ADLN - PERPUSTAKAAN UNIVERSITAS AIRLANGGA

ADLN - PERPUSTAKAAN UNIVERSITAS AIRLANGGA

PENGARUH VARIABEL MAKROEKONOMI TERHADAP PASAR MODAL DI NEGARA MAJU DAN NEGARA BERKEMBANG : STUDI KASUS DI INDONESIA, MALAYSIA, FILIPINA, JEPANG, INGGRIS, DAN AMERIKA SERIKAT

DIAJUKAN UNTUK MEMENUHI SEBAGIAN PERSYARATAN DALAM MEMPEROLEH GELAR SARJANA EKONOMI DEPARTEMEN ILMU EKONOMI DEPARTEMEN ILMU EKONOMI PROGRAM STUDI EKONOMI PEMBANGUNAN

DIAJUKAN OLEH RIKI HARYANTO NIM : 040911099 FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS AIRLANGGA SURABAYA 2016

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PENGARUH VARIABEL MAKROEKONOMI...

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KATA PENGANTAR

Assalamu’alaikum warahmatullahi wabarakatuh Puji syukur kehadirat Allah SWT atas limpahan rahmat dan hidayah-Nya sehingga penulis dapat menyelesaikan skripsi yang berjudul “Pegaruh Variabel Makroekonomi terhadap Pasar Modal di Negara Maju dan Negara Berkembang : Studi Kasus di Indonesia, Malaysia, Filipina, Jepang, Inggris, dan Amerika Serikat” Skripsi ini disusun sebagai bagian dari persyaratan dalam memperoleh gelar Sarjana Ekonomi Departemen Ilmu Ekonomi Program Studi Ekonomi Pembangunan Fakultas Ekonomi dan Bisnis Universitas Airlangga Surabaya. Selama proses penyusunan skripsi ini, penulis mendapat bimbingan, arahan, serta dukungan dari berbagai pihak. Oleh karena itu, pada kesempatan ini penulis mengucapkan terima kasih yang sebesar-besarnya atas segala dukungan dan juga bimbingan yang telah diberikan hingga tersusunnya skripsi ini kepada: 1. Orang Tua Penulis, Bapak Miyanto dan Ibu Kartini tercinta atas segala cinta, kasih sayang doa, dukungan lahir batin, dan materi yang tak mungkin terbalaskan. 2. Kakak-kakak penulis, mbak Hana dan mbak Vany terima kasih atas segala dukungan baik materi maupun non materi.

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3. Dr. Muryani, SE.,M.Si.,MEMD. selaku Ketua Departeman Ilmu Ekonomi Fakultas Ekonomi dan Bisnis Unversitas Airlangga. 4. Dr. Wisnu Wibowo, SE., M.Si. selaku dosen pembimbing yang telah bersedia meluangkan waktu dan pikiran serta selalu sabar untuk membimbing penulis. 5. Seluruh dosen Program Studi Ekonomi Pembangunan Universitas Airlangga, semoga ilmu yang sudah diberikan dapat memberikan manfaat dan barokah. 6. Sahabat-sahabat terbaik penulis, Yuspian, Arwan Wira, Danny Reza Margaputra, terima kasih atas kebaikan dan kesetiakawanan yang diberikan kepada penulis. 7. Rekan-rekan The Ten Brothers (Mirshal, Fuad, Bay, Alvin, Denny) terima kasih selalu menanyakan skripsi kepada penulis selama ngopi hore. 8. Pressyana Putri Yulieta, terima kasih selalu menemani dan mengganggu penulis selama proses pengerjaan skripsi di ruang baca, terima kasih juga atas dukungan yang telah diberikan. 9. Saudara Fahmi Imaduddin dan ajiz, terima kasih atas kesediaannya menemani penulis ngopi walaupun yang dipesan adalah es. 10. Mbak Nuning, Mas Ivan, selaku staf Departemen Ilmu Ekonomi. Terima kasih atas segala bantuan, arahan, dan kesabaran yang diberikan pada penulis selama ini. 11. Staf Ruang Baca: Mbak Lasmi dan Mas Andik, mas Pras, Pak Munir, terima kasih atas keramahan dan keakraban yang telah diberikan pada penulis.

