PENGUJIAN KAUSALITAS ANTARA TRANSAKSI INVESTOR ASING DAN TRANSAKSI INVESTOR DOMESTIK DI PASAR MODAL INDONESIA

Laras Febriantami, Marwan Asri, Prof., M.B.A., Ph.D.

2022 | Tesis | MAGISTER MANAJEMEN (KAMPUS JAKARTA)

Penelitian ini bertujuan untuk menganalisis hubungan kausalitas antara transaksi investor asing dan transaksi investor domestik yang dibagi menjadi transaksi beli dan transaksi jual. Dengan menggunakan data harian, penelitian dilakukan dalam dua periode yaitu sebelum krisis dan saat krisis terjadi tahun 2020. Penelitian menggunakan metode Vector Autoregression (VAR) dengan analisis kausalitas Granger, analisis impulse response function, serta analisis variance decomposition. Hasil penelitian menemukan adanya enam hubungan kausalitas yang signifikan pada periode sebelum krisis. Ditemukan bahwa transaksi beli investor asing di masa lampau mempengaruhi transaksi beli investor domestik. Sedangkan, hasil penelitian saat adanya krisis terdapat delapan hubungan kausalitas dengan tingkat signifikansi lebih tinggi serta perilaku transaksi yang berlawanan. Terdapat dua hubungan kausalitas bidirectional yang mengindikasikan adanya perbedaan strategi investasi antara investor asing dengan investor domestik.

This study was conducted to analyze the causal relationship between foreign and domestic investor transactions which are divided into buy and sell transactions. Using daily data, this study focuses on two periods, before the crisis and when the crisis occurred in 2020. This study used the Vector Autoregression (VAR) method with Granger causality test, impulse response function analysis, and variance decomposition analysis. The results of the study found that there were six significant causal relationships in the period before the crisis. It also found that the buying transactions of foreign investors in the past affected the buying transactions of domestic investors. Meanwhile, the results of the study during a crisis found eight causal relationships with a higher level of significance and opposite transaction behavior. There are two bidirectional causality relationships that indicate different investment strategies between foreign investors and domestic investors.

Kata Kunci : Kausalitas, transaksi investor domestik, transaksi investor asing, VAR.