Kegiatan penelitian ini merupakan kegiatan penelitian kerja sama antara Bursa Efek Jakarta dengan Fakultas Ekonomi Unpad dengan judul “Kontribusi/Peranan Pasar Modal Terhadap Perekonomian Indonesia” yang dilakukan bertujuan untuk mengetahui peran pasar modal didalam mendorong perekonomian Indonesia selama periode 1996 hingga 2006 dalam bentuk data kwartalan. Penelitian ini melibatkan seluruh emiten dari berbagai sektor yang terdapat dalam bursa efek Jakarta. Dari hasil penelitian ini diharapkan dapat berguna bagi Bursa Efek Jakarta Khususnya di dalam mendorong perannya di dalam mendorong sektor riil dan keuangan sehingga memacu pertumbuhan ekonomi. Bagi Fakultas Ekonomi Unpad, penelitian ini merupakan wahana untuk melakukan studi empiris mengenai pasar modal dalam kaitannya dengan sektor riil.
Bandung, 31 Desember 2006
Tim Peneliti
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Null Hypothesis: D(IHSG) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
t-Statistic
Prob.*
-4.619965 -3.605593 -2.936942 -2.606857
0.0006
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG,2) Method: Least Squares Date: 07/11/05 Time: 08:55 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IHSG(-1)) C
-0.744702 14.91787
0.161192 12.74064
-4.619965 1.170889
0.0000 0.2489
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.359666 0.342816 78.73631 235577.5 -230.3759 1.924761
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
2.402414 97.12509 11.61879 11.70324 21.34407 0.000043
Null Hypothesis: D(GDPRIIL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic
t-Statistic
Prob.*
-6.997454
0.0000
Test critical values:
1% level 5% level 10% level
-3.605593 -2.936942 -2.606857
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPRIIL,2) Method: Least Squares Date: 07/11/05 Time: 08:57 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(GDPRIIL(-1)) C
-1.126705 51.30244
0.161016 25.13159
-6.997454 2.041352
0.0000 0.0482
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.563039 0.551540 152.0807 878884.5 -256.7081 1.957261
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
0.176200 227.0976 12.93541 13.01985 48.96437 0.000000
Null Hypothesis: D(TK_BUNGA) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level *MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(TK_BUNGA,2) Method: Least Squares Date: 07/11/05 Time: 08:58 Sample (adjusted): 1996Q3 2006Q3
t-Statistic
Prob.*
-5.342164 -3.600987 -2.935001 -2.605836
0.0001
Included observations: 41 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(TK_BUNGA(-1)) C
-0.845391 -0.061211
0.158249 1.240365
-5.342164 -0.049349
0.0000 0.9609
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.422553 0.407747 7.942124 2460.016 -142.1107 1.952525
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
-0.030488 10.32008 7.029789 7.113378 28.53872 0.000004
Null Hypothesis: D(M1) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
t-Statistic
Prob.*
-7.999756 -3.600987 -2.935001 -2.605836
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1,2) Method: Least Squares Date: 07/11/05 Time: 09:00 Sample (adjusted): 1996Q3 2006Q3 Included observations: 41 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(M1(-1)) C
-1.266269 8455.723
0.158288 1853.407
-7.999756 4.562260
0.0000 0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.621345 0.611636 9976.575 3.88E+09 -434.6791 1.900293
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
426.0000 16008.91 21.30142 21.38501 63.99610 0.000000
Null Hypothesis: D(KURS) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
t-Statistic
Prob.*
-5.765470 -3.600987 -2.935001 -2.605836
0.0000
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares Date: 07/11/05 Time: 09:00 Sample (adjusted): 1996Q3 2006Q3 Included observations: 41 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(KURS(-1)) C
-0.920244 152.4068
0.159613 197.8792
-5.765470 0.770201
0.0000 0.4458
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.460138 0.446295 1255.741 61498535 -349.7060 2.011992
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
0.349756 1687.566 17.15639 17.23998 33.24064 0.000001
Null Hypothesis: D(IHK) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=9)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level
t-Statistic
Prob.*
-3.875278 -3.605593 -2.936942
0.0049
10% level
-2.606857
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHK,2) Method: Least Squares Date: 07/11/05 Time: 09:01 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
D(IHK(-1)) C
-0.558974 1.825041
0.144241 0.707138
-3.875278 2.580886
0.0004 0.0138
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
0.283259 0.264398 3.416991 443.6815 -104.8821 2.024282
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
0.057015 3.984028 5.344105 5.428549 15.01778 0.000408
Null Hypothesis: ROE has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0)
Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level
t-Statistic
Prob.*
-4.265538 -3.600987 -2.935001 -2.605836
0.0016
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable: D(ROE) Method: Least Squares Date: 07/11/05 Time: 09:02 Sample (adjusted): 1996Q2 2006Q2 Included observations: 41 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
ROE(-1) C R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat
$!# !#
-0.636384 8.262732 0.318120 0.300636 72.26155 203647.5 -232.6432 1.567940
0.149192 11.45381
-4.265538 0.721396
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)
0.0001 0.4750 -0.085673 86.40832 11.44601 11.52960 18.19481 0.000123
) )
)
Dependent Variable: D(RESID01) Method: Least Squares Date: 07/11/05 Time: 07:16 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESID01(-1)
-1.109525
0.163667
-6.779155
0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
0.567056 0.567056 0.052176 0.095283 55.73778
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
Uji Kointegrasi Model Perekonomian Nasional dengan IHSG
Dependent Variable: D(RESID02) Method: Least Squares Date: 07/11/05 Time: 07:18 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments
-0.002949 0.079297 -3.040988 -2.997001 1.909334
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESID02(-1)
-0.837840
0.171912
-4.873654
0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
0.389721 0.389721 0.049633 0.091147 60.70475
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
-0.002841 0.063534 -3.142355 -3.099261 1.988558
Uji Kointegrasi Model Kinerja Pasar Modal IHSG
Dependent Variable: D(RESID03) Method: Least Squares Date: 07/11/05 Time: 07:20 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESID03(-1)
-0.743745
0.160365
-4.637825
0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
0.380449 0.380449 0.042471 0.063132 63.14710
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
Uji Kointegrasi Model Kinerja Pasar Modal ROE
Dependent Variable: D(RESID04) Method: Least Squares Date: 07/11/05 Time: 07:21 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments
0.000921 0.053957 -3.452617 -3.408630 1.975185
Variable
Coefficient
Std. Error
t-Statistic
Prob.