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12. Adi Winarko, Rizky, Rendi, Yogi, Bram, Robby, Reinaz, Handi, Imam, Irsyad, Tejo, Farid serta teman-teman lain yang tidak bisa penulis sebutkan satu-persatu. Terima kasih atas segala kebersamaan dan bantuan, baik selama kuliah maupun dalam penulisan skripsi ini. 13. Para penggerak Sebung Surabaya, terima kasih sudah mengajak penulis untuk selalu berbagi, senantiasa menghibur penulis setiap jumat malam. dan masih banyak lagi teman-teman yang telah memberikan semangat positif pada penulis. Semoga Allah selalu memberikan kelancaran dan kesuksesan bagi kita semua. Penulis menyadari bahwa skripsi ini masih jauh dari kata sempurna. Oleh karena itu, penulis mohon maaf apabila terdapat kesalahan yang tidak sengaja. Semoga skripsi ini berguna untuk menambah pengetahuan pembaca.

Surabaya, 1 April 2016

Penulis

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DEPARTEMEN PENDIDIKAN NASIONAL FAKULTAS EKONOMI DAN BISNIS UNIVERSITAS AIRLANGGA PROGRAM STUDI: EKONOMI PEMBANGUNAN DAFTAR No.

:………………………………….

ABSTRAK SKRIPSI SARJANA EKONOMI NAMA N.I.M TAHUN PENYUSUNAN

: RIKI HARYANTO : 040911099 : 2016

JUDUL : PENGARUH VARIABEL MAKROEKONOMI TERHADAP PASAR MODAL DI NEGARA MAJU DAN NEGARA BERKEMBANG : STUDI KASUS DI INDONESIA, MALAYSIA, FILIPINA, JEPANG INGGRIS DAN AMERIKA SERIKAT. ISI: Pasar modal memiliki peran besar bagi perekonomian suatu negara karena pasar modal menjalankan dua fungsi sekaligus, fungsi ekonomi dan fungsi keuangan. Penelitian ini bertujuan untuk menguji pengaruh jumlah uang beredar, suku bunga sebagai instrumen kebijakan moneter, dan nilai tukar mata uang terhadap pasar modal. Penelitian ini menggunakan analisis regresi data panel dengan menggunakan model Fixed Effect, Random Effect, Pooled Least Square serta analisis time series dengan menggunakan metode estimasi VAR dan VECM. Data cross section dalam penelitian ini adalah Indonesia, Malaysia, Filipina, Jepang, Amerika Serikat, dan Inggris, sedangkan data time series dari tahun 1998:1-2013:12. Penelitian ini menghasilkan temuan bahwa variabel tingkat suku bunga, jumlah uang beredar berpengaruh terhadap pasar modal di enam negara tersebut. Variabel nilai tukar tidak berpengaruh terhadap pasar modal di negara berkembang, namun berpengaruh terhadap pasar modal di negara maju. Hasil impulse response function (IRF) menunjukkan respon pasar modal berfluktuasi dengan tingkat standar deviasi yang berbeda terhadap shock suku bunga, jumlah uang beredar, dan nilai tukar. Kata kunci : pasar modal, suku bunga, jumlah uang beredar, nilai tukar, Fixed Effect, Random Effect, Pooled Least Square, VAR, VECM.

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MINISTRY OF NATIONAL EDUCATION FACULTY OF ECONOMICS AND BUSINESS AIRLANGGA UNIVERSITY

MAJOR : ECONOMICS :………………………………

LIST NO.

