Bandung, 31 Desember Tim Peneliti

Transkripsi

1 Kegiatan penelitian ini merupakan kegiatan penelitian kerja sama antara Bursa Efek Jakarta dengan Fakultas Ekonomi Unpad dengan judul Kontribusi/Peranan Pasar Modal Terhadap Perekonomian Indonesia yang dilakukan bertujuan untuk mengetahui peran pasar modal didalam mendorong perekonomian Indonesia selama periode 1996 hingga 2006 dalam bentuk data kwartalan. Penelitian ini melibatkan seluruh emiten dari berbagai sektor yang terdapat dalam bursa efek Jakarta. Dari hasil penelitian ini diharapkan dapat berguna bagi Bursa Efek Jakarta Khususnya di dalam mendorong perannya di dalam mendorong sektor riil dan keuangan sehingga memacu pertumbuhan ekonomi. Bagi Fakultas Ekonomi Unpad, penelitian ini merupakan wahana untuk melakukan studi empiris mengenai pasar modal dalam kaitannya dengan sektor riil. Bandung, 31 Desember 2006 Tim Peneliti

2 !"## $!! %$%$ &

3 ! " #$%%! &' ( )* + )*+! )*+ #$,-#$,, #$,$ )*+ & ). *./ 01 2 )*+. #$,% #$$3" #$$6 #$$5 ",#5-,1 7 8' 9669 "! " ") ) )* +! ) : #$,#. ' ) 7 ' 9669.'*. 4 ) (;

4 ; #$,5. ' )* + " 4 "!! " < / " / / "! = )* + " " ' )*+

5 !&&! < # " " 9 / " & ) < Pemilik dana Intermediasi Finansial ' </ :' 5 *9660 DANA SUMBER FINANSIAL TAK LANGSUNG DANA DANA Pasar Finansial SUMBER FINANSIAL LANGSUNG DANA DANA Peminjam dana

6 !! :4 >! 4 4 = = 44 = = & )! ) /

7 =.? 4 : " 4 " " " ) "= <

8 Produk Indonesia bruto (PNB) Tingkat Suku bunga (IR) Jumlah Uang beredar (M1) Indeks harga konsumen (IHK) Nilai tukar rupiah terhadap dollar (ER) ) " Permintaan dan Persediaan akan Saham Harga Saham IHSG Kinerja Industri

9 $ & ) " ' #$$ ) " #$$% #$$, " 9# ' #$$$ " GDPRIIL? 9#? ;"/; & '. #$$% #$$, 99 '. 9666

10 KURS? 99!;&'. 9- " "=!" = #$$ = 966% "=! IHK? 9-"=! "

11 ' " #$$ M1? 90+ )/# & #$$%4#$$, '.' # '.= 93

12 TK_BUNGA? 93&) 966% '. &! "='? 9669 ' 9669"='? #$$%#$$, "='? #, % + 4"='? ) "='? 95 <

13 IHSG? 95 "='? )"='? = 9% ROE? 9%

14 !!& '$($% ). 2 ' & ) /!#$%- ' #$%- /! =? ' #$33#$56 #$5%! ) <# 9

15 - 0 3 ' '$($' *) *+ 4 ) A B #$$5 4! A #$$5 4!A#$$5 ' ). + #$$- 06 #$,64#$,, / ) = A B #$$5 #$$,'#$$% ' 0% #$%5 #$$- A B