RESID04(-1)
-0.920762
0.167294
-5.503847
0.0000
R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood
0.463766 0.463766 59.24977 122868.7 -197.5181
Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat
1.474034 80.91139 11.02879 11.07277 1.961045
III. Hasil Regresi
Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:43 Sample (adjusted): 1996Q2 2006Q2 Included observations: 40 after adjustments Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Variable
Coefficient
Std. Error
t-Statistic
Prob.
C LOG(IHSG) LOG(M1) LOG(KURSREAL) IHK(-1) TK_BUNGA DKRISIS
2.372050 0.067303 0.532585 -0.042464 -0.003840 -0.004303 0.011414
0.907135 0.032112 0.086246 0.016010 0.001102 0.001217 0.047780
2.614880 2.095902 6.175161 -2.652332 -3.485180 -3.535090 0.238884
0.0134 0.0438 0.0000 0.0122 0.0014 0.0012 0.8127
R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)
0.896400 0.877564 0.053848 47.66732 0.000000
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 00:18 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments
8.163878 0.153892 0.095687 1.604157
Convergence achieved after 9 iterations Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Lagged dependent variable & regressors added to instrument list Variable
Coefficient
Std. Error
t-Statistic
Prob.
C ROE(-1) LOG(M1) LOG(KURSREAL) IHK(-1) TK_BUNGA DKRISIS AR(1)
4.579600 0.000841 0.438906 -0.105255 -0.002743 -0.011743 0.094757 -0.070689
1.296383 0.000349 0.110756 0.028684 0.001271 0.003143 0.072479 0.185961
3.532598 2.411523 3.962809 -3.669419 -2.156992 -3.736635 1.307371 -0.380128
0.0014 0.0222 0.0004 0.0009 0.0391 0.0008 0.2010 0.7065
R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic) Inverted AR Roots
0.875345 0.846259 0.059615 30.98449 0.000000
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
8.171281 0.152041 0.106618 2.123018
-.07
Dependent Variable: LOG(IHSG) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:34 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 12 iterations White Heteroskedasticity-Consistent Standard Errors & Covariance Instrument list: C LOG(M1) LOG(KURSREAL) TK_BUNGA INDXMANUFAK IHK(-1) INDXFINANCE INDXMANUFAK DKRISIS Lagged dependent variable & regressors added to instrument list Variable
Coefficient
Std. Error
t-Statistic
Prob.
C LOG(GDPRIIL) LOG(KURSREAL) TK_BUNGA
1.696735 0.475252 -0.013931 0.000629
1.578434 0.204609 0.014027 0.000782
1.074949 2.322733 -0.993130 0.803597
0.2913 0.0274 0.3289 0.4282
IHK(-1) DKRISIS INDXMANUFAK INDXFINANCE AR(1)
-0.001181 -0.001462 0.007164 0.001950 0.670511
R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)
0.986995 0.983408 0.049193 275.7596 0.000000
Inverted AR Roots
0.000677 0.022289 0.000942 0.000372 0.171053
-1.744078 -0.065610 7.603174 5.248367 3.919893
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
0.0917 0.9481 0.0000 0.0000 0.0005 6.367371 0.381898 0.070177 1.491714
.67
Dependent Variable: ROE Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:45 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 52 iterations Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Lagged dependent variable & regressors added to instrument list Variable
Coefficient
Std. Error
t-Statistic
Prob.
C LOG(GDPRIIL(-1)) LOG(KURSREAL) TK_BUNGA IHK(-1) DKRISIS INDXMANUFAK INDXFINANCE AR(1)
-5399.498 660.3122 26.28170 3.786992 -3.185009 -85.18398 1.368890 -1.203396 0.243243
1567.356 197.8929 30.44928 2.036865 1.049592 74.17796 0.777025 0.679288 0.234550
-3.444973 3.336715 0.863131 1.859225 -3.034520 -1.148373 1.761708 -1.771554 1.037061
0.0018 0.0023 0.3951 0.0732 0.0050 0.2602 0.0887 0.0870 0.3083
R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic) Inverted AR Roots
0.448612 0.296505 66.04024 3.202525 0.009927 .24
Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat
15.68266 78.73688 126478.1 1.861239
