ANALISIS PENGARUH KURS ¥/Rp, US $/Rp, £/Rp, TINGKAT SUKU BUNGA SBI DAN INFLASI TERHADAP IHSG (STUDI KASUS DI BEJ BULAN JANUARI 2001- DESEMBER 2005) - Unika Repository

  Perpustakaan Unika DATA VARIABEL – VARIABEL DALAM PENELITIAN BULAN JANUARI 2001- DESEMBER 2005

  ™ DATA KURS ¥/ Rp ™ Data US $/Rp ™ Data £/Rp ™ Data IHSG

  Perpustakaan Unika HASIL PENGUJIAN DATA normal:

  1. STATISTIK DESKRIPTIF

  2.UJI ASUMSI KLASIK :

• UJI NORMALITAS
• UJI MULTIKOLINIERITAS

  Perpustakaan Unika HASIL PENGUJIAN data setelah dilakukan perbaikan (Ln+sentral)

  1. STATISTIK DESKRIPTIF

  2.UJI ASUMSI KLASIK :

• UJI NORMALITAS
• UJI MULTIKOLINIERITAS
• UJI HETEROKEDASTISITAS

  Descriptives Descriptive Statistics

  60 69,27927 92,40152 80,54424 6,63880 60 8205,93617 11290,12227 9337,50883 760,61966 60 12847,52557 18504,57155 15323,27874 1596,86692 60 7,32000 17,61000 11,47638 3,77334 60 4,60000 18,38000 9,33333 3,35676 60 359,34885 1152,82300 649,88671 267,88239

  60 JP/Rp $/Rp

  ING/Rp Tingkat Suku Bunga Inflasi

  IHSG Valid N (listwise)

  N Minimum Maximum Mean Std. Deviation

  Keterangan : JP/Rp (¥/Rp), $/Rp (US $/Rp), ING/Rp (£/Rp)

  Perpustakaan Unika

  Perpustakaan Unika Regression Descriptive Statistics

  Mean Std. Deviation N

  IHSG 649,88671 267,88239

  60 JP/Rp 80,54424 6,63880

  60 $/Rp

  9337,50883 760,61966

  60 ING/Rp 15323,27874 1596,86692

  60 Tingkat Suku Bunga 11,47638 3,77334

  60 Inflasi 9,33333 3,35676

  60 Correlations

  Tingkat

  IHSG JP/Rp $/Rp

  ING/Rp Suku Bunga Inflasi Pearson Correlation

  IHSG 1,000 ,584 -,017 ,846 -,670 -,160 JP/Rp ,584 1,000 ,660 ,865 -,163 ,043

$/Rp -,017 ,660 1,000 ,369 ,559 ,616

  ING/Rp ,846 ,865 ,369 1,000 -,498 -,072 Tingkat Suku Bunga

• ,670 -,163 ,559 -,498 1,000 ,757

  Inflasi -,160 ,043 ,616 -,072 ,757 1,000

  Sig. (1-tailed)

  IHSG . ,000 ,448 ,000 ,000 ,111 JP/Rp ,000 . ,000 ,000 ,107 ,371

$/Rp ,448 ,000 . ,002 ,000 ,000

  ING/Rp ,000 ,000 ,002 . ,000 ,292

Tingkat Suku Bunga ,000 ,107 ,000 ,000 . ,000

Inflasi ,111 ,371 ,000 ,292 ,000 .

  N

  IHSG

  60

  60

  60

  60

  60

  60 JP/Rp

  60

  60

  60

  60

  60

  60 $/Rp

  60

  60

  60

  60

  60

  60 ING/Rp

  60

  60

  60

  60

  60

  60 Tingkat Suku Bunga

  60

  60

  60

  60

  60

  60 Inflasi

  60

  60

  60

  60

  60

  60 b Variables Entered/Removed

  Variables Variables Model Entered Removed Method

  1 Inflasi, JP/Rp, Tingkat Suku . Enter Bunga, $/Rp,

  a

  ING/Rp a. All requested variables entered.

  Perpustakaan Unika

  Coefficients

^a

  Keterangan : JP/Rp (¥/Rp), $/Rp (US $/Rp), ING/Rp (£/Rp)

  VIF Collinearity Statistics Dependent Variable: IHSG a.

