Hubungan antara harga minyak mentah internasional dengan indeks pasar saham Indonesia menggunakan non-linear cointegration test = Relationship between International Crude Oil with Indonesian Stock Market Using Non-Linear Cointegration Test

Susanto, Probo (2018) Hubungan antara harga minyak mentah internasional dengan indeks pasar saham Indonesia menggunakan non-linear cointegration test = Relationship between International Crude Oil with Indonesian Stock Market Using Non-Linear Cointegration Test. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dalam Tugas Akhir ini akan dilakukan uji kointegrasi antara pasar saham Indonesia (IHSG) dengan minyak mentah internasional pada periode 5 Oktober 2000 sampai 2 Juni 2017 menggunakan uji kointegrasi non-linier. Uji ini tidak menerima hubungan jangka panjang antar variabel untuk rentang data secara keseluruhan. Untuk mendapatkan hasil yang lebih baik pada hubungan jangka panjang antara IHSG dan international crude oil, berdasarkan structural break yang membagi data menjadi 4 fase. Uji kointegrasi non-linier mengindikasikan adanya hubungan jangka panjang antara IHSG dan international crude oil pada fase 1 dan 3 untuk periode 5 Oktober 2000 hingga 29 Agustus 2006 dan 12 Agustus 2008 hingga 3 November 2014. Granger Causality Test menunjukkan bahwa harga international crude oil mempengaruhi IHSG di fase 1 dengan tidak adanya hubungan timbal balik seperti yang terjadi pada fase 3. Dalam beberapa kondisi, pergerakan dari IHSG dan international crude oil akan saling memberikan dampak yang berbeda. / In this Final Project will be conducted cointegration test between Indonesian stock market (IHSG) with international crude oil during the period of October 5, 2000 to June 2, 2017 using non-linear cointegration test. This test does not accept long-term relationships between variables for the entire data range. To get better results on the long-term relationship between IHSG and international crude oil, based on structural break which divides the data into 4 phases. Non-linear cointegration test indicates a long-term relationship between IHSG and international crude oil in phases 1 and 3 for the period from October 5, 2000 to August 29, 2006 and August 12, 2008 through November 3, 2014. Granger Causality Test shows that international crude oil prices are affecting IHSG in phase 1 in the absence of reciprocal relationships as happened in phase 3. In some cases, the movement of the IHSG and international crude oil will have different impacts.

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