16 #$$, ' 4 '$($( *) *) ) *+ / ) # ) = /!#$%-'#$%-!A#$$- 9 * * 4 '?'#$5%? #$5$

17 - = 44 '$,$% &-./% * /#$$$ C " # "D 4 ) '. A.. '+. #3.)2(( / E2 "!/:&& +. ' #$,6 #$$3! # F 9 F-

18 *'$%$ ) *) ; # A 666% 666, 666, 666, 666% , 9-#$ 99,0 993, G6693H G66#5H G669#H G669-H G6693H A 6,%$ 6%3, 6%$0 6,,3 9-3$ #$%$ , G66#$H G660$H G6606H G66#$H A #60-9,-$ G6663H ( 639% , ) -,5% #9, -,3- G6666H 666#H G6666H G6666H AI 6-9- ) 909# 66#5H A 6#-- 6#-5 6#0$ 6#-- ) 0#6, 099$ 000-0#66 G6666H G6666H G6666H G6666H A 66,# 96%6 G6606H " #3% G6,%3H ;9 65$ 65$ 65, 65% 65$ ; 5 %, $ #6 A 666, 666, 666, 666% #$% G66#5H G66#3H G66#5H G669$H A ##-9 #69# %09 G666-H G666%H A #9#3 6$3# # $ 93#$ 9,09 G666#H G66#9H G6663H ( 656$ # 63$% ) # -$ G6666H G6669H G666#H G6666H AI 6-9- ) 6#-# G90%%H A 6#0-6#-5 6#-# 6#9$ ) 0-3# 099-0#5% 06,$ G6666H G6666H G6666H G6666H A 66,3 996# G669$H " # G6,#6H E #59,5 #030$ -36% -655 G666#H G6669H " 6,6$ 9#-5 G66-0H ;9 65$ 65% 65$ 6%# 65$ Keterangan: Variabel dependen yaitu rasio kapitalisasi pasar terhadap PDB, t-statistic berada di dalam kurung, dan P-values berada di bracket.

19 '$,$' /'6671 C" $ % &# % ' ( D +#$$6 9660/?.;(= E.; = = )' JJ JJ = ( ; 9660 ) = 4

20 $ ($%$ & 4 " "#$$5 ""9665 )*+ ($'$ ' < ($'$%$ 8* )! 9666! / "='?;@* "='? ;@* ;@*4 ($'$'$ 8* ) &="=! ". 9666

21 &)') "- + ) /# ) " & "' "' ' / " ' ' +! ($($ ($($%$ )"*) / " ) / A4AA4A/< %$ A ) KA"='? "; "=! /# *; A"='? K ) "; *; "=! "L: "L/ ) "='? '$ A ) K;@* "; "=! /# *; ;@* K ) "; *; "=! "L: "L/ ) "='?

22 ($($'$ -)))8*! ='!='.A A 4. < /# n L n IH S G t = α 0 + α i L n G D P t i + β j IH K t j + γ k IR t k + n i = 0 n j = 0 n θ m L n E R t - m k = 0 m = 0 n + ε t n = 0 + λ n In d e k s _ F in a n c e t - n + φ n In d e k s _ M a n u f t - n n = 0 n LnGDP t = α 0 + α i LnIHSG t i + β j IHK t j + γ k IR t k + θ m LnER t-m + δ l LnM1 t l + ε t i=0 n j=0 n k =0 n m=0 n n l =0 /9 n n n ROE = α + α LnGDP + β IHK + γ IR + θ LnER t 0 i t i j t j k t k m t-m i= 0 j= 0 k= 0 m=0 n + λ Indeks _ Finance + φ Indeks _ Manuf + ε n t-n n t-n t n=0 n=0 n n n n n n LnGDP = α + α ROE + β IHK + γ IR + θ LnER + δ LnM1 + ε t 0 i t i j t j k t k m t-m l t l t i= 0 j= 0 k= 0 m=0 l= 0 n < ) K "='? K ;@* K4I "=! K" "; K& /# K+ *; K; "L:K "L/ K

23 / /!#)# K! /.A )." (."( +."( /.A 4 "='? ) / 4 4' 4 "='? )/4 4 "='? ) ($($( 9* + (*&. Metode ini merupakan metode untuk mencari koefisien autokorelasi () yang diperoleh dari persamaan : U t = U t-1 + e t

24 Nilai yang didapat dari metode ini kemudian digunakan untuk transformasi seluruh data yang ada di dalam model penelitian. Sebagai contoh, data IHSG dan Kurs akan ditransformasi menjadi : (IHSG t - IHSG t-1 ) dan (Kurs t - Kurs t-1 ) Jika seluruh data telah ditransformasi kemudian akan digunakan untuk mengestimasi model tersebut.