ABSTRACT GRADUATE ECONOMICS THESIS NAME N.I.M YEAR OF PREPARATION

: RIKI HARYANTO : 040911099 : 2016

TITLE : THE EFFECT OF MACROECONOMICS VARIABLE TO THE STOCK MARKET: CASE STUDIES IN INDONESIA, MALAYSIA, PHILIPPINE, JAPAN, US, AND, UK. TEXT: The stock market has a big role to the economies of a country because it works as two functions, economic function and financial function. This research is trying to reveal the effect of money supply, interest rate, and exhcange rate to the stock market. This research is using panel data regression with the model of fixed effect, random effect, and pooled least square, and also using time series analysis by VAR and VECM. The cross sections in this research are Indonesia, Malaysia, Philippine, Japan, United States, and United Kingdom, while the times series is set from 1998:1 to 2013:12. As the results, interest rate and money supply significantly affect the stock market in each countries. The exchange rate affect does not afffect the stock market in developing country, but significantly affect the stock market in developed country. The Impulse response function discovered that the stock market responses the shock of interest rate, money supply, and exchange rate. Keyword : stock market, interest rate, money supply, exchange rate, Fixed Effect, Random Effect, Pooled Least Square, VAR, VECM..

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DAFTAR ISI

HALAMAN PERSETUJUAN....................................................Error! Bookmark not defined. PERNYATAAN ORISINALITAS SKRIPSI .............................Error! Bookmark not defined. KATA PENGANTAR ...............................................................................................................v ABSTRAK .............................................................................................................................. viii ABSTRACT.............................................................................................................................. ix DAFTAR ISI..............................................................................................................................x DAFTAR TABEL................................................................................................................... xvi DAFTAR GAMBAR .............................................................................................................. xix BAB 1 ....................................................................................................................................... 1 1.1 Latar Belakang ................................................................................................................ 1 1.2 Rumusan Masalah ........................................................................................................... 4 1.3 Tujuan Penelitian ............................................................................................................ 5 1.4 Manfaat Penelitian .......................................................................................................... 6 1.5 Sistematika Penulisan Skripsi ......................................................................................... 6 BAB 2 ....................................................................................................................................... 8 2.1 Landasan Teori................................................................................................................ 8 2.1.1 Investasi Portofolio .................................................................................................. 8 2.1.2 Teori Permintaan Uang Keynes ............................................................................... 9 2.1.3 Teori Pemilihan Portofolio..................................................................................... 11 2.1.4 Teori Pengharapan Rasional .................................................................................. 13 2.1.4.1 Hipotesis Pasar Efisien.................................................................................... 13 2.1.4.1.1 Hipotesis Pasar Efisien Bentuk Lemah .................................................... 15 2.1.4.1.2 Hipotesis Pasar Efisien Bentuk Semi-Kuat .............................................. 16 2.1.4.1.3 Hipotesis Pasar Efisien Bentuk Kuat ....................................................... 17

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2.1.5 Tobin’s Q Theory ................................................................................................... 18 2.1.5 Suku Bunga ............................................................................................................ 19 2.1.5.1 Loanable Fund................................................................................................. 20 2.1.6 Jumlah Uang Beredar ............................................................................................. 22 2.1.7 Nilai Tukar ............................................................................................................. 23 2.1.7.1 Nilai Tukar Nominal ....................................................................................... 24 2.1.7.2 Nilai Tukar Riil ............................................................................................... 25 2.1.7.3 Sistem Nilai Tukar .......................................................................................... 25 2.2 Pengaruh Variabel Bebas Terhadap Variabel Terikat ................................................... 26 2.2.1 Pengaruh Suku Bunga Terhadap Pasar Modal ....................................................... 26 2.2.2 Pengaruh Jumlah Uang Beredar Terhadap Pasar Modal ........................................ 28 2.2.3 Pengaruh Nilai Tukar Terhadap Pasar Modal ........................................................ 28 2.3 Penelitian Terdahulu ..................................................................................................... 29 2.4 Hipotesis dan Model analisis ........................................................................................ 33 2.4.1 Hipotesis ................................................................................................................ 33 2.4.2 Model Analisis ....................................................................................................... 33 2.5 Kerangka Berpikir ......................................................................................................... 35 BAB 3 ..................................................................................................................................... 37 3.1 Pendekatan Penelitian ................................................................................................... 37 3.2 Identifikasi Variabel...................................................................................................... 38 3.3 Definisi Operasional Variabel ....................................................................................... 38 3.4 Jenis dan Sumber Data .................................................................................................. 39 3.5 Prosedur Pengumpulan Data ......................................................................................... 40 3.6 Teknik Analisis ............................................................................................................. 40 3.6.1 Metode Regresi Data Panel ........................................................................................ 41 3.6.1.1 Pemilihan Model Estimasi dalam Data Panel ................................................. 43 3.6.1.2 Uji Asumsi Klasik ........................................................................................... 44 3.6.1.2.1 Uji Multikolinearitas ................................................................................ 45

