The Study of Intertemporal relation between Jakarta Stock Exchange and the New York Stock Markets

SIHITE, Maruli Hotma M, Prof.Dr. Eduardus Tandelilin, MBA

2004 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk mengetahui pengaruh return saham di Bursa Efek New York terhadap Bursa Efek Jakarta antara Januari 1995 hingga Desember 2001. Dalam kurun waktu itu, data -data dibagi dalam 3(tiga) periode observasi sehubungan dengan 3(tiga) keadaan ekonomi yang dialami oleh Bursa Efek Jakarta. Periode pertama, Januari 1995 hingga Juni 1997 hasil perhitungan tes hipotesis diterima. Indeks Harga Saham Gabungan di Bursa Efek Jakarta dipengaruhi oleh indeks harga penutupan harian di Bursa Efek New York dengan tingkat kepercayaan yang signifikan sebesar <1 persen. Periode kedua, Agustus 1997 hingga Desember 1999 ketika Indonesia dan beberapa negara di Asia mengala mi goncangan ekonomi yang hebat, dimana diduga Indonesia mampu mempengaruhi bursa-bursa efek di negara lain dalam hal ini Bursa Efek di New York. Namun hasil tes hipotesis menolak dugaan ini. Keterpurukan ekonomi yang diawali di negara Asia tidak mampu memutus tali hubungan Bursa Efek Jakarta terhadap bursa internasional, tetap mengikuti tren indeks harga penutupan harian Bursa Efek di New York. Periode ketiga, Januari 2000 hingga Desember 2001 hasil perhitungan hipotesis diterima. Walaupun jumlah investor asing di Bursa Efek Jakarta semakin berkurang namun pada periode ini investor lokal lebih rasional dalam transaksi sehari-hari yang tetap mengacu pada informasi tentang bursa saham internasional.

This study is observing the intertemporal relation between the Jakarta Stock Exchange and the New York Stock Exchange from January 1995 until December 2001. During those periods of observation, the data is divided into three periods as the Jakarta Stock Exchange has experienced three different economy characteristics. Period 1 (one), January 1995 to June 1997 the result of hypothesis test for this period is accepted. The daily stock return of the Jakarta Stock Exchange was influenced by the daily stock return of the NYSE. In this research IHSG lag to the DJIA and S&P 500 with the significant confident 1(one) percent. Period 2 (two), August 1997 to December 1999, when Indonesia and some Asian countries experienced economy turmoil during which time Indonesia was able to influence the international stock market, in this study the NYSE. The result of hypothesis test for this period is not answering the hypothesis (H2). The economy downturn and high disturbance on domestic social economy condition was not able to break the chain of international stock market information in influencing the JSX stock return. Period 3 (three), January 2000 to December 2001 the result of hypothesis test during this period is accepted. Even though the foreign investors are lower than before, domestic investor are more rational in gathering any single information about stock market. The JSX daily stock return is still influenced by the NYSE stock return.

Kata Kunci : Pasar Modal,Return Saham,BEJ dan NYSM, intertemporal relation, Jakarta Stock Exchange, New York Stock Exchange