DAFTAR ISI
Halaman KATA PENGANTAR . .................................................................................. i DAFTAR TABEL .......................................................................................... vi DAFTAR GAMBAR ...................................................................................... viii DAFTAR LAMPIRAN. ................................................................................. ix I. PENDAHULUAN 1.1. Latar Belakang .................................................................................. 1.2. Rumusan Masalah ............................................................................. 1.3. Tujuan Penelitian .............................................................................. 1.4. Manfaat Penelitian ............................................................................ 1.5. Ruang Lingkup.................................................................................. II. TINJAUAN PUSTAKA DAN KERANGKA PEMIKIRAN 2.1. Kerangka Teoritis .............................................................................. 2.1.1. Konsep Investasi ................................................................... 2.1.2. Pasar Modal ......................................................................... 2.1.3. Saham .................................................................................... 2.1.3.1. Return Saham .......................................................... 2.1.3.2. Risiko Saham ........................................................... 2.1.4. Indeks Harga Saham ............................................................ 2.1.4.1. Metode Penghitungan Indeks Pasar Saham ............. 2.1.5. Integrasi Keuangan .............................................................. 2.1.5.1. Integrasi Pasar Saham .............................................. 2.1.6. Diversifikasi Internasional ................................................... 2.1.6.1. Pasar Modal Internasional........................................ 2.1.6.2. Tingkat Keuntungan dan Risiko Investasi Di Pasar Modal Internasional........................................ 2.1.6.3. Kapan Diversifikasi Internasional Dilakukan .......... 2.1.6.4. Pasar Modal Internasional Terintegrasi Penuh ........ 2.1.7. Subprime Mortgage ............................................................. 2.1.8. Volatilitas ............................................................................. 2.1.9. Transmisi Harga dan Volatilitas Return Pasar Saham Dunia.. 2.2. Kajian Penelitian Terdahulu ............................................................. 2.3. Kerangka Konseptual Penelitian ....................................................... III. GAMBARAN UMUM 3.1. Sekilas Tentang Pasar Modal. ........................................................... 3.2. Pasar Saham Internasional ................................................................ 3.3. Karakteristik Pasar Saham ................................................................ 3.4. Karakteristik Saham .......................................................................... 3.5. Karakteristik Pasar Saham ................................................................ 3.6. Kronologis Krisis Subprime Mortgage di Amerika Serikat.............. 3.7. Pergerakan Harga Saham ..................................................................
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1 9 10 11 11
14 14 16 16 18 19 20 22 26 29 29 30 32 34 36 39 40 42 44 48
51 53 53 56 58 59 64
3.8. Keterkaitan Perilaku Investor dengan Pergerakan Harga Saham ..... 3.9. Analisis Eksploratif ........................................................................... 3.10. Kondisi Pasar Saham Pra dan Pasca Krisis Subprime Mortgage ..... 3.11. Kebijakan Penanggulangan Krisis Subprime Mortgage ................... IV. TRANSMISI HARGA SAHAM-SAHAM DUNIA SEBELUM DAN SETELAH KRISIS SUBPRIME MORTGAGE 4.1. Pendahuluan ...................................................................................... 4.2. Metode Penelitian ............................................................................. 4.2.1. Jenis dan Sumber Data ......................................................... 4.2.2. Metode Pengolahan dan Analisis Data ................................. 4.2.3. Analisis Vector Autoregression (VAR) ............................... 4.2.4. Analisis Vector Error Correction Model (VECM) ............... 4.2.5. Pengujian pra-estimasi ......................................................... 4.2.5.1. Ordering: Uji Matriks Korelasi dan Uji Kausalitas Granger ............................................. 4.2.5.2. Uji Stasioneritas Data .............................................. 4.2.5.3. Penentuan Lag Optimal............................................ 