Analisis Korelasi Indeks Saham Global
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Abstract
Pasar saham dari berbagai negara saat ini saling memengaruhi satu dengan lainnya. Penelitian ini bertujuan untuk mengetahui hubungan indeks harga saham global tersebut. Indeks yang menjadi objek penelitian terdiri dari Indeks Komposit Jakarta (Indeks Harga Saham Gabungan/IHSG), Straits Times Index (Singapura), PSEi Index (Filipina), KLCI Malaysia, SET Thailand, KOSPI Korea Selatan, JCI Jepang, Shanghai Composite Index (Cina), Indeks DAX Jerman, FTSE 250 Inggris, Nasdaq (AS), SPX (AS), dan DJI (AS). Analisis penelitian menggunakan bantuan uji korelasi untuk melihat tingkat hubungan antar-indeks tersebut. Hasil penelitian menunjukkan bahwa semua indeks memiliki keterkaitan satu dengan lainnya, tetapi pola hubungannya berbeda-beda, mulai dari moderat, kuat, dan sangat kuat. Terdapat kecenderungan hubungan yang sangat kuat antarindeks dari negara-negara maju, seperti Amerika Serikat dan Eropa. Pola korelasi sangat kuat muncul antarsesama indeks AS, yaitu Nasdaq, SPX, dan DJI. Lalu, pola yang sama terjadi antara DAX Jerman dan FTSE250 Inggris. Sesama indeks Asia Tenggara juga menunjukkan karakteristik hubungan yang sangat kuat. Terjadi pola yang sangat ekstrem antara STI Singapura dengan Nasdaq yang menunjukkan korelasi sangat lemah.
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