THE EFFECT OF INFLATION, INTEREST RATE, AND EXCHANGE RATE TOWARDS JAKARTA COMPOSITE INDEX, JAKARTA CONSUMER GOODS INDEX, AND JAKARTA TRADE AND SERVICE INDEX RETURN (PERIOD 2008-2010) FINAL PROJECT
By Dhira Dwijayanti Yogaswari 19009056
Undergraduate Program School of Business and Management Institut Teknologi Bandung
THE EFFECT OF INFLATION, INTEREST RATE, AND EXCHANGE RATE TOWARDS JAKARTA COMPOSITE INDEX, JAKARTA CONSUMER GOODS INDEX, AND JAKARTA TRADE AND SERVICE INDEX RETURN (PERIOD 2008-2010) Dhira Dwijayanti Yogaswari 19009056 Undergraduate Program School of Business and Management Institut Teknologi Bandung Supervisor: Anggoro Budi Nugroho, SE, MBA
ABSTRACT
The economic stability is affecting the investment activity in a country, including stock market. Stock market has become promising investment to generate gain compared to the other investment. Investor tend to look for investment with high return in stock market. Indonesia Stock Exchange has Jakarta Composite Index (JCI) which is used as benchmark of stock performance and indicator of the stock price movement in Indonesia Stock Exchange. During the period of 2008 was the bearish phase for the capital market condition in Indonesia, it is indicate by the declining of JCI level to 1355,41 from 2745,83 which is decreasing 50,6%. According to Bloomberg data, in 2010 JCI has generated 46,13% rate of return compared to other stock index in Asia to the level of 3703,51 from 2534,36 in 2009. Two sectoral index which generate highest return in 2010 are consumer goods and trading and services sector. As a defensive stock, consumer goods sector is very promising for investor. Consumer goods sector is mainly related with demand and production activity in Indonesia. Trading and service sector is very sensitive to the exchange rate movement because the activity is mainly related with export and import. Thus, Investor should also consider with the risk that might arise during investment. The aim of this research is to examine the effect of macroeconomic variables on the stock return in Indonesia Stock Exchange using Arbitrage Pricing Theory (APT) framework. Three variables of macroeconomics (inflation, interest rate, and exchange rate) are used as independent variables, while the dependent variables are Jakarta Composite Index (JCI), Jakarta Consumer Goods (JKCONS), and Jakarta Trade and Services Index (JKTRAD) return. The monthly time series data are gathered from Bank Indonesia and Yahoo Finance over the period of January 2008- December 2010.Multiple regression analysis with classical assumptions is used as a tools in processing the data. This research has proved that simultaneous impact of inflation, interest rate, and exchange rate is occurred in JCI, JKCONS, and JKTRAD by using the 95% level of confidence. The partial impact of inflation is found significant with negative impact in JKCONS return, while in other index is insignificant. Interest rate has significant and negative impact in the all index while the exchange rate also found negative significant in JCI and JKTRAD return.
Keywords: inflation, interest rate, exchange rate, stock return
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PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR TERHADAP PENGEMBALIAN INDEKS HARGA SAHAM GABUNGAN, INDEKS BARANG KONSUMSI, DAN INDEKS PERDAGANGAN DAN JASA (PERIODE 2008-2010) Dhira Dwijayanti Yogaswari 19009056 Program Sarjana Sekolah Bisnis dan Menejemen Institut Teknologi Bandung Pembimbing: Anggoro Budi Nugroho, SE, MBA
ABSTRAKSI Stabilitas ekonomi yang mempengaruhi kegiatan investasi di suatu negara, termasuk pasar saham. Pasar saham telah menjadi investasi yang menjanjikan untuk menghasilkan keuntungan dibandingkan dengan investasi lainnya. Investor cenderung mencari investasi dengan return yang tinggi di pasar saham. Bursa Efek Indonesia memiliki Jakarta Composite Index (IHSG) yang digunakan sebagai patokan kinerja saham dan indikator pergerakan harga saham di Bursa Efek Indonesia. Selama periode 2008 adalah fase menurun untuk kondisi pasar modal di Indonesia, itu ditunjukkan dengan menurunnya tingkat IHSG ke 1355,41 dari 2745,83 yang menurun 50,6%. Menurut data Bloomberg, pada tahun 2010 IHSG telah menghasilkan tingkat penembalian sebesar 46,13% dibandingkan dengan indeks saham lainnya di Asia pada level 3703,51 dari sebelumnya di level 2534,36 pada tahun 2009. Dua indeks sektoral yang menghasilkan return tertinggi pada tahun 2010 adalah barang konsumsi dan sektor perdagangan dan jasa. Sebagai saham defensif, sektor barang konsumsi ini sangat menjanjikan bagi investor. Sektor barang konsumsi terutama terkait dengan permintaan dan kegiatan produksi di Indonesia. Sektor perdagangan dan jasa sangat sensitif terhadap pergerakan nilai tukar karena aktifitasnya didominasi oleh ekspor dan impor. Oleh karena itu, Investor juga harus mempertimbangkan risiko yang mungkin timbul selama investasi. Tujuan dari penelitian ini adalah untuk menguji pengaruh variabel makroekonomi terhadap return saham di Bursa Efek Indonesia dengan menggunakan pola Arbitrage Pricing Theory (APT). Tiga variabel makroekonomi (inflasi, suku bunga, dan nilai tukar) digunakan sebagai variabel independen, sedangkan variabel terikat adalah stock return dari IHSG, Indeks sector barang konsumsi dan Indeks sektor perdagangan dan jasa di Bursa Efek Indonesia. Data time series bulanan diperoleh dari Bank Indonesia dan Yahoo Finance selama periode Januari 2008 Desember 2010. Analisa regresi berganda dengan asumsi klasik digunakan sebagai alat dalam mengolah data. Dengan menggunakan tingkat kepercayaan 95%, penelitian ini telah membuktikan bahwa terdapat dampak simultan dari inflasi, suku bunga, dan nilai tukar pada IHSG, JKCONS, dan JKTRAD. Dampak parsial dari inflasi ditemukan signifikan negatif dalam return indeks JKCONS, sedangkan pada indeks lainnya tidak signifikan. Tingkat bunga berpengaruh signifikan dan negatif dalam semua index, sementara nilai tukar juga ditemukan signifikan negatif pada IHSG dan JKTRAD return.
