Indeks Harga Saham Asia Tenggara dan Indeks Harga Saham Gabungan

  

LAMPIRAN 1

Indeks Harga Saham Asia Tenggara dan

Indeks Harga Saham Gabungan

VNE JKSE Malaysia Singapura Thailand Filipina Vietnam Indonesia Jan-05

Apr-05

Jul-05

Okt-05

Jan-06

Apr-06

Jul-06

Okt-06

Jan-07

Apr-07

Jul-07

Okt-07

Jan-08

Apr-08

Jul-08

Okt-08

  990.74 1,920.28 491.69 2,103.50 321.63 1,722.77

  884.45 1,746.47 437.69 1,825.09 303.21 1,332.67 Apr-09

  Tanggal KLCI STI SET PSE

  935.85 2,445.43 691.49 2,390.84 422.41 1,351.65

  916.27 2,096.32 701.91 2,019.56 233.32 1,045.44

  878.96 2,125.25 658.88 1,854.63 246.25 1,029.61

  937.39 2,352.56 675.67 2,000.30 245.53 1,182.30

  910.76 2,216.77 682.62 1,960.20 307.40 1,066.22

  914.01 2,412.08 762.63 2,145.39 312.32 1,232.32

  949.23 2,610.71 768.29 2,270.53 595.48 1,464.41

  988.30 2,701.75 722.46 2,708.50 511.54 1,582.63

  863.61 1,794.20 416.53 1,951.09 347.05 1,256.70

  1,189.35 3,125.56 654.04 3,239.27 1041.33 1,757.26

  1,322.25 3,361.29 699.16 3,270.73 923.89 1,999.17

  1,373.71 3,547.66 859.76 3,501.20 907.95 2,348.67

  1,413.65 3,805.70 907.28 3,758.97 1065.09 2,643.49

  1,393.25 2,981.75 784.23 3,266.00 844.11 2,627.25

  1,279.86 3,147.79 832.45 2,749.77 522.36 2,304.52

  1,163.09 2,929.65 676.32 2,577.10 451.36 2,304.51

Jan-09

  1,174.90 2,659.20 624.00 2,798.33 466.76 2,323.24

Jul-09

  1,243.23 2,651.13 685.24 2.908.50 587.12 2,367.70

Okt-09

  1,259.16 2,745.35 696.55 2,953.19 481.96 2,610.80

Jan-10

  1,346.38 2,974.61 763.51 3,290.09 542.37 2,971.25

Apr-10

  1,360.92 2,987.70 855.83 3,426.95 493.91 3,069.28

Jul-10

  1,505.66 3,142.62 984.46 4,268.74 452.63 3,635.32

Okt-10

  1,519.94 3,179.72 964.10 3,881.47 510.60 3,409.17

Jan-11

  1,534.95 3,172.73 1,093.56 4,319.51 480.08 3,819.62

Apr-11

  1,548.81 3,189.26 1,133.53 4,503.63 405.70 4,130.80

Jul-11

  1,491.89 2,855.77 974.75 4,333.72 420.81 3,790.85

Okt-11

  1,521.29 2,906.69 1,083.97 4,682.44 387.97 3,941.69

Jan-12

Apr-12

Jul-12

  1,673.07 3,038.37 1,298.87 5,424.51 388.42 4,350.29

  1,631.60 3,036.40 1,199.30 5,307.66 414.48 4,142.34

  1,570.61 2,978.57 1,228.49 5,202.70 473.77 4,180.73

Okt-12

  1,627.55 3,282.66 1,474.20 6,242.74 479.79 4,453.70

Jan-13

  1,772.62 3,221.93 1,423.14 6639.12 491.85 4,610.38 Okt-13

  1,717.65 3,368.18 1,597.86 7,070.99 474.51 5,034.07

Apr-13

Jul-13

  1,806.85 3,210.67 1,442.88 6585.38 497.41 4,510.63

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 Variable Coefficient Std. Error t-Statistic Prob.

  D(JKSE(-1)) -1.029591 0.180511 -5.703751 0.0000 C 102.2616 122.9460 0.831760 0.4119

  @TREND(2005Q1) 0.174272 5.847731 0.029802 0.9764 R-squared 0.512696 Mean dependent var -2.468235 Adjusted R-squared 0.481257 S.D. dependent var 463.7469 S.E. of regression 334.0083 Akaike info criterion 14.54431 Sum squared resid 3458408. Schwarz criterion 14.67898 Log likelihood -244.2532 Hannan-Quinn criter. 14.59024 F-statistic 16.30764 Durbin-Watson stat 1.980229 Prob(F-statistic) 0.000014

LAMPIRAN 3 Uji Akar Unit Variabel Indeks Kuala Lumpur Stock Exchange (^KLCI)

  Null Hypothesis: D(KLCI) 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 -3.664007 0.0390 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(KLCI,2) Method: Least Squares Date: 07/25/14 Time: 23:33 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(KLCI(-1)) -0.598892 0.163453 -3.664007 0.0009 C 14.90780 31.19390 0.477908 0.6361

  @TREND(2005Q1) 0.123268 1.490717 0.082690 0.9346 R-squared 0.302786 Mean dependent var 2.104118 Adjusted R-squared 0.257804 S.D. dependent var 98.70458 S.E. of regression 85.03478 Akaike info criterion 11.80810 Sum squared resid 224158.3 Schwarz criterion 11.94277 Log likelihood -197.7376 Hannan-Quinn criter. 11.85402 F-statistic 6.731324 Durbin-Watson stat 1.919770 Prob(F-statistic) 0.003734

