THE LONG-RUN RELATIONSHIP AND SHORT-RUN INTERDEPENDENCE BETWEEN FOREIGN STOCK MARKETS & EXCHANGE RATES, AND INDONESIA STOCK EXCHANGE

Gede Ariadi, Eduardus Tnadelilin, Prof., Dr., MBA.

2008 | Tesis | Magister Manajemen

The degree of long-run relationship among the stock markets provides important implications on potential benefits of international portfolio diversification and on financial stability of a country. While short-run interdependence between stock markets and exchange rates affect international competitiveness and the balance of trade position, and consequently the real output of the country, which in turn affects current and future cash flows of companies and their stock prices. This research tries to examine the impact of long-run relationship and short-run interdependence berweenforeign stock markets and exchange rates toward the Indonesia stock market. The sample is divided into two periods which are within three-year period before and after the introduction of Euro. The long-run relationship is analyzed by Johansen Cointegralion test, whereas the short-run interdependence is examined by Granger Causality, and Error Correction Model (ECM). The result of research shows that the US market is more dominant rather than Japan market to influence the Indonesia market in long-run after introduction of Euro. On other hand, the Japan Yen has more substantial to affect the Indonesia market in the same period. While the US market and US Dollar currency have important role in shortrun interdependence to affect the Indonesia market after emerging of Euro. Keywords: Long-run, Short-run, Stock markets, Exchange rates

Tingkat dari hubungan jangka panjang antara beberapa pasar modal menghasilkan pengaruh penting pada keuntungan dari diversikasi portofolio internasional dan stabilitas keuangan suatu negara. Sedangkan hubungan jangka pendek antara beberapa pasar modal dan mara uang mempengaruhi p ersaingan internasional dan keseimbangan dari posisi neraca dagang dan akibatnya pada nilai produk dosmetik bruto suatu negara dimana mempengaruhi jumlah a/iran kas perusahaan dan nilai sahamnya dimasa depan dan sekarang. Penelitian ini mencoba menguji pengaruh dari hubungan jangka panjang dan jangka pendek anlara pasar modal dan mala uang asing terhadap bursa efek Indonesia. Sampel dibagi menjadi dua periode yaitu dalam kurun waktu tiga tahun sebelum dan sesudah beredarnya mara uang Euro. Hubungan jangka panjang dianalisa menggunakan uji Johansen Cointegration, sedangkan hubungan jangka pendek diuji dengan Granger Causality dan Model Koreksi Kesalahan (ECM). Hasil dari penelitian menunjukan bahwa pasar modal Amerika lebih dominant daripada pasar Jepang unt-uk mempengaruhi pasar modal Indonesia dalam jangka panjang setelah munculnya Euro. Sebaliknya, mala uang Yen lebih berpengaruh terhadap pasar modal Indonesia di periode y ang sama. Sedangkan pasar modal Amerika dan mara uang US Dollar mempunyai peranan pentirg dalam hubungan jangka pendek terhadap pasar Indonesia setelah beredarnya Euro. Kala Kunci: Jangka Panjang, Jangka Pendek, Pasar Modal, Mata Uang

Kata Kunci : Long-run, Short-run, Stock markets, Exchange rates