  Tolerance

  Standardized Coefficients t Sig. Zero-order Partial Part Correlations

  1 B Std. Error Unstandardized Coefficients Beta

  ING/Rp Tingkat Suku Bunga Inflasi Model

  Predictors: (Constant), Inflasi, JP/Rp, Tingkat Suku Bunga, $/Rp, ING/Rp a. Dependent Variable: IHSG b.

  ANOVA b

  1 Sum of Squares df Mean Square F Sig.

  Model

  59 Regression Residual Total

  435653,3 54 8067,653 4233897

  a

  3798244 5 759648,817 94,160 ,000

• 219,558 182,085 -1,206 ,233 17,148 6,797 ,425 2,523 ,015 ,584 ,325 ,110 ,067 14,891
• ,218 ,051 -,618 -4,291 ,000 -,017 -,504 -,187 ,092 10,880 ,094 ,034 ,558 2,715 ,009 ,846 ,347 ,119 ,045 22
• 26,601 13,828 -,375 -1,924 ,060 -,670 -,253 -,084 ,050 19,910 41,956 8,774 ,526 4,782 ,000 -,160 ,545 ,209 ,158 6,344 (Constant) JP/Rp $/Rp

  4 ^{3 2 -2 1 -1 -3} Regression Standardized Residual ^{20 15 10 5} Fr e quenc y

  Mean = -6.55E-15 _{Std. Dev. = 0.957 N = 60} Dependent Variable: IHSG Histogram

  1.0 ^{0.8 0.6 0.4 0.2 0.0} Observed Cum Prob ^{1.0 0.8 0.6 0.4 0.2 0.0} E x p ecte d C u m Pro b Dependent Variable: IHSG Normal P-P Plot of Regression Standardized Residual

  2 ₁ dar d iz ed P redicted lue Dependent Variable: IHSG Scatterplot

  Perpustakaan Unika

  NPar Tests One-Sample Kolmogorov-Smirnov Test

  60 ,0000000

  85,92993639 ,108 ,108

• ,059

  ,835 ,488

  N Mean Std. Deviation

  Normal Parameters

  a,b

  Absolute Positive Negative

  Most Extreme Differences Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)

  Unstandardiz ed Residual Test distribution is Normal.

  a.

  Calculated from data.

  b.

  Perpustakaan Unika

  Descriptives Descriptive Statistics

  60 4,23815 4,52614 4,38547 ,08245 60 9,01261 9,33168 9,13864 ,07948 60 9,46091 9,82577 9,63187 ,10304 60 1,99061 2,86847 2,38684 ,32991 60 1,52606 2,91126 2,17379 ,34547 60 5,88429 7,04997 6,39774 ,39532

  60 Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi Ln IHSG Valid N (listwise)

  N Minimum Maximum Mean Std. Deviation

  Keterangan : Ln JP/Rp (¥/Rp), Ln $/Rp (US $/Rp), Ln ING/Rp (£/Rp)

  Perpustakaan Unika

• ,082 ,662 1,000 ,390 ,531 ,654 ,799 ,870 ,390 1,000 -,518 -,116
• ,733 -,202 ,531 -,518 1,000 ,817
• ,298 ,041 ,654 -,116 ,817 1,000 . ,000 ,266 ,000 ,000 ,010 ,000 . ,000 ,000 ,061 ,379 ,266 ,000 . ,001 ,000 ,000 ,000 ,000 ,001 . ,000 ,189 ,000 ,061 ,000 ,000 . ,000

  60

  60

  60

  60

  60

  60

  

60

  60

  60

  60

  60

  60

  

60

  60

  60

  60

  60 Ln IHSG Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi Ln IHSG Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi Ln IHSG Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi

  Pearson Correlation Sig. (1-tailed) N

Ln IHSG Ln JP/Rp Ln $/Rp Ln ING/Rp

  Ln Tingkat Suku Bunga Ln Inflasi Variables Entered/Removed b

  Ln Inflasi, Ln JP/Rp, Ln Tingkat Suku Bunga, Ln $/Rp, Ln

  ING/Rp

  a

  . Enter Model

  1 Variables Entered

  Variables Removed Method All requested variables entered.

  a.

  b.

  

60

  60

  Regression Descriptive Statistics

  60

  6,39774 ,39532

  60 4,38547 ,08245

  60 9,13864 ,07948

  60 9,63187 ,10304

  60 2,38684 ,32991

  60 2,17379 ,34547

  60 Ln IHSG Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi

  Mean Std. Deviation N

  Correlations 1,000 ,531 -,082 ,799 -,733 -,298 ,531 1,000 ,662 ,870 -,202 ,041

  ,010 ,379 ,000 ,189 ,000 .

