Pengaruh Composite Index Lima Nnegara Maju Terhadap Composite Index Bursa Efek Indonesia (BEI) (Periode Januari 2008 – AGgustus 2012)
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Abstract
Di era yang modern seperti sekarang ini, perkembangan ekonomi dalam suatu negara sudah dipengaruhi oleh revolusi tehnologi yang menyebabkan informasi dapat menyebar dengan cepat. Perkembangan perekonomian negara itu sendiri semakin maju sehingga informasi-informasi perekonomian dapat dipantau dari pasar modal. Pada era Globalisasi ini korelasi atau adanya keterkaitan antara pasar saham di seluruh dunia sekarang ini menjadi menarik, karena investor menggunakan instrument ini untuk meminimalkan risk yang mungkin terjadi akibat pergolakan pasar saham. Metode yang digunakan adalah Johansen Cointegration Approach untuk mengetahui pengaruh bursa saham global terhadap bursa saham di Indonesia. Berdasarkan hasil penelitian yang telah dilakukan tidak terdapat pengaruh yang signifikan dari bursa saham global (Dow, FTSE, ASX, Hang Seng, Nikei) terhadap bursa saham Indonesia (BEI). Implikasi dari penelitian ini adalah investor dapat melakukan pengaturan resiko dengan menggunakan diversifikasi internasional berdasarkan derajat integrasi dari bursa saham tersebut.
Kata Kunci: Kointegrasi, Johansen Cointegration, diversifikasi internasional, composite index
In the modern era like nowadays, the economic development of a country is influenced by the technology revolution that causes information to spread out quickly. The economic development of the country itself advanced, so that the information can be monitored from the capital market. In this globalization era correlation or linkage between stock markets around the world are now become more attractive, since the investors are using this instrument to minimize the risk that may occur due to stock market volatility. The method used is the Johansen Cointegration Approach to determine the effect of the global stock markets stock markets to Indonesia. Based on the research that has been done there is no significant influence of global stock markets (Dow, FTSE, ASX, Hang Seng, Nikei) to the Indonesia Stock Exchange (IDX). The implication of this study is that investors can make risk management to use the international diversification based on the degree of integration of the stock exchanges.
Keywords: Cointegration, Johansen cointegration, international diversification, composite index
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