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3.6.1.2.2 Uji Autokorelasi ....................................................................................... 46 3.6.1.2.3 Uji Heteroskesdatisitas ............................................................................. 46 3.6.1.3 Uji Statistik ..................................................................................................... 47 3.6.1.3.1 Uji F Statistik ........................................................................................... 47 3.6.1.3.2 Uji t .......................................................................................................... 48 3.6.1.3.3 Koefisien Determinasi (R2) ...................................................................... 49 3.6.2 Regresi Data Time Series ....................................................................................... 49 3.6.2.1 Uji Stasioneritas .............................................................................................. 50 3.6.2.2 Penentuan Lag Optimal ................................................................................... 51 3.6.2.3 Uji Kointegrasi ................................................................................................ 52 3.6.2.4 Uji Kausalitas Granger .................................................................................... 53 3.6.2.5 Estimasi VAR dan VECM .............................................................................. 55 3.6.2.5.1 Estimasi VAR .......................................................................................... 55 3.6.2.5.2 Estimasi VECM ....................................................................................... 56 3.6.2.6 Fungsi Impulse Response................................................................................ 57 BAB 4 ..................................................................................................................................... 58 4.1 Gambaran Umum Variabel ........................................................................................... 58 4.1.1 Perkembangan Pasar Modal di Enam Negara ........................................................ 58 4.1.2 Perkembangan Suku Bunga di Enam negara ......................................................... 60 4.1.3 Perkembangan Jumlah Uang Beredar di Enam negara .......................................... 61 4.1.4 Perkembangan Nilai Tukar di Enam Negara ......................................................... 63 4.2 Hasil Penelitian ............................................................................................................. 64 4.2.1 Regresi Data Panel ................................................................................................. 64 4.2.1.1 Pemilihan Model Estimasi Panel Enam Negara.............................................. 64 4..2.1.2 Pemilihan Model Estimasi Panel Negara Berkembang ................................. 66 4..2.1.3 Pemilihan Model Estimasi Panel Negara Maju ............................................. 67 4.2.1.4 Hasil Regresi Panel ......................................................................................... 68 4.2.1.5 Uji Asumsi Klasik ........................................................................................... 70

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4.2.1.5.1 Uji Multikolinearitas Panel Negara Berkembang .................................... 70 4.2.1.5.1 Uji Multikolinearitas Panel Negara Maju ................................................ 71 4.2.1.3.2 Uji Heteroskedastisitas Panel Negara Berkembang ................................. 71 4.2.1.3.2 Uji Heteroskedastisitas Panel Negara Maju ............................................. 72 4.2.1.3.3 Uji Autokorelasi Panel Negara Berkembang ........................................... 73 4.2.1.3.3 Uji Autokorelasi Panel Negara Maju ....................................................... 74 4.2.1.4 Hasil Estimasi BLUE ...................................................................................... 74 4.2.1.5 Uji F statistik Enam Negara ............................................................................ 76 4.2.1.6 Uji F statistik Negara Berkembang ................................................................. 76 4.2.1.7 Uji F statistik Negara Maju ............................................................................. 77 4.2.1.8 Uji z Statistik Panel Enam Negara .................................................................. 77 4.2.1.9 Uji z Statistik Panel Negara Berkembang ....................................................... 78 4.2.1.10 Uji t Statistik Panel Negara Maju.................................................................. 79 4.2.1.6 Koefisien Determinasi (R2) ............................................................................ 80 4.2.2 Regresi Data Time Series ....................................................................................... 81 4.2.2.1 Indonesia ......................................................................................................... 81 4.2.2.1.1 Uji Stasioneritas ....................................................................................... 81 4.2.2.1.2 Penentuan Lag Optimal ............................................................................ 83 4.2.2.1.3 Uji Kointegrasi ......................................................................................... 84 4.2.2.2 Malaysia .......................................................................................................... 85 4.2.2.2.1 Uji Stasioneritas ....................................................................................... 85 4.2.2.2.2 Penentuan Lag Optimal ............................................................................ 86 4.2.2.2.3 Uji Kointegrasi ......................................................................................... 87 4.2.2.3 Filipina ............................................................................................................ 88 4.2.2.3.1 Uji Stasioneritas ....................................................................................... 88 4.2.2.3.2 Penentuan Lag Optimal ............................................................................ 89 4.2.2.3.3 Uji Kointegrasi ......................................................................................... 90 4.2.2.4 Jepang ............................................................................................................. 91

