Analisis Keberadaan Gelembung (Bubble) di Pasar Saham Indonesia Tahun 2012-2022 dengan Pendekatan GSADF
Rahma Sari Kusuma Putri, Prof. Dr. Tandelilin Eduardus, M.B.A.
2023 | Skripsi | MANAJEMEN
This study analyzes the presence of bubbles in the Indonesian stock market from 2012 to 2022. The research method utilized is the Generalized Supremum Augmented Dickey-Fuller (GSADF) method, employing historical daily closing price data of the Jakarta Composite Index (IHSG) spanning from 2012 to 2022. The GSADF test is applied to identify the existence of multiple bubble periods, followed by Date-Stamping Strategies to determine the time intervals of each bubble. Additionally, a simple linear regression analysis is conducted to ascertain the relationship between IHSG and IDX FINANCE during the second identified bubble period (January 23, 2018, to January 30, 2018).
The results of this study identify three distinct bubble periods: August 24, 2015, to August 27, 2015; January 23, 2018, to January 30, 2018; and March 12, 2020, to March 27, 2020. Positive bubbles are observed during the first and second periods, while a negative bubble is noted in the third period. The common factor contributing to bubble occurrences across all periods is foreign investment inflow. The second period's bubble is partly attributed to the financial, mining, and consumption sectors. Simple linear regression analysis reveals a significant positive influence of IDX FINANCE on IHSG. The negative bubble in the third period is attributed to the global spread of the COVID-19 pandemic, resulting in negative sentiment not only in Indonesia but also on a global scale.
Kata Kunci : Gelembung Ekonomi, GSADF, Strategi Cap-Tanggal, IHSG, IDX Keuangan