Hubungan Jangka Panjang dan Jangka Pendek Indeks Pasar Saham dan Exchange Rate Negara ASEAN 6
DOI:
https://doi.org/10.35384/jemp.v7i1.224Keywords:
pasar ekuitas, exchange rates, kointegrasi johansen, kausalitas grangerAbstract
Penelitian ini bertujuan untuk menganalisis integrasi dan kausalitas data harga saham tahunan pasar ekuitas dan nilai tukar mata uang akhir periode ASEAN 6 selama periode 2007 sampai 2018. Penelitian empiris menggunakan Johansen Cointegration Test menunjukkan hubungan jangka panjang antara pengembalian mata uang Thailand dan pasar ekuitas negara-negara ASEAN lainnya kecuali dengan Malaysia. Selain itu penelitian empiris dengan metode Granger Causality Test menunjukkan indikasi bahwa return exchange rate jangka pendek Thailand, Malaysia, dan Singapura berpengaruh terhadap return indeks saham pasar ekuitas Filipina, indeks return pasar ekuitas Indonesia dan Singapura berpengaruh terhadap nilai tukar Vi-etnam. return, indeks return pasar ekuitas Singapura dan nilai tukar return Vietnam mempengaruhi indeks return ekuitas pasar saham Malaysia. Hasil penelitian secara umum menunjukkan bahwa pasar ekuitas dan nilai tukar ASEAN 6 lebih banyak ditunjukkan oleh hubungan jangka pendek antara kedua pasar tersebut. Sedangkan pasar ekuitas dan nilai tukar Indonesia masih terlihat paling diminati oleh investor selama peri-ode penelitian, untuk pengembalian yang lebih tinggi dan risiko yang moderat di antara ASEAN 6. Gun-cangan keuangan ke pasar ASEAN 6 dalam jangka pendek akan terlihat pertama dari pasar nilai tukarnya, dan kemudian diikuti oleh pasar ekuitasnya.References
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