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4.2.2.4.1 Uji Stasioneritas ....................................................................................... 91 4.2.2.4.2 Penentuan Lag Optimal ............................................................................ 92 4.2.2.4.3 Uji Kointegrasi ......................................................................................... 93 4.2.2.4.4 Uji Kausalitas Granger ............................................................................. 93 4.2.2.5 Amerika Serikat .............................................................................................. 94 4.2.2.5.1 Uji Stasioneritas ....................................................................................... 94 4.2.2.5.2 Penentuan Lag Optimal ............................................................................ 95 4.2.2.5.3 Uji Kointegrasi ......................................................................................... 96 4.2.2.4.4 Uji Kausalitas Granger ............................................................................. 97 4.2.2.6 Inggris ............................................................................................................. 98 4.2.2.6.1 Uji Stasioneritas ....................................................................................... 98 4.2.2.6.2 Penentuan Lag Optimal ............................................................................ 99 4.2.2.4.3 Uji Kointegrasi ....................................................................................... 100 4.2.2.4.4 Uji Kausalitas Granger ........................................................................... 100 4.2.2.7 Pengaruh Pasar Modal Asing Terhadap IHSG.............................................. 101 4.2.2.7.1 Uji Stasioneritas ..................................................................................... 101 4.2.2.6.2 Penentuan Lag Optimal .......................................................................... 103 4.2.2.4.3 Uji Kointegrasi ....................................................................................... 103 4.2.2.4.4 Uji Kausalitas Granger ........................................................................... 104 4.2.2.8 Hasil Estimasi VAR dan VECM ................................................................... 105 4.2.2.9 Analisis Impulse Response ........................................................................... 113 4.2.2.9.1 Indonesia ................................................................................................ 113 4.2.2.9.2 Malaysia ................................................................................................. 116 4.2.2.9.3 Philippina ............................................................................................... 119 4.2.2.9.4 Jepang .................................................................................................... 122 4.2.2.9.5 Amerika Serikat ..................................................................................... 125 4.2.2.9.6 Inggris .................................................................................................... 128 4.2.2.9.6 Pengaruh Pasar Modal Asing Terhadap IHSG....................................... 131

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4.2 Pembuktian Hipotesis ................................................................................................. 136 4.4 Pembahasan................................................................................................................. 138 4.4.1 Pengaruh Suku Bunga terhadap Pasar Modal ...................................................... 138 4.4.2 Pengaruh Jumlah Uang Beredar terhadap Pasar Modal ....................................... 139 4.4.3 Pengaruh Nilai Tukar terhadap Pasar Modal ....................................................... 140 4.4.4 Pengaruh Pasar Modal Asing Terhadap IHSG..................................................... 141 BAB 5 ................................................................................................................................... 142 5.1 Kesimpulan ................................................................................................................. 142 5.2 Saran ........................................................................................................................... 143 DAFTAR PUSTAKA ........................................................................................................... 144 LAMPIRAN.......................................................................................................................... 147