  60

  

60

  60

  60

  60

  60

  60

  

60

  60

  60

  60

  60

  60

  

60

  60

  60

  Perpustakaan Unika

  Model Summary b

  1,088 54 ,020 9,220

  Keterangan : Ln JP/Rp (¥/Rp), Ln $/Rp (US $/Rp), Ln ING/Rp (£/Rp)

  10,342 5,709 1,812 ,076 _{2,002 ,812 ,418 2,467 ,017 ,531 ,318 ,115 ,076 13,117 -2,833 ,823 -,570 -3,442 ,001 -,082 -,424 -,161 ,080 12,529 1,402 ,854 ,366 1,642 ,106 ,799 ,218 ,077 ,044 22,684 -,859 ,285 -,717 -3,018 ,004 -,733 -,380 -,141 ,039 25,827 ,785 ,155 ,686 5,069 ,000 -,298 ,568 ,237 ,119 8,378} ^(Constant) _{Ln JP/Rp Ln $/Rp Ln ING/Rp Ln Tingkat Suku Bunga Ln Inflasi} ^{Model 1 B Std. Error Unstandardized Coefficients Beta Standardized Coefficients t Sig. Zero-order Partial Part Correlations Tolerance VIF Collinearity Statistics} _{Dependent Variable: Ln IHSG a.}

  ING/Rp a. Dependent Variable: Ln IHSG b. _{Coefficients a}

  Predictors: (Constant), Ln Inflasi, Ln JP/Rp, Ln Tingkat Suku Bunga, Ln $/Rp, Ln

  1 Sum of Squares df Mean Square F Sig.

  Model

  59 Regression Residual Total

  a

  ,939

  8,132 5 1,626 80,741 ,000

  ANOVA b

  Watson Predictors: (Constant), Ln Inflasi, Ln JP/Rp, Ln Tingkat Suku Bunga, Ln $/Rp, Ln ING/Rp a. Dependent Variable: Ln IHSG b.

  Estimate Durbin-

  R Square Std. Error of the

  1 R R Square Adjusted

  ,882 ,871 ,14193103573 ,502 Model

  a

  Perpustakaan Unika

  Perpustakaan Unika Histogram _{10 8} Dependent Variable: Ln IHSG ncy ⁶ eque

  Fr _{2 4 Std. Dev. = 0.957 Mean = 4.48E-14 N = 60}

• 4 -2
^{2 4} Regression Standardized Residual Normal P-P Plot of Regression Standardized Residual _{0.8 1.0} Dependent Variable: Ln IHSG b Pro _0.6 m u C d _0.4 ecte p x E _{0.0 0.2 0.0 0.2 0.4 0.6 0.8 1.0} Observed Cum Prob

  Scatterplot ₂ Dependent Variable: Ln IHSG d e ict red ¹ P ized rd

  NPar Tests One-Sample Kolmogorov-Smirnov Test

  60 ,0000000

  ,13578389 ,065 ,065

• ,047

  ,504 ,961

  N Mean Std. Deviation

  Normal Parameters

  a,b

  Absolute Positive Negative

  Most Extreme Differences Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)

  Unstandardiz ed Residual Test distribution is Normal.

  a.

  Calculated from data.

  b.

  Perpustakaan Unika

  Descriptives Descriptive Statistics

  60 -,65223 ,51345 -,01795 ,38886 60 -,19304 ,20467 ,00620 ,08639 60 -,19390 ,17096 -,00080 ,10279 60 359,34885 1152,82300 649,88671 267,88239 60 -6,13362 4,15638 ,23435 3,68867 60 -9,04667 4,73333 ,16433 3,31534

  60 CJP/Rp C$/Rp CING/Rp

  IHSG CSB CINF Valid N (listwise)

  N Minimum Maximum Mean Std. Deviation

  Keterangan : ¾ C adalah Data Sentral ¾ C JP/Rp (¥/Rp), C $/Rp (US $/Rp), C ING/Rp (£/Rp)