4.2.5.4. Uji Kointegrasi ......................................................... 4.2.6. Analisis Impulse Response Function (IRF) ......................... 4.2.7. Analisis Forecast Error Variance Decomposition (FEVD) . 4.2.8. Model Penelitian ................................................................... 4.3. Hasil dan Pembahasan ...................................................................... 4.3.1. Uji Stasioneritas Data .......................................................... 4.3.2. Penentuan Lag Optimal......................................................... 4.3.3. Uji Kointegrasi ..................................................................... 4.3.4. Vector Error Correction Model (VECM) ............................. 4.3.5. Analisis Impulse Response Function Indeks Harga Saham Internasional ......................................................................... 4.3.5.1. Respon Pasar Saham Internasional Terhadap Guncangan Pasar Saham Negara Lain (Pra Krisis SM) ........................................................ 4.3.5.2. Respon Pasar Saham Internasional Terhadap Guncangan Pasar Saham Negara Lain (Pasca Krisis SM) .................................................... 4.3.6. Analisis Forecast Error Variance Decomposition (FEVD) Indeks Harga Saham Internasional ...................................... 4.3.6.1. FEVD Indeks Harga Saham Pra Krisis SM ............. 4.3.6.2. FEVD Indeks Harga Saham Pasca Krisis SM ......... V. TRANSMISI VOLATILITAS RETURN SAHAM-SAHAM DUNIA 5.1. Pendahuluan ...................................................................................... 5.2. Metode Penelitian ............................................................................. 5.2.1. Jenis dan Sumber Data ......................................................... 5.2.2. Metode Pengolahan dan Analisis Data ................................. 5.2.2.1. Perhitungan Return ................................................ 5.2.3. ARCH/GARCH ................................................................... 5.2.3.1. Model ARCH/GARCH ..........................................
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67 69 71 76
78 80 80 81 82 86 87 88 91 93 94 95 96 97 99 99 101 102 103 104
105
109 112 113 118
124 126 126 128 128 129 131
5.2.3.2. Kriteria Pemilihan Model ...................................... 5.2.4. Analisis Vector Autoregression (VAR) ............................... 5.2.5. Analisis Impulse Response Function (IRF) ......................... 5.2.6. Analisis Forecast Error Variance Decomposition (FEVD) . 5.3. Hasil dan Pembahasan ...................................................................... 5.3.1. Pemilihan Model Terbaik ARCH/GARCH ......................... 5.3.2. Eksploratif Residual dari Tiap Model Terbaik ..................... 5.3.3. Pengujian Pra Estimasi VAR ................................................ 5.3.3.1. Ordering: Uji Kausalitas Granger .......................... 5.3.3.2. Uji Stasioneritas Data ............................................ 5.3.3.3. Penentuan Lag Optimal.......................................... 5.3.4. Analisis Impulse Response Function Volatilitas Return Pasar Saham Internasional ............................................................. 5.3.5. Analisis Forecast Error Variance Decomposition (FEVD) Volatilitas Pasar Saham Internasional ..................................
131 132 133 134 134 134 140 141 141 144 145 146 148
VI. PEMBAHASAN UMUM DAN IMPLIKASI KEBIJAKAN ............... . 152 VII. KESIMPULAN DAN SARAN 7.1. Kesimpulan ....................................................................................... 163 7.2. Saran ................................................................................................. 165 DAFTAR PUSTAKA. .................................................................................... 167 LAMPIRAN.................................................................................................... 171
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DAFTAR TABEL
Nomor
Halaman
1.
Perubahan Indeks Harga Saham di Bursa Global .....................................
8
2.
Waktu Pembukaan dan Penutupan Pasar Saham ....................................... 54
3.
Kinerja Pasar Saham Asia Timur ............................................................... 55
4.
Deskripsi Indeks yang Digunakan ............................................................. 59
5.
Kronologis Krisis Subprime Mortgage Amerika Serikat........................... 63
6.
Analisis Indeks dan Return Pasar-Pasar Saham Periode Pra Krisis .......... 72
7.
Analisis Indeks dan Return Pasar-Pasar Saham Peride Pasca-Krisis ........ 73
8.
Pengujian Korelasi Antar Variabel ............................................................ 90
9.