25 8!,$$)#,$%$%$!# 4 #$$549665' " * :4 :4! +! - :< &,-!!! M"=! KN"=! 4# O P0# &,-!!! M"=! KQ # ON"=! 4# O PP09 &,-!!! M"=! KQ # OQ 9 ON"=! 4# O PP0- = NK6 + =4:':4' 4 <

26 *,$%!# : ; "='? " 405#$$ ) " 45$$% &) " 43-09# )/# " 4%$$$ & " 43%53 "=! " 4-,%3 ;@* ) "' / " 40,3, "'! " 40-#5 :;--"<=>?;'50(> 0# "='? ) "=! :4 4449$-3K-$RK31;@*;@. :4 4 49$-3K-$RK31 /? ,$%$'$!# ) ' /? 966-4

27 . < A ) KA"='? "; "=! /# *; P00 00 Dari persamaan regresi 4.4. lalu didapat nilai residunya. ) *4?*?>. *S?.*?< ˆt = ut 1 u δ P 03 N K 6 ) = *,$'$!# ) ) ; < )"='? );@* & & 40,%- 45%%$! / "='? ) ;@* ) & & 405-% :;--">?'56''/=(>5<=>?1 = =@ 4 4

28 4 =,$'$ ) ' < A ) KA"='? "; "=! /# *; A"='? K ) "; *; "=! A " A ) K;@* "; "=! /# *; ;@* K ) "; *; "=! A " 05 0% ' S <,$'$% ) &*)"*9 "='? < E<A@? );""A /<&4'A'I ' <#$$5T99665T9 "<06 " <(A@?!;';*.A&!L)?.A@?/#"=!4# "U/.:.!"U:".(*!;"'"' E ( '* 4' ( 9-%9636 6$6%#-3 95#0,,6 VV A@?"='? 665% ##9 96$3$69 VV A@?/# 63-93,3 66,5905 5#%3#5# VVV A@?!;';*.A #56# VV "=!4# 4666-,06 666##69 4-0,3#,6 VVV &!L)? #9#% $6 VVV!;"'"' 66##0#0 660%%,6 69-,,,0 &'

29 ;4I 6,$5066:4 0%55%-9.;4I 6,%%350 : #560#3% Keterangan : *** = signifikan pada = 1% TS = Tidak signifikan ** = signifikan pada = 5% * = Signifikan pada = 10% < Residual Actual Fitted! "='? ) RK31' * ) "='? 665% ) "='? +"='? #1 ) 665% 1 7

30 + RK#1' * ) 63-- ) + #1 ) '. ) RK31 ' ) * ) #1 ) "=! RK#1+"=! # )666-, & ) RK#1' ) + #1 )60-1,$'$' ) *)8*9 ;@* <

31 );""A /<&4'A'I ' <#$$5T-9665T9 "<-, " "U/.:.!"U:".(*!;"'"' ( E '* 4' ( 03%$566 #9$5-, $, VVV ;@*4# 6666,0# $ 90##39- VV A@?/# 60-,$65 6##6%35 -$59,6$ VVV A@?!;';*.A 46# ,5,0 4-55$0#$ VVV "=!4# 46669%0-666#9%# 49#35$$9 VV &!L)?. 466##%0-666-#0-4-%-55-3 VVV!;"'"' 66$0%3% 66%90%$ #-6%-%# &' ;4I 6,%3-03:4-6$,00$.;4I 6,0593$ : #9-6#, Keterangan : *** = signifikan pada = 1% TS = Tidak signifikan ** = signifikan pada = 5% * = Signifikan pada = 10% Residual Actual Fitted