  Perpustakaan Unika

  Perpustakaan Unika Regression Descriptive Statistics

  Mean Std. Deviation N

  IHSG 649,88671 267,88239

  60 CJP/Rp -,01795 ,38886

  60 C$/Rp ,00620 ,08639

  60 CING/Rp

• ,00080 ,10279

  60 CSB ,23435 3,68867

  60 CINF ,16433 3,31534

  60 Correlations

  IHSG CJP/Rp C$/Rp CING/Rp CSB CINF Pearson Correlation

  IHSG 1,000 -,971 -,056 -,831 ,638 ,131

  CJP/Rp

• ,971 1,000 -,098 ,770 -,722 -,221 C$/Rp
• ,056 -,098 1,000 ,435 ,551 ,608 CING/Rp -,831 ,770 ,435 1,000 -,449 -,030 CSB ,638 -,722 ,551 -,449 1,000 ,753 CINF ,131 -,221 ,608 -,030 ,753 1,000

  Sig. (1-tailed)

  IHSG . ,000 ,336 ,000 ,000 ,160

  CJP/Rp ,000 . ,227 ,000 ,000 ,045

  C$/Rp ,336 ,227 . ,000 ,000 ,000

  CING/Rp ,000 ,000 ,000 . ,000 ,409 CSB ,000 ,000 ,000 ,000 . ,000 CINF ,160 ,045 ,000 ,409 ,000 . N

  IHSG

  60

  60

  60

  60

  60

  60 CJP/Rp

  60

  60

  60

  60

  60

  60 C$/Rp

  60

  60

  60

  60

  60

  60 CING/Rp

  60

  60

  60

  60

  60

  60 CSB

  60

  60

  60

  60

  60

  60 CINF

  60

  60

  60

  60

  60

  60

  b Variables Entered/Removed

  Variables Variables Model Entered Removed Method

  1 CINF, CING/Rp, C$/Rp, . Enter CJP/Rp,

  a

  CSB a. All requested variables entered.

  b.

  Dependent Variable: IHSG

  Perpustakaan Unika b Model Summary

  Adjusted Std. Error of Durbin- Model R R Square R Square the Estimate Watson

  a

  1 ,983 ,966 ,963 51,29207 1,749 a.

  Predictors: (Constant), CINF, CING/Rp, C$/Rp, CJP/Rp, CSB b. Dependent Variable: IHSG

  b ANOVA

  Sum of Model Squares df Mean Square F Sig.

  a

  1 Regression 4091830 5 818366,005 311,062 ,000

  Residual 142067,3 54 2630,877

  Total 4233897

  59 a. Predictors: (Constant), CINF, CING/Rp, C$/Rp, CJP/Rp, CSB b. Dependent Variable: IHSG _a

  Coefficients Unstandardized Standardized Coefficients Coefficients Correlations Collinearity Statistics

  Model B Std. Error Beta t Sig. Zero-order Partial Part Tolerance

  VIF 1 (Constant) 640,742 6,648 96,378 ,000 CJP/Rp -646,155 46,942 -,938 -13,765 ,000 -,971 -,882 -,343 ,134 7,472 C$/Rp -605,064 268,404 -,195 -2,254 ,028 -,056 -,293 -,056 ,183 1,704 CING/Rp 65,111 260,148 ,025 ,250 ,803 -,831 ,034 ,006 ,162 1,613 CSB 8,097 7,725 ,111 1,048 ,299 ,638 ,141 ,026 ,155 1,818 CINF

• 3,351 4,369 -,041 -,767 ,446 ,131 -,104 -,019 ,213 4,706 a.

  Dependent Variable: IHSG Keterangan :

  ¾ C adalah Data Sentral ¾ C JP/Rp (¥/Rp), C $/Rp (US $/Rp), C ING/Rp (£/Rp)

  Perpustakaan Unika Histogram _{15 20} Dependent Variable: IHSG y nc ue q ₁₀ Fre _{5 Std. Dev. = 0.957 N = 60 Mean = 7.39E-16}

• 4 -3 -2 -1
^{1 2} Regression Standardized Residual Normal P-P Plot of Regression Standardized Residual _{0.8 1.0} Dependent Variable: IHSG rob _0.6 um P _0.4 pected C x E _{0.0 0.2 0.0 0.2 0.4 0.6 0.8 1.0} Observed Cum Prob

  Scatterplot ₂ Dependent Variable: IHSG ted edic Pr ¹

  NPar Tests One-Sample Kolmogorov-Smirnov Test

  60 ,0000000

  49,07057287 ,143 ,104

• ,143 1,108

  ,172 N

  Mean Std. Deviation

  Normal Parameters

  a,b

  Absolute Positive Negative

  Most Extreme Differences Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed)

  Unstandardiz ed Residual Test distribution is Normal.

  a.

  Calculated from data.

  b.

  Perpustakaan Unika