Kata kunci: inflasi, suku bunga, nilai tukar, pengembalian saham ii
VALIDATION PAGE
THE EFFECT OF INFLATION, INTEREST RATE, AND EXCHANGE RATE TOWARD JAKARTA COMPOSITE INDEX, JAKARTA CONSUMER GOODS INDEX, AND JAKARTA TRADE AND SERVICE INDEX RETURN (PERIOD 2008-2010)
By: DHIRA DWIJAYANTI YOGASWARI 19009056
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Supervisor
(Anggoro Budi Nugroho, SE, MBA)
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FOREWORD First of all, I would like to thank Allah SWT for His bless and guidance so I could finish this final project. I also would like to express a sincere gratitude to people who always support me in completing this final project:
My dad and mom, Mustofa Widjaja and Indriani Yuliati for love, support, and pray for me every day.
My sisters, Dhika Wijayanti and Dhinda Trijayanti for become a lovely supporter. Mr. Anggoro Budi Nugroho, SE, MBA as supervisor, for educating, guiding, coaching, and also supporting me to complete my final project.
Dea Danica Bilal “The Rattan girl”, Kartika Dewi Puspasari “The Korean girl”, and Teuku Faris Riandi “The American boy”, for caring, laugh, support, friendship, and silly yet priceless moments since the first year in SBM until completing this final project.
Green house mates, Ratria “Party” Budiendra and Citra “Lion” Wahana as the best partner either in joy and difficult moments during the past three years in SBM.
My first buddy in SBM, Ananda Marissya Widya for being a kind buddy and always cheering me up each day.
Riken Rindiani Pratami, Linda Pratiwi Darmadi, Fanny Octa Febrina, Humaira Zahra, Vira Cania Arman, Ronny Armando Pitojo, Aghnia Banat, Rido Adimas for the stories, experiences, and support especially during the third year in SBM.
All lecturer and staff in SBM, for the knowledge, experience, and sharing during the past three years.
All my SBM 2012’s friend who I could not mentioned one by one for the incredible experience since 2009 – 2012. I welcome any feedback and suggestion to become further learning in the future. I hope this research can be applied for academic development, especially in finance. Bandung, 13th August 2012
Dhira Dwijayanti Yogaswari 19009056 iv
TABLE OF CONTENTS ABSTRACT....................................................................................................................... i ABSTRAKSI .................................................................................................................... ii VALIDATION PAGE ..................................................................................................... iii FOREWORD ................................................................................................................... iv TABLE OF CONTENTS.................................................................................................. v LIST OF FIGURE .......................................................................................................... vii LIST OF TABLE ........................................................................................................... viii LIST OF EQUATIONS ................................................................................................... ix LIST OF APPENDICES ................................................................................................... x CHAPTER 1 INTRODUCTION ...................................................................................... 1 1.1
Introduction ........................................................................................................ 1
1.2
Problem Identification ........................................................................................ 3
1.3
Research Objective............................................................................................. 3
1.4
Problem Limitation ............................................................................................ 3
1.5
Writing Structure ................................................................................................ 4
CHAPTER lI LITERATURE STUDY ............................................................................. 7 2.1
Theoretical Background ..................................................................................... 7
2.1.1
Capital Market Investment.......................................................................... 7
2.1.1.1
Jakarta Composite Index ..................................................................... 8
2.1.1.2
Jakarta Consumer Goods Index ........................................................... 8
2.1.1.3
Jakarta Trade and Service Index .......................................................... 9
2.1.1.4
Stock Return ........................................................................................ 9
2.1.2
Macroeconomic ........................................................................................ 10
2.1.3
Arbitrage Pricing Theory (APT) ............................................................... 11
2.2
Previous Research ............................................................................................ 14
CHAPTER III METHODOLOGY ................................................................................. 19 3.1.