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DAFTAR TABEL

Tabel 4.1 Hasil Uji Chow-Test Kelompok panel Enam Negara ............................ 65 Tabel 4.2 Hasil Uji BP-LM Kelompok panel Enam Negara ................................. 66 Tabel 4.3 Hasil Uji Hausman Kelompok panel Enam Negara ............................... 66 Tabel 4.4 Hasil Uji Chow-Test Kelompok panel Negara Berkembang ................. 67 Tabel 4.5 Hasil Uji BP-LM Kelompok panel Negara Berkembang ...................... 67 Tabel 4.6 Hasil Uji Chow-Test Kelompok panel Negara Maju ............................. 68 Tabel 4.7 Hasil Uji BP-LM Kelompok panel Negara Maju .................................. 68 Tabel 4.8 Hasil Estimasi Tiga Kelompok Negara .................................................. 69 Tabel 4.9 Hasil Variance Infaltion Factor Kelompok Panel Negara Berkembang

70

Tabel 4.10 Hasil Variance Infaltion Factor Kelompok Panel Negara Maju ......... 71 Tabel 4.11 Hasil Uji Heteroskedastisitas Kelompok Panel Negara Berkembang . 72 Tabel 4.12 Hasil Uji Heteroskedastisitas Kelompok Panel Negara Maju ............. 72 Tabel 4.13 Hasil Uji Wooldrige Kelompok Panel Negara Berkembang ............... 73

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Tabel 4.14 Hasil Uji Wooldrige Kelompok Panel Negara Maju ........................... 74 Tabel 4.15 Hasil Estimasi Tiga Kelompok Panel .................................................. 75 Tabel 4.16 Hasil Uji ADF Indonesia Tingkat Level .............................................. 81 Tabel 4.17 Hasil Uji ADF Indonesia Tingkat First Difference .............................. 82 Tabel 4.18 Hasil Lag Optimum Indonesia ............................................................. 83 Tabel 4.19 Hasil Uji Kointegrasi Indonesia ........................................................... 84 Tabel 4.20 Hasil Uji ADF Malaysia Tingkat Level ............................................... 85 Tabel 4.21 Hasil Uji ADF Malaysia Tingkat First Difference .............................. 86 Tabel 4.22 Hasil Lag Optimum Malaysia .............................................................. 87 Tabel 4.23 Hasil Uji Kointegrasi Malaysia ............................................................ 87 Tabel 4.24 Hasil Uji ADF Filipina Tingkat Level ................................................. 88 Tabel 4.25 Hasil Uji ADF Malaysia Tingkat First Difference .............................. 89 Tabel 4.26 Hasil Lag Optimum Filipina ................................................................ 90 Tabel 4.27 Hasil Uji Kointegrasi Filipina .............................................................. 90 Tabel 4.28 Hasil Uji ADF Jepang Tingkat Level .................................................. 91 Tabel 4.29 Hasil Uji ADF Jepang Tingkat First Difference ................................... 92 Tabel 4.30 Hasil Lag Optimum Jepang .................................................................. 92 Tabel 4.31 Hasil Uji Kointegrasi Jepang ............................................................... 93 Tabel 4.32 Hasil Uji Kausalitas Granger Jepang ................................................... 94 Tabel 4.33 Hasil Uji ADF Amerika Serikat Tingkat Level ................................... 94 Tabel 4.34 Hasil Uji ADF Amerika Serikat Tingkat First Difference ................... 95 Tabel 4.35 Hasil Lag Optimum Amerika Serikat .................................................. 96 xvii SKRIPSI


