ANALISIS HUBUNGAN KURS (RUPIAH/ USD) DAN KINERJA SAHAM SEKTORAL DI BURSA EFEK INDONESIA

MARGARETA IRENE W, Mamduh M. Hanafi, Dr, MBA.

2016 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Rupiah memiliki trend terdepresiasi terhadap USD sejak tahun 2011 dan mencapai kurs tertinggi di tahun 2015 (Rp14.693/ USD). Pergerakan kurs paling ekstrem terjadi tahun 2013 (26,9%, yoy) dan tahun 2015 (10,5%, yoy). Sejalan dengan itu, kinerja emiten juga mengalami pelemahan tertinggi di tahun 2013 dan 2015, dengan tingkat fluktuasi yang berbeda di setiap sektornya. Untuk melihat hubungan antara pergerakan kurs Rupiah/ USD dengan kinerja indeks sektoral, uji kausalitas Granger pada variasi lag 1,3,5,10, dan 20 hari dilakukan dalam penelitian ini. Hasil analisis menunjukkan bahwa setiap industri menunjukkan respon berbeda. Hubungan timbal balik ditemukan pada sektor pertanian, keuangan, pertambangan, dan perdagangan, namun tidak pada sektor industri dasar, barang konsumsi, infrastruktur, aneka industri, dan properti. Hubungan timbal balik tersebut terjadi pada lag yang bervariasi, yaitu lag yang lebih pendek untuk sektor pertanian dan lag lebih panjang untuk sektor lainnya. Hasil tersebut sejalan dengan penelitian sebelumnya yang menjelaskan bahwa pengaruh kurs terhadap kinerja indeks sektoral terjadi akibat perubahan daya saing dan cash flow perusahaan (Bodnar dan Gentry,1993 dan Pan et al 2007). Pengaruh kinerja indeks sektoral terhadap kurs dapat dijelaskan dengan adanya mekanisme pasar (permintaan dan penawaran). Perubahan kinerja saham mendorong capital flow dari investor asing yang menyebabkan perubahan permintaan mata uang domestik (Bahamani-Oskooee dan Sohrabian, 1992 dan Ajayi et al.,1998) Perbedaan respon antar sektor industri juga nampak dalam koefisien hasil regresi dengan metode Vector Auto Regression (VAR) ataupun Ordinary Least Square (OLS) pada lag optimal tiap sektor. Kurs berpengaruh negatif terhadap indeks sektor infrastruktur, industri dasar, aneka industri, perdagangan, pertambangan, properti; namun berpengaruh positif pada sektor pertanian. Perbedaan pengaruh pada tiap sektor industri muncul akibat karakter input, proses, dan output pada perusahaan di setiap sektor industri. Pada arah sebaliknya, indeks sektoral berpengaruh negatif terhadap kurs Rupiah/USD pada sektor barang konsumsi, keuangan, perdagangan, infrastruktur, pertambangan, dan pertanian yang menunjukkan makin baik kinerja saham akan menyebabkan apreasiasi Rupiah terhadap USD. Pengaruh tersebut muncul karena besarnya kepemilikan investor asing (lebih dari 40%) pada sektor tersebut. Kata Kunci: Kurs, Indeks Sektoral, Timbal Balik, Lag, VAR, OLS

Rupiah (IDR) exchange rate against US Dollar (USD) had a weakening trend since 2011 and reached the lowest rate in 2015 (IDR14.693/ USD). The extreme depreciation of IDR happened in the year 2013, it plunged 26.9% (year on year) and in 2015 which fell by 10.5% (year on year). Along with that, the stock performance also weakened with the different rate for each industrial sector. Granger causality test in various lags (1,3,5,10, and 20) was conducted in this research to find out the relationship between IDR/ USD exchange rate and Industrial Index in Indonesia Stock Exchange. The findings from this study showed bidirectional relationships between the exchange rate movement and index performance with difference respond for each industry. The bidirectional relationships were founded in agriculture, finance, mining, trade sector, while the five sectors remain are not. Further, the relationship was shown in shorter lag for agriculture sector whereas longer lag for the others. These findings were agreed with the previous study from Bodnar and Gentry (1993), Pan et al. (2007), Oskooee dan Sohrabian (1992) and Ajayi et al. (1998) that pointed out the bidirectional relationship between the stock price and foreign exchange rate in several countries. They suggested that the currency movement affects the competitiveness and company cash flow, hence their earnings and stock price. Conversely, the stock price fluctuations influence the exchange rate movement according to the supply and demand theory. A growing stock market attracts capital flows from the foreign investors, therefore causes the increment of local currency and vice versa. As a result, the rising (declining) of the stock market are related to the local currency appreciation (depreciation). Moreover, this result from Vector Auto Regression (VAR) and Ordinary Least Square (OLS) with the optimum lag indicates the difference coefficient for each sector. Negative relationships were shown in infrastructure, basic industry, miscellaneous industry, trade, mining, and property; on the other hand, a positive correlation was found in the agriculture sector. These differences appeared along with the distinct characters of input, process, and output per each industry. While, the negative impacts of the industrial index to the IDR/ USD exchange were found in consumer, finance, trade, infrastructure, mining, and agriculture. It means that a higher index performance leads to IDR appreciation. This relationship was related to the huge ownership portion (more than 40%) of foreign investor in these sectors. Keywords: Exchange Rate, Industrial Index, Bidirectional Relationship, Lag, VAR, OLS

Kata Kunci : Kurs, Indeks Sektoral, Timbal Balik, Lag, VAR, OLS