Pengaruh Kapitalisasi Pasar Saham dan Variabel Makroekonomi terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia

Abstract

This research aimed to analyze the impact of stock market capitalization and macroeconomic variables on Indonesia Composite Index (ICI) and formulate recommendations of strategies to enhance stock market capitalization. The analysis of macroeconomic data variables covered the inflation rate, oil price, gold price, and Hang Seng Index from 2008 to 2017. The model used in this research was Error Correction Model (ECM) and Analytical Hierarchy Process (AHP). The results showed that in general, all independent variables in the long run had a positively significant impact, except for inflation which had a negatively significant impact. In short run, stock market capitalization, inflation, world oil price, and HSI had a significant impact, while gold price had an insignificant impact. Stock market capitalization and HSI had a positive impact, while inflation and world oil price had a negative impact. Error Correction Term coefficient had an impact of -0.207329 with a negatively significant direction at the significance level of 5%. It showed that the adjustment mechanism process in the long run equilibrium lasted for 5 quarters. Stock market capitalization and HSI had a positive impact, while inflation and world oil price had a negative impact. Stock market capitalization, both in short and long run, had a positively significant and more dominant impact than that of macroeconomic variables. In consequence, a strategy to enhance stock market capitalization in IDX is required. Based on the results of AHP vertical analysis, factors that become a priority in the strategy is the policy (monetary and capital markets). The recommended alternative strategy encourages the increase in large cap stock investments.

Keywords: capitalization, composit indexs, macroeconomic, ECM, AHP

Abstrak: Penelitian ini bertujuan menganalisis pengaruh kapitalisasi pasar saham dan variabel makroekonomi terhadap IHSG dan kemudian merumuskan rekomendasi strategi meningkatkan kapitalisasi pasar saham. Data variabel makroekonomi yang dianalisis inflasi, harga minyak, harga emas dan indeks Hang Seng dari 2008 sampai 2017. Model penelitian menggunakan Error Correction Model (ECM) dan Analytical Hierarchy Process (AHP). Hasil penelitian menunjukan bahwa secara umum seluruh variabel independen dalam jangka panjang berpengaruh positif signifikan, hanya inflasi berpengaruh negatif signifikan. Pada jangka pendek, kapitalisasi pasar saham, inflasi, harga minya dunia dan HSI berepengaruh signifikan, Sedangkan harga emas tidak berpengaruh signifikan. Kapitalisasi pasar saham dan Indeks Hang Seng berpengaruh positif. Sedangkan inflasi dan harga minyak dunia berpengaruh negative. Koefisien Error Corection Term memiliki pengaruh sebesar – 0,207329 dengan arah negative signifikan pada taraf 5%, menunjukan bahwa proses penyesuaian (Adjusment Mechanism Prosses) pada keseimbangan jangka panjang berlangsung selama 5 triwulan. Kapitalisasi pasar saham dalam jangka pendek dan panjang berpengaruh positif signifikan dan dominan daripada pengaruh variabel makroekonomi. Untuk itu diperlukan strategi meningkatkan kapitalisasi pasar saham. Berdasarkan hasil analisis vertikal AHP, faktor yang menjadi prioritas dalam strategi adalah kebijakan (pasar modal dan moneter). Alternatif strategi yang direkomendasikan mendorong peningkatan investasi saham-saham berkapitalisasi besar.

Kata kunci: kapitalisasi, IHSG, makroekonomi, ECM, AHP