Research Design ............................................................................................... 19
3.2
Problem Identification ...................................................................................... 20
3.3
Research Variables ........................................................................................... 20
3.4
Literature Study................................................................................................ 20
3.5
Hypothesis ........................................................................................................ 20
3.6
Data Gathering ................................................................................................. 21
3.7
Data Processing ................................................................................................ 22 v
3.8
Data Analysis ................................................................................................... 22
3.8.1
Assumption Test ........................................................................................ 23
3.8.1.1
Normality Test ................................................................................... 23
3.8.1.2
Multicolinearity Test ......................................................................... 23
3.8.1.3
Heteroscedasticity Test ...................................................................... 24
3.8.1.4
Autocorrelation Test .......................................................................... 24
3.8.2
Multiple Regression Model ....................................................................... 24
3.8.3
Hypothesis Test ......................................................................................... 25
3.8.3.1
F Test ................................................................................................. 25
3.8.3.2
T Test ................................................................................................. 25
CHAPTER IV DATA ANALYSIS ................................................................................ 27 4.1
Jakarta Composite Index (JCI) ......................................................................... 27
4.1.1
Classical Assumption Analysis ................................................................. 27
4.1.2
Result Analysis .......................................................................................... 29
4.2
Jakarta Consumer Goods Index (JKCONS) ..................................................... 31
4.2.1
Classical Assumption ................................................................................ 31
4.2.2
Result Analysis .......................................................................................... 33
4.3
Jakarta Trade and Service Index (JKTRAD) ................................................... 35
4.3.1
Classical Assumption Analysis ................................................................. 35
4.3.2
Multiple Regression Analysis.................................................................... 37
4.4
Comparative Analysis ..................................................................................... 40
CHAPTER V CONCLUSION AND RECOMMENDATION ...................................... 43 5.1
Conclusion........................................................................................................ 43
5.2
Recommendation.............................................................................................. 44
REFERENCES ............................................................................................................... 47 APPENDICES ................................................................................................................ 48
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LIST OF FIGURE Figure 2.1 Jakarta Composite Index Performance ............................................................ 8 Figure 2.2 Jakarta Consumer Goods Index Performance ................................................. 9 Figure 2.3 Jakarta Trade and Service Index Performance ................................................ 9 Figure 2.4 Inflation Rate ................................................................................................. 10 Figure 2.5 BI Rate ........................................................................................................... 11 Figure 2.6 Exchange Rate (USD/IDR) ........................................................................... 11 Figure 3.1 Research Design ............................................................................................ 19 Figure 3.2 Multiple Regression Process ......................................................................... 22
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LIST OF TABLE Table 2.1 Previous Research ........................................................................................... 15 Table 3.1 Data Gathering ................................................................................................ 22 Table 3.2 Durbin Watson Indicator ................................................................................ 24 Table 4.1 Kolmogorov-Smirnov Test ............................................................................. 27 Table 4.2 Multicollinearity Statistics .............................................................................. 27 Table 4.3 Heteroscedasticity Result ................................................................................ 28 Table 4.4 Durbin Watson Result..................................................................................... 28 Table 4.5 Regression Statistic ......................................................................................... 29 Table 4.6 F Test .............................................................................................................. 29 Table 4.7 T Test .............................................................................................................. 30 Table 4.8 Kolomogorov - Smirnov Test ......................................................................... 31 Table 4.9 Multicolinearity Result ................................................................................... 31 Table 4.10 Heteroscedasticity Result.............................................................................. 32 Table 4.11 Durbin Watson Result................................................................................... 32 Table 4.12 Regression Statistic ....................................................................................... 33 Table 4.13 F Test ............................................................................................................ 33 Table 4.14 T Test ............................................................................................................ 34 Table 4.15 Kolmogorov - Smirnov Result...................................................................... 35 Table 4.16 Multicolinearity Result ................................................................................. 36 Table 4.17 Heteroscedasticity Result.............................................................................. 36 Table 4.18 Durbin Watson Result................................................................................... 36 Table 4.19 Regression Statistics ..................................................................................... 37 Table 4.20 F Test ............................................................................................................ 37 Table 4.21 T Test ............................................................................................................ 38 Table 4.22 APT Estimation Summary for 3 Markets ..................................................... 39 Table 5.1 Research Findings ........................................................................................... 43
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LIST OF EQUATIONS Eq 2.1 ................................................................................................................................ 8 Eq 2.2 ................................................................................................................................ 9 Eq 2.3 .............................................................................................................................. 12 Eq 3.1 .............................................................................................................................. 24 Eq 4.1 .............................................................................................................................. 30 Eq 4.2 .............................................................................................................................. 31 Eq 4.3 .............................................................................................................................. 34 Eq 4.4 .............................................................................................................................. 35 Eq 4.5 .............................................................................................................................. 38 Eq 4.6 ............................................................................................................................. 39
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LIST OF APPENDICES APPENDIX A. Jakarta Composite Index …………………………………………….. 50 APPENDIX B. Jakarta Consumer Goods Index ………………………………….….. 52 APPENDIX C. Jakarta Trade and Service Index ……………………….……………. 54
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