ANALISIS PENGARUH BURSA EFEK LUAR NEGERI TERHADAP BURSA EFEK JAKARTA

Abstract

Crisis that happened in South-East Asia, in general happened at nations have capital market staying in condition expand (market emerging). State of Asia area also have infection effect (contangion effect) very high and in general have same characteristic, meanwhile crisis also cause some state do liberation for foreign investment boundary, one of them is Indonesia. This matter indication that theoretically Indonesia capital market very affect by capital market from other state, so that require to be done by verification empirically. As for target of this research is to analyse share price index influence from some capital market in the world to share price index in Stock Exchange Jakarta Furthermore based the existence of limitation former research which have been done in Indonesia like research of Yeni Muliati (2005) she use monthly share price index data from many stock exchanges during January period 1999 until June 2004, where alliance share price index data (composite) monthly closing have less of accuracy or accuration compared to alliance share price index data (composite) daily closing. Something else which is researcher wish to adding in this research that is researcher use predictor 11 foreign stocks market index by together to test its influence to BEJ in ARIMA model (1,0,1) (2,0,1) (1,0,2) (2,0,2), while at former research of Yeni Muliati (2005) testing one of one predictor 11 foreign stocks market index to BEJ only in ARIMA model (1,0,1). So that can be formulated by the following job hypothesis : Tokyo Stock Exchange (H1), New York Stock Exchange (H2), London Stock Exchange (H3), Australia Stock Exchange (H4), Kuala Lumpur Stock Exchange (H5), Phillipines Stock Exchange (H6), Taiwan Stock Exchange (H7), Stock Exchange Thailand (H8), Seoul Stock Exchange (H9) and Singapore Stock Exchange (H10) and also Hongkong Stock Exchange (H11) have influence to Effect Exchange Jakarta during time period January 2005 until May 2006. Result of this research express that is only share price index in Phillipines Stock Exchange (H6), and Stock Exchange Thailand (H8) obtained have an effect on direct with alliance share price index (IHSG) in BEJ, while Tokyo Stock Exchange (H1), New York Stock Exchange (H2), London Stock Exchange (H3), Australia Stock Exchange (H4), Kuala Lumpur Stock Exchange (H5), Taiwan Stock Exchange (H7), Seoul Stock Exchange (H9) and Singapore Stock Exchange (H10) and also Hongkong Stock Exchange (H11) obtained do not have an effect on direct with alliance share price index (IHSG) in BEJ. Krisis yang terjadi di Asia Tenggara, pada umumnya terjadi pada negara-negara memiliki pasar modal yang berada dalam kondisi berkembang (emerging market). Negara di kawasan Asia tersebut juga memiliki efek penularan (contangion effect) yang sangat tinggi dan secara umum memiliki karakteristik yang sama, sementara itu krisis juga menyebabkan beberapa negara melakukan pembebasan batas investasi asing, salah satunya adalah Indonesia. Hal ini mengindikasikan bahwa secara teoritis pasar modal Indonesia sangat terpengaruh oleh pasar modal di negara lain, sehingga perlu dilakukan pembuktian hal tersebut secara empiris. Adapun tujuan penelitian ini adalah untuk menganalisis pengaruh indeks harga saham dari beberapa pasar modal di dunia terhadap indeks harga saham di Bursa Efek Jakarta. Lebih lanjut dengan didasarkan adanya keterbatasan penelitian terdahulu yang telah dilakukan di Indonesia seperti penelitian Yeni Muliati (2005) dia menggunakan data indeks harga saham bulanan dari bursa efek-bursa efek yang diteliti selama periode Januari 1999 hingga Juni 2004, dimana data indeks harga saham gabungan (composite) penutupan bulanan yang kurang memiliki akurasi atau ketepatan dibandingkan dengan data indeks harga saham gabungan (composite) penutupan harian. Hal lain yang peneliti ingin tambahkan dalam penelitian ini yaitu peneliti menggunakan prediktor 11 indeks pasar saham asing secara bersama-sama untuk menguji pengaruhnya terhadap BEJ dalam model ARIMA model (1,0,1) (2,0,1) (1,0,2) (2,0,2), sedangkan pada penelitian terdahulu Yeni Muliati (2005) menguji satu per satu prediktor 11 indeks pasar saham asing terhadap BEJ hanya dalam model ARIMA (1,0,1). Sehingga dapat dirumuskan hipotesis kerja sebagai berikut : Tokyo Stock Exchange (H1), New York Stock Exchange (H2), London Stock Exchange (H3), Australia Stock Exchange (H4), Kuala Lumpur Stock Exchange (H5), Phillipines Stock Exchange (H6), Taiwan Stock Exchange (H7), Stock Exchange Thailand (H8), Seoul Stock Exchange (H9) dan Singapore Stock Exchange (H10) serta Hongkong Stock Exchange (H11) memiliki pengaruh terhadap Bursa Efek Jakarta selama periode waktu Januari 2005 hingga Mei 2006. Hasil penelitian ini menyatakan bahwa hanya indeks harga saham di Phillipines Stock Exchange (H6), dan Stock Exchange Thailand (H8) yang diperoleh berpengaruh langsung dengan indeks harga saham gabungan (IHSG) di BEJ, sedangkan Tokyo Stock Exchange (H1), New York Stock Exchange (H2), London Stock Exchange (H3), Australia Stock Exchange (H4), Kuala Lumpur Stock Exchange (H5), Taiwan Stock 6 Exchange (H7), Seoul Stock Exchange (H9) dan Singapore Stock Exchange (H10) serta Hongkong Stock Exchange (H11) diperoleh tidak berpengaruh langsung dengan indeks harga saham gabungan (IHSG) di BEJ.