221.93

1,423.14

6639.12

491.85 4,610.38

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LAMPIRAN 2

Uji Akar Unit Variabel Indeks Harga Saham Gabungan

(^JKSE)

Null Hypothesis: D(JKSE) has a unit root Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic based on SIC, MAXLAG=9)

t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.703751 0.0002 Test critical values: 1% level -4.252879

5% level -3.548490 10% level -3.207094 *MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation Dependent Variable: D(JKSE,2) Method: Least Squares

Date: 07/25/14 Time: 23:30 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments

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LAMPIRAN 3

Uji Akar Unit Variabel Indeks Kuala Lumpur Stock Exchange

(^KLCI)

Null Hypothesis: D(KLCI) has a unit root Exogenous: Constant, Linear Trend

Augmented Dickey-Fuller Test Equation Dependent Variable: D(KLCI,2)

Method: Least Squares Date: 07/25/14 Time: 23:33 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments

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LAMPIRAN 4

Uji Akar Unit Variabel Indeks Straits Times

(^STI)

Null Hypothesis: D(STI) has a unit root Exogenous: Constant, Linear Trend

Augmented Dickey-Fuller Test Equation Dependent Variable: D(STI,2)

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LAMPIRAN 5

Uji Akar Unit Variabel Indeks Philippine Stock Exchange

(^PSE)

Null Hypothesis: D(PSE) has a unit root Exogenous: Constant, Linear Trend

Augmented Dickey-Fuller Test Equation Dependent Variable: D(PSE,2)

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LAMPIRAN 6

Uji Akar Unit Variabel Indeks Stock Exchange of Thailand

(^SET)

Null Hypothesis: D(SET) has a unit root Exogenous: Constant, Linear Trend

Augmented Dickey-Fuller Test Equation Dependent Variable: D(SET,2)

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LAMPIRAN 7

Uji Akar Unit Variabel Indeks Vietnamese Stock Exchange

(^VN)

Null Hypothesis: D(VN) has a unit root Exogenous: Constant, Linear Trend

Augmented Dickey-Fuller Test Equation Dependent Variable: D(VN,2)

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Adjusted R-squared 0.681837 S.D. dependent var 201.9913 S.E. of regression 113.9352 Akaike info criterion 12.53809 Sum squared resid 272605.6 Schwarz criterion 12.91527 Log likelihood -173.8023 Hannan-Quinn criter. 12.65622 F-statistic 9.572155 Durbin-Watson stat 1.454960 Prob(F-statistic) 0.000025

LAMPIRAN 8

Lag Length

VAR Lag Order Selection Criteria

Endogenous variables: VN STI SET PSE KLCI JKSE Exogenous variables: C

Date: 06/03/14 Time: 18:12 Sample: 2005Q1 2013Q4 Included observations: 32

Lag LogL LR FPE AIC SC HQ

0 -1449.115 NA 1.26e+32 90.94471 91.21954 91.03581 1 -1331.595 183.6259 8.09e+29 85.84968 87.77346 86.48735 2 -1291.820 47.23294 8.25e+29 85.61373 89.18646 86.79799 3 -1205.652 70.01136 7.81e+28 82.47824 87.69993 84.20908 4 -1065.364 61.37607* 9.71e+26* 75.96023* 82.83087* 78.23766* * indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error

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LAMPIRAN 9

Uji Granger Causality antara Variabel JKSE dengan Variabel KLCI

Pairwise Granger Causality Tests Date: 07/25/14 Time: 23:42 Sample: 2005Q1 2013Q4 Lags: 4

Null Hypothesis: Obs F-Statistic Prob. KLCI does not Granger Cause JKSE 32 3.52051 0.0221 JKSE does not Granger Cause KLCI 2.26950 0.0928

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Uji Granger Causality antara Variabel JKSE dengan Variabel STI

Null Hypothesis: Obs F-Statistic Prob. JKSE does not Granger Cause STI 32 0.95669 0.4498 STI does not Granger Cause JKSE 2.72656 0.0542

LAMPIRAN 11

Uji Granger Causality antara Variabel JKSE dengan Variabel PSE

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Null Hypothesis: Obs F-Statistic Prob. JKSE does not Granger Cause PSE 32 2.24225 0.0958 PSE does not Granger Cause JKSE 4.43500 0.0084