Statistik Deskriptif Indeks Harga Saham Gabungan IHSG dan Indeks Sektoral Harian, 2007-2012

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

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Review of Middle East Economics and Finance 42. 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: DRIHSG Method: Least Squares Date: 100112 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 TREND1 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 ProbF-statistic 0.000000 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: DRKEU Method: Least Squares Date: 090512 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 TREND1 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 ProbF-statistic 0.000000 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: DRKONSUMSI Method: Least Squares Date: 090512 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 TREND1 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 ProbF-statistic 0.000000 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: DRTAMBANG Method: Least Squares Date: 090512 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 TREND1 -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 ProbF-statistic 0.000000 Lampiran 5 Uji Stasioneritas Data Transaksi Asing BersihForeign 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: DFNP Method: Least Squares Date: 100112 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 TREND1 -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 ProbF-statistic 0.000000