Pengaruh Perubahan Nilai Tukar Valuta Asing terhadap Perubahan Indeks LQ-45 dan Indeks Sektoral dengan Menggunakan Model Generalized Autoregressive Conditional Heteroscedasticity (GARCH)

Suryanadi, Pram, Prof. Dr. Eduardus Tandelilin, M.B.A.

2007 | Tesis | S2 Management

Pasar modal Indonesia saat ini berkembang pesat sebagai alternatif investasi menanam uang di bank. Investasi tersebut memberikan return yang lebih tinggi dengan konsekuensi risiko yang lebih tinggi pula. Oleh sebab itu investor harus menginvestasikan dananya pada portfolio yang optimal yang memiliki return (yang diukur dengan mean) pada moment pertama (first moment) dan risiko (yang diukur dengan variance) pada moment kedua (second moment), secara efisien. Kedinamisan pasar (market dynamic) di dalam Pasar modal dapat mendorong timbulnya volalititas harga. Sangat penting bagi investor untuk memiliki pengetahuan tentang volatilitas karena investor dapat mempertimbangkan informasi volatilitas untuk manajemen risiko dalam investasinya. Penelitian ini mempelajari tingkat pentingnya first moment eksposure nilai tukar valuta asing dan second moment eksposure Indeks LQ-45/ Indeks Sektoral terhadap Perubahan Indeks LQ-45/ Indeks sektoral. Model GARCH digunakan untuk mengukur persamaan variance yang terdapat di moment kedua eksposure Indeks LQ-45/ Indeks Sektoral. Masuknya informasi baru bersifat time varying sehingga varians dari return juga bersifat time varying. Adanya time varying return distribution berarti mean dan variance tergantung pada informasi. Untuk itu dipertimbangkan pula dalam model estimasi return saham dengan masukkan deviasi masa lalu (autoregressive), Serta diperhitungkan pula varians dari error term untuk menggambarkan adanya heteroskedastisitas yang mencerminkan variasi waktu dari varians. Model untuk varians tersebut dibuat berdasarkan metode GARCH (Generalized AutoRegressive Conditional Heteroscedasticity). Kata Kunci: Market dynamics, Time Varying Return Distribution, Autoregresif, Volatilitas, GARCH

Indonesian capital market has growth fast as investment alternative choice in spite of in money market. It gives higher return with the consequences of higher risk. Hence, investors have to invest his fund in optimal portfolio which have efficient return (measured by mean) at first moment and risk (measured by variance) at second moment. Market dynamic in capital market can enforced price volatility. It is very important for investors to have an information and comprehensive understanding about volatility for his investment risk management


This research investigates the role of first moment exposure exchange and second moment exposure LQ-45/ sectoral index toward LQ-45/sectoral index change. GARCH modelling are carried out to measure variance equation in LQ-45/sectoral index second moment exposure. It is found that between variance and stock return toward news arrivals that makes investors revise his valuation of stock intrinsic value. News arrivals comes as time varying so do the variance of return. It makes time varying return distribution, that means conditional mean, variance and covariance depend on information contents. Stock return often shows conditionally depend on time observation t with time observation t-n (autocorrelation) and stochastic variance per unit of time (heteroscedasticity) hence, it is important to include past standart deviation (autoregressive) and variance of error term shows heteroscedasticity that represent time variation of variance. Model that has been fitted to this are made based on GARCH (Generalized AutoRegressive Conditional Heteroscedasticity) modelling. Keywords: Market dynamics, Time Varying Return Distribution, Autoregressive, volatility, GARCH

Kata Kunci : Perubahan Nilai Tukar; Valuta Asing; Valas; Perubahan Indeks LQ-45; Indeks Sektoral; Modal GARCH