Peranan Pasar Modal terhadap Perekonomian Indonesia.

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Kegiatan penelitian ini merupakan kegiatan penelitian kerja sama antara Bursa

Efek Jakarta dengan Fakultas Ekonomi Unpad dengan judul “Kontribusi/Peranan

Pasar Modal Terhadap Perekonomian Indonesia” yang dilakukan bertujuan untuk

mengetahui peran pasar modal didalam mendorong perekonomian Indonesia

selama periode 1996 hingga 2006 dalam bentuk data kwartalan.

Penelitian ini melibatkan seluruh emiten dari berbagai sektor yang terdapat dalam

bursa efek Jakarta. Dari hasil penelitian ini diharapkan dapat berguna bagi Bursa

Efek Jakarta Khususnya di dalam mendorong perannya di dalam mendorong

sektor riil dan keuangan sehingga memacu pertumbuhan ekonomi. Bagi Fakultas

Ekonomi Unpad, penelitian ini merupakan wahana untuk melakukan studi empiris

mengenai pasar modal dalam kaitannya dengan sektor riil.

Bandung, 31 Desember 2006

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$ !#

Null Hypothesis: D(IHSG) has a unit root Exogenous: Constant

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

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -4.619965 0.0006

Test critical values: 1% level -3.605593

5% level -2.936942

10% level -2.606857

*MacKinnon (1996) one-sided p-values.

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

Method: Least Squares Date: 07/11/05 Time: 08:55

Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(IHSG(-1)) -0.744702 0.161192 -4.619965 0.0000

C 14.91787 12.74064 1.170889 0.2489

R-squared 0.359666 Mean dependent var 2.402414

Adjusted R-squared 0.342816 S.D. dependent var 97.12509

S.E. of regression 78.73631 Akaike info criterion 11.61879

Sum squared resid 235577.5 Schwarz criterion 11.70324

Log likelihood -230.3759 F-statistic 21.34407

Durbin-Watson stat 1.924761 Prob(F-statistic) 0.000043

Null Hypothesis: D(GDPRIIL) has a unit root Exogenous: Constant

t-Statistic Prob.*

(43)

5% level -2.936942

10% level -2.606857

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

Date: 07/11/05 Time: 08:57

D(GDPRIIL(-1)) -1.126705 0.161016 -6.997454 0.0000

C 51.30244 25.13159 2.041352 0.0482

Null Hypothesis: D(TK_BUNGA) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.935001

10% level -2.605836

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

Date: 07/11/05 Time: 08:58

(44)

Included observations: 41 after adjustments

D(TK_BUNGA(-1)) -0.845391 0.158249 -5.342164 0.0000

C -0.061211 1.240365 -0.049349 0.9609

R-squared 0.422553 Mean dependent var -0.030488

Null Hypothesis: D(M1) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.935001

10% level -2.605836

Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1,2)

D(M1(-1)) -1.266269 0.158288 -7.999756 0.0000

C 8455.723 1853.407 4.562260 0.0000

Sum squared resid 3.88E+09 Schwarz criterion 21.38501

(45)

Null Hypothesis: D(KURS) has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.935001

10% level -2.605836

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

Date: 07/11/05 Time: 09:00

D(KURS(-1)) -0.920244 0.159613 -5.765470 0.0000

C 152.4068 197.8792 0.770201 0.4458

Sum squared resid 61498535 Schwarz criterion 17.23998

Null Hypothesis: D(IHK) has a unit root Exogenous: Constant

t-Statistic Prob.*

(46)

10% level -2.606857

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

D(IHK(-1)) -0.558974 0.144241 -3.875278 0.0004

C 1.825041 0.707138 2.580886 0.0138

Null Hypothesis: ROE has a unit root Exogenous: Constant

t-Statistic Prob.*

5% level -2.935001

10% level -2.605836

Augmented Dickey-Fuller Test Equation Dependent Variable: D(ROE)

(47)

ROE(-1) -0.636384 0.149192 -4.265538 0.0001

C 8.262732 11.45381 0.721396 0.4750

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Dependent Variable: D(RESID01) Method: Least Squares