Hasil Pengujian Akar Unit Untuk Model Transmisi Harga ....................... 100
10. Hasil Pengujian Lag Optimal Untuk Model Transmisi Harga................... 102 11. Hasil Uji Kointegrasi (Johansen Trace Statistic) ...................................... 103 12. Hasil Estimasi VECM Untuk Variabel Dummy Krisis SM....................... 104 13. Pengujian Autokorelasi dan Heteroskedastisitas ....................................... 130 14. Pemilihan Model ARCH/GARCH Terbaik Return Saham Indonesia ....... 134 15. Pemilihan Model ARCH/GARCH Terbaik Return Saham Singapura ...... 135 16. Pemilihan Model ARCH/GARCH Terbaik Return Saham Jepang ........... 135 17. Pemilihan Model ARCH/GARCH Terbaik Return Saham Korea Selatan ........................................................................................................ 136 18. Pemilihan Model ARCH/GARCH Terbaik Return Saham Hongkong...... 136 19. Pemilihan Model ARCH/GARCH Terbaik Return Saham Inggris ........... 137 20. Pemilihan Model ARCH/GARCH Terbaik Return Saham Perancis ......... 137 21. Pemilihan Model ARCH/GARCH Terbaik Return Saham Jerman ........... 138
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22. Pemilihan Model ARCH/GARCH Terbaik Return Saham Swiss ............. 138 23. Pemilihan Model ARCH/GARCH Terbaik Return Saham Amerika Serikat ........................................................................................................ 139 24. Uji Kausalitas Granger Untuk Model Transmisi Volatilitas...................... 142 25. Hasil Pengujian Akar Unit Untuk Model Transmisi Volatilitas ................ 144 26. Hasil Pengujian Lag Optimal Untuk Model Transmisi Volatilitas ............ 145 27. Ringkasan Hasil Penelitian ........................................................................ 154
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DAFTAR GAMBAR
Nomor
Halaman
1.
Kerangka Pemikiran Konseptual ............................................................... 50
2.
Fluktuasi Indeks Harga Saham-Saham Dunia .......................................... 70
3.
Pergerakan Return Pasar Saham Internasional 2003-2008 ....................... 75
4.
Respon Pasar Saham Internasional Terhadap Guncangan Negara Lain Pra Krisis SM ............................................................................................. 106
5.
Respon Pasar Saham Internasional Terhadap Guncangan Negara Lain Pasca Krisis SM ......................................................................................... 110
6.
FEVD Indeks Harga Saham Pasar Internasional Pra Krisis SM................ 114
7.
FEVD Indeks Harga Saham Pasar Internasional Pasca Krisis SM ............ 119
8.
Volatilitas Return Saham-Saham Dunia .................................................... 140
9.
Respon Volatilitas Return Pasar Saham Internasional Terhadap Guncangan Volatilitas Return Negara Lain ............................................... 147
10.
FEVD Volatilitas Return Pasar Saham Internasional ................................ 149
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DAFTAR LAMPIRAN
Nomor
Halaman
1.
Uji Kausalitas Granger Untuk Penentuan Variabel Terpilih .................... 171
2.
Pengurutan dan Pemilihan Variabel Model Transmisi Harga .................. 171
3.
Model Return Saham Indonesia Dengan GARCH (2,2) ........................... 172
7.
Model Return Saham Singapura Dengan GARCH (2,1) .......................... 173
8.
Model Return Saham Jepang Dengan GARCH (2,1) ............................... 174
9.
Model Return Saham Korea Selatan Dengan GARCH (1,1) .................... 175
10.
Model Return Saham Hongkong Dengan GARCH (2,1) ......................... 176
11.
Model Return Saham Inggris Dengan GARCH (2,1) ............................... 177
12.
Model Return Saham Perancis Dengan GARCH (2,1) ............................. 178
13.
Model Return Saham Jerman Dengan GARCH (2,1) ............................... 179
14.
Model Return Saham Swiss Dengan GARCH (2,1) ................................. 180
15.
Model Return Saham Amerika Serikat Dengan GARCH (1,1) ................ 181
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