PEMODELAN HUBUNGAN KOINTEGRASI HARGA CPO DAN KINERJA INDEKS SAHAM SYARIAH INDONESIA MENGGUNAKAN VECM
Abstract
Peramalan pergerakan saham biasanya akan lebih akurat jika model yang digunakan turut mempertimbangkan keterlibatan variabel lain yang kemungkinan berpengaruh. Penelitian ini memodelkan hubungan dinamis jangka panjang antara Kinerja Indeks Saham Syariah Indonesia (IDx Syariah) dengan perubahan harga Cruide Palm Oil(CPO). Data IDx Syariah dan CPO yang diketahui tidak stasioner dimodelkan dengan menggunakan analisis Vector Error Correction Model (VECM). Hasil uji kointegrasi dari kedua variabel menunjukan bahwa terdapat hubungan jangka panjang yang signifikan antara variabel IDx Syariah dan CPO. Grafik Impulse Response Function (IRF) memperlihatkan bahwa pergerakan nilai CPO baru akan direspon oleh kinerja IDx Syariah pada periode lag ke-tiga sampai pada periode lag ke-enam. IDx Syariah menunjukan respon yang negatif terhadap CPO pada lag ke tiga dan bergerak naik secara fluktuatif sampai periode ke enam. Artinya perubahan harga CPO direspon secara negative oleh Indeks Saham Syariah Indonesia setelah tiga sampai enam periode waktu harga baru dibentuk di pasar komoditas CPO
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