LAMPIRAN 4 Uji Akar Unit Variabel Indeks Straits Times (^STI)

  Null Hypothesis: D(STI) 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 -5.218326 0.0009 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(STI,2) Method: Least Squares Date: 07/25/14 Time: 23:34 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(STI(-1)) -0.935118 0.179199 -5.218326 0.0000 C 64.15731 122.4120 0.524110 0.6039

  @TREND(2005Q1) -1.858442 5.827405 -0.318914 0.7519 R-squared 0.467653 Mean dependent var -1.182059 Adjusted R-squared 0.433308 S.D. dependent var 442.2117 S.E. of regression 332.8922 Akaike info criterion 14.53761 Sum squared resid 3435334. Schwarz criterion 14.67229 Log likelihood -244.1394 Hannan-Quinn criter. 14.58354 F-statistic 13.61636 Durbin-Watson stat 1.982246 Prob(F-statistic) 0.000057

LAMPIRAN 5 Uji Akar Unit Variabel Indeks Philippine Stock Exchange (^PSE)

  Null Hypothesis: D(PSE) 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 -4.967715 0.0016 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(PSE,2) Method: Least Squares Date: 07/25/14 Time: 23:35 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(PSE(-1)) -0.894305 0.180023 -4.967715 0.0000 C 27.22749 139.3204 0.195431 0.8463

  @TREND(2005Q1) 5.273056 6.833969 0.771595 0.4462 R-squared 0.444713 Mean dependent var 3.270294 Adjusted R-squared 0.408888 S.D. dependent var 494.7485 S.E. of regression 380.3816 Akaike info criterion 14.80432 Sum squared resid 4485396. Schwarz criterion 14.93900 Log likelihood -248.6735 Hannan-Quinn criter. 14.85025 F-statistic 12.41347 Durbin-Watson stat 1.958336 Prob(F-statistic) 0.000110

LAMPIRAN 6 Uji Akar Unit Variabel Indeks Stock Exchange of Thailand (^SET)

  Null Hypothesis: D(SET) 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 -9.641249 0.0000 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(SET,2) Method: Least Squares Date: 07/25/14 Time: 23:37 Sample (adjusted): 2005Q3 2013Q4 Included observations: 34 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(SET(-1)) -1.499810 0.155562 -9.641249 0.0000 C 507.2624 4977.828 0.101904 0.9195

  @TREND(2005Q1) -25.60007 237.7158 -0.107692 0.9149 R-squared 0.749907 Mean dependent var 1.846176 Adjusted R-squared 0.733772 S.D. dependent var 26353.86 S.E. of regression 13597.89 Akaike info criterion 21.95731 Sum squared resid

  5.73E+09 Schwarz criterion 22.09199 Log likelihood -370.2743 Hannan-Quinn criter. 22.00324 F-statistic 46.47684 Durbin-Watson stat 2.334014 Prob(F-statistic) 0.000000

LAMPIRAN 7 Uji Akar Unit Variabel Indeks Vietnamese Stock Exchange (^VN)

  Null Hypothesis: D(VN) has a unit root Exogenous: Constant, Linear Trend Lag Length: 5 (Automatic based on SIC, MAXLAG=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -3.758021 0.0341 Test critical values: 1% level -4.309824

  5% level -3.574244 10% level -3.221728 *MacKinnon (1996) one-sided p-values.

  Augmented Dickey-Fuller Test Equation Dependent Variable: D(VN,2) Method: Least Squares Date: 07/25/14 Time: 23:38 Sample (adjusted): 2006Q4 2013Q4 Included observations: 29 after adjustments Variable Coefficient Std. Error t-Statistic Prob.

  D(VN(-1)) -1.420266 0.377929 -3.758021 0.0012 D(VN(-1),2) 0.559694 0.324107 1.726879 0.0989 D(VN(-2),2) 0.341549 0.290171 1.177061 0.2523 D(VN(-3),2) 0.902618 0.270107 3.341709 0.0031 D(VN(-4),2) 0.543314 0.226127 2.402695 0.0256 D(VN(-5),2) 0.373056 0.166431 2.241502 0.0359

  C 67.61752 60.22758 1.122700 0.2742 @TREND(2005Q1) -2.895101 2.655278 -1.090319 0.2879

  R-squared 0.761377 Mean dependent var 6.159655

  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

• 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 AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion

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

  LAMPIRAN 10

Uji Granger Causality antara Variabel JKSE dengan Variabel STI

  Pairwise Granger Causality Tests Date: 07/25/14 Time: 23:43 Sample: 2005Q1 2013Q4 Lags: 4 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

  Pairwise Granger Causality Tests Date: 07/25/14 Time: 23:45 Sample: 2005Q1 2013Q4 Lags: 4

  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

LAMPIRAN 12 Uji Granger Causality antara Variabel JKSE dengan Variabel SET

  Pairwise Granger Causality Tests Date: 07/25/14 Time: 23:46 Sample: 2005Q1 2013Q4 Lags: 4 Null Hypothesis: Obs F-Statistic Prob.

  JKSE does not Granger Cause SET 32 7.28201 0.0006 SET does not Granger Cause JKSE 0.16339 0.9548