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Tabel 4.36 Hasil Uji Kointegrasi Amerika Serikat ................................................ 96 Tabel 4.37 Hasil Uji Hasil Uji Kausalitas Granger Amerika Serikat .................... 97 Tabel 4.38 Hasil Uji ADF Inggris Tingkat Level .................................................. 98 Tabel 4.39 Hasil Uji ADF Inggris Tingkat First Difference .................................. 99 Tabel 4.40 Hasil Lag Optimum Ingris ................................................................... 99 Tabel 4.41 Hasil Uji Kointegrasi Inggris ............................................................... 100 Tabel 4.42 Hasil Uji Kausalitas Granger Inggris ................................................... 101 Tabel 4.43 Hasil Uji ADF Model Pasar Saham Tingkat Level .............................. 102 Tabel 4.44 Hasil Uji ADF Model Pasar Saham Tingkat First Difference ............. 102 Tabel 4.46 Hasil Lag Optimum Model Pasar Saham ............................................. 103 Tabel 4.47 Hasil Uji Kointegrasi Model Pasar Saham .......................................... 104 Tabel 4.48 Hasil Uji Kausalitas Granger Inggris ................................................... 105 Tabel 4.49 Hasil Estimasi VECM Jangka Pendek ................................................. 107 Tabel 4.50 Hasil Estimasi VECM Jangka Pendek ................................................. 108 Tabel 4.51 Hasil Estimasi VAR ............................................................................. 111 Tabel 4.52 Hasil Estimasi Pasar Saham ................................................................. 113

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DAFTAR GAMBAR

Gambar 2.1 Keseimbangan dalam pasar loanable fund ......................................... 21 Gambar 2.2 Kerangka Berpikir .............................................................................. 2.2 Gambar 3.1 Daerah Penolakan dan Penerimaan Uji F ........................................... 48 Gambar 3.2 Daerah Penolakan dan Penerimaan Uji t ............................................ 49 Gambar 4.1 Grafik Indeks Harga Saham di Enam Negara .................................... 59 Gambar 4.2 Grafik Perkembangan Suku Bunga di Enam Negara ......................... 61 Grafik 4.3 Perubahan Jumlah Uang Beredar di Enam Negara ............................... 62 Grafik 4.4 Perkembangan Nilai Tukar ................................................................... 63 Gambar 4.5 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Indonesia ................................................................................................................................. 114 Gambar 4.6 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di Indonesia ................................................................................................................ 115 Gambar 4.7 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Indonesia ................................................................................................................................. 116 Gambar 4.8 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Malaysia ................................................................................................................................. 117 Gambar 4.9 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di Malaysia ................................................................................................................. 118 Gambar 4.10 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Malaysia ................................................................................................................................. 119 Gambar 4.11 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Philippina ................................................................................................................................. 120 Gambar 4.12 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di Filipina ................................................................................................................... 121 xix SKRIPSI


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Gambar 4.13 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Filipina ................................................................................................................................. 122 Gambar 4.14 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Jepang ................................................................................................................................. 123 Gambar 4.15 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di Jepang ..................................................................................................................... 124 Gambar 4.16 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Jepang ................................................................................................................................. 125 Gambar 4.17 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Amerika Serikat .................................................................................................................... 126 Gambar 4.18 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di AS ........................................................................................................................... 127 Gambar 4.19 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Amerika Serikat .................................................................................................................... 128 Gambar 4.20 Grafik Respon Pasar Modal terhadap Shock Suku Bunga di Inggris ................................................................................................................................. 129 Gambar 4.21 Grafik Respon Pasar Modal terhadap Shock Jumlah Uang Beredar di Inggris .................................................................................................................... 130 Gambar 4.22 Grafik Respon Pasar Modal terhadap Shock Nilai Tukar di Inggris ................................................................................................................................. 131 Gambar 4.23 Grafik Respon IHSG terhadap Shock KLSE ................................... 132 Gambar 4.24 Grafik Respon IHSG terhadap Shock PSE ...................................... 133 Gambar 4.25 Grafik Respon IHSG terhadap Shock NIKKEI ................................ 134 Gambar 4.26 Grafik Respon IHSG terhadap Shock DJI ........................................ 135 Gambar 4.27 Grafik Respon IHSG terhadap Shock FTSE .................................... 136

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ADLN - PERPUSTAKAAN UNIVERSITAS AIRLANGGA

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