Date: 07/11/05 Time: 07:16

RESID01(-1) -1.109525 0.163667 -6.779155 0.0000

S.E. of regression 0.052176 Akaike info criterion -3.040988

Sum squared resid 0.095283 Schwarz criterion -2.997001

Log likelihood 55.73778 Durbin-Watson stat 1.909334

Uji Kointegrasi Model Perekonomian Nasional dengan IHSG

Date: 07/11/05 Time: 07:18

(48)

RESID02(-1) -0.837840 0.171912 -4.873654 0.0000

Uji Kointegrasi Model Kinerja Pasar Modal IHSG

Date: 07/11/05 Time: 07:20

RESID03(-1) -0.743745 0.160365 -4.637825 0.0000

Uji Kointegrasi Model Kinerja Pasar Modal ROE

Date: 07/11/05 Time: 07:21

(49)

RESID04(-1) -0.920762 0.167294 -5.503847 0.0000

Log likelihood -197.5181 Durbin-Watson stat 1.961045

III. Hasil Regresi

Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:43

Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS

C 2.372050 0.907135 2.614880 0.0134

LOG(IHSG) 0.067303 0.032112 2.095902 0.0438

LOG(M1) 0.532585 0.086246 6.175161 0.0000

LOG(KURSREAL) -0.042464 0.016010 -2.652332 0.0122

IHK(-1) -0.003840 0.001102 -3.485180 0.0014

TK_BUNGA -0.004303 0.001217 -3.535090 0.0012

DKRISIS 0.011414 0.047780 0.238884 0.8127

S.E. of regression 0.053848 Sum squared resid 0.095687

F-statistic 47.66732 Durbin-Watson stat 1.604157

Prob(F-statistic) 0.000000

Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 00:18

(50)

Convergence achieved after 9 iterations

Lagged dependent variable & regressors added to instrument list

C 4.579600 1.296383 3.532598 0.0014

ROE(-1) 0.000841 0.000349 2.411523 0.0222

LOG(M1) 0.438906 0.110756 3.962809 0.0004

LOG(KURSREAL) -0.105255 0.028684 -3.669419 0.0009

IHK(-1) -0.002743 0.001271 -2.156992 0.0391

TK_BUNGA -0.011743 0.003143 -3.736635 0.0008

DKRISIS 0.094757 0.072479 1.307371 0.2010

AR(1) -0.070689 0.185961 -0.380128 0.7065

Inverted AR Roots -.07

Dependent Variable: LOG(IHSG) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:34

Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 12 iterations

White Heteroskedasticity-Consistent Standard Errors & Covariance Instrument list: C LOG(M1) LOG(KURSREAL) TK_BUNGA

INDXMANUFAK IHK(-1) INDXFINANCE INDXMANUFAK DKRISIS

C 1.696735 1.578434 1.074949 0.2913

LOG(GDPRIIL) 0.475252 0.204609 2.322733 0.0274

LOG(KURSREAL) -0.013931 0.014027 -0.993130 0.3289

(51)

IHK(-1) -0.001181 0.000677 -1.744078 0.0917

DKRISIS -0.001462 0.022289 -0.065610 0.9481

INDXMANUFAK 0.007164 0.000942 7.603174 0.0000

INDXFINANCE 0.001950 0.000372 5.248367 0.0000

AR(1) 0.670511 0.171053 3.919893 0.0005

Inverted AR Roots .67

Dependent Variable: ROE

Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:45

Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 52 iterations

C -5399.498 1567.356 -3.444973 0.0018

LOG(GDPRIIL(-1)) 660.3122 197.8929 3.336715 0.0023

LOG(KURSREAL) 26.28170 30.44928 0.863131 0.3951

TK_BUNGA 3.786992 2.036865 1.859225 0.0732

IHK(-1) -3.185009 1.049592 -3.034520 0.0050

DKRISIS -85.18398 74.17796 -1.148373 0.2602

INDXMANUFAK 1.368890 0.777025 1.761708 0.0887

INDXFINANCE -1.203396 0.679288 -1.771554 0.0870

AR(1) 0.243243 0.234550 1.037061 0.3083

(52)