Hubungan Sentimen Investor, Volume Perdagangan dan Kebijakan Moneter Pada Perkembangan Pasar Modal di Indonesia

Putri Fariska; Nugraha Nugraha; Mochamad Malik Akbar Rohandi

doi:10.29313/performa.v17i1.6670

Hubungan Sentimen Investor, Volume Perdagangan dan Kebijakan Moneter Pada Perkembangan Pasar Modal di Indonesia

Putri Fariska, Nugraha Nugraha, Mochamad Malik Akbar Rohandi

Abstract

ABSTRACT

The growth of the capital market greatly influences a positive or negative sentiment that can come within the country or abroad which leads to a policy of a country. The purpose of this study is to determine the relationship between investor sentiment, trade volume and monetary policy taken by the government on the development of the capital market in Indonesia during the last ten years. Using the granger causality test in Vector Autoregression (VAR) and Impulse Response Function (IRF) analysis modeling to capture dynamic and casual relationships between variables in the 2011-2020 period. From the results of this study it is known that investor sentiment and monetary policy have an influence on trading volume. capital market in Indonesia where the relationship is only one way. Another finding that resulted is that the response received by trading volume if a shock occurs to investor sentiment is convergent, initially the response given during the shock will eventually disappear and will not leave a permanent impact. However, if a shock occurs in monetary policy, the response to trading volume will be negative and convergent, while investor sentiment will be positive and convergent.

Keywords: Investor Sentiment, Trading Volume, Monetary Policy, Capital Market

ABSTRAK

Perkembangan pasar modal sangat berpengaruh pada suatu sentimen positif atau negatif yang dapat berasal dari dalam negeri maupun luar negeri yang mengarah pada suatu kebijakan suatu negara. Tujuan dari penelitian ini adalah untuk mengetahui hubungan sentimen investor, volume perdagangan dan kebijakan moneter yang diambil pemerintah terhadap perkembangan pasar modal di Indonesia selama sepuluh tahun terakhir. Menggunakan tes uji kausalitas granger pada pemodelan analisis Vector Autoregression (VAR) dan Impulse Response Function (IRF) untuk menangkap hubungan dinamik dan kasual antar variabel pada periode 2011 - 2020. Dari hasil penelitian ini diketahui bahwa sentimen investor dan kebijakan moneter mempunyai pengaruh pada volume perdagangan pasar modal di Indonesia dimana hubungan yang terjadi hanya bersifat searah. Temuan lainnya yang dihasilkan adalah respon yang diterima oleh volume perdagangan jika terjadi guncangan pada sentimen investor adalah bersifat konvergen, pada awalnya respon yang diberikan selama masa guncangan pada akhirnya akan menghilang dan tidak akan meninggalkan dampak yang permanen. Namun apabila terjadi guncangan pada kebijakan moneter maka respon volume perdagangan akan bersifat negatif dan konvergen sedangkan sentimen investor akan bersifat positif dan konvergen.

Kata kunci: Sentimen Investor, Volume Perdagangan, Kebijakan Moneter, Pasar Modal

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DOI: https://doi.org/10.29313/performa.v17i1.6670