32 <! )RK#61' )66,01 + RK# 1' * ) 60-$ ) + #1 ) 60-$ 1 '. ) RK#1 ' ) * ) 46#63 #1 )6#631 "=! RK31+"=! # )6669% & ) RK#1' ) + #1 )66##%1,$'$( # ) & "='? <

33 /<&4'A'I ' <#$$5T-9665T9 "<-, " "U/.:.!"=!4#"U:".(* "U/.:.!!;"'"' ( E '* 4' ( #5$5%-3 #3%,0-0 #6%0$0$ &' A@? );""A 60% $ 9-99%-- VV A@?!;';*.A 466#-$-# 66#069% 46$$-#-6 &' &!L)? $ 6666%,9 6,6-3$% &' "=!4# 4666##,# 66665%% 4#%006%, V!;"'"' 4666# ,$ #6 &' "U/.:.! 666%# $09 %56-#%0 VVV "U:".(* 666#$ %9 390,-5% VVV ;4I 6$,5$$3:4 9%3%3$5.;4I 6$,-06, : #0$#%#0 Keterangan : *** = signifikan pada = 1% TS = Tidak signifikan ** = signifikan pada = 5% * = Signifikan pada = 10%

34 < Residual Actual Fitted ) RK31' *"='? ) 60%3 "='? )+ )#1 "='?60%31 7 '. "='?RK31' "='? * "='? 466#-$ #1 "='?66#-$1

35 & "='? RK#61' "='? +#1 "='?6659$1 "=! RK#61+"=! # "='?6#91 "='? 7 "='? 4 " RK# 1 + # "='?6%91 " RK#1+ # "='?6#$1,$'$, # ) ;@* < E<;@* /<&4'A'I ' <#$$5T-9665T9 "<-, " <(A@?!;';*.A&!L)?.A@?/#"=!4# "U/.:.!"U:".(*!;"'"' ( E '* 4' ( 43-$$0$, #35% $%- VVV A@? );""A4# 556-#99 #$%,$9$ ---5%#3 VVV A@?!;';*.A 959,#%6-600$9, 6,5-#-# &'

36 &!L)?. -%,5$$9 96-5,53 #,3$993 V "=!4# 4-#,366$ #60$3$ VVV!;"'"' 4,3#,-$, %0#%%$5 4##0,-%- &' "U/.:.! #-5,,$6 6%%%693 #%5#%6, V "U:".(* 4#96--$5 65%$9,, 4#%%#330 V ;4I 600,5#9: ;4I 69$5363 :4 666$$9% 47 #,5#9-$ Keterangan : *** = signifikan pada = 1% TS = Tidak signifikan ** = signifikan pada = 5% * = Signifikan pada = 10% < Residual Actual Fitted ) RK#1' + )#1 ;@* 556- '. ;@*RK#61' ;@* +#1 ;@* 695-

37 & RK#6 1 ' ;@* + # 1 ;@* -%,% "=! RK#1+"=! # ;@*-#,3 ;@* 7 ;@* 4 " RK#61+ # ;@*#-5,$ " RK#6 1 + # ;@*#96-

38 8$! >$%$9! "='? ) RK31' 7 + RK#1' 7 '. ) RK31 ' ) 7 "=! RK#1 & ) RK#1 7 ) "='? ;@* RK#1 RK31' 7

39 '. "='? & "='? RK#61& RK#6 1 ' "=! "='? ;@* 4 RK#1RK#61 "='? 7 "='? 4 " "='? ;@* 4 RK#1RK#61 " "='? RK# 1 ;@*RK#61 ' = )*+

40 )*+ DD / 4 "='? ;@* 4 )

41 .?,( #$,,.; ) +# " ** ;-%9> #$$- (''=/." $ % &# % ' ( 9665 (''=/.; +! % # % &? + : * E# !. ; A# (.!/!&7 )* ;# $#$$5 4!. ; A# " & / # 0 &7 )* ;#699$#4-9##$$5?E:AA " #"+.* E""#/#$$$? 966- C)* D:*&/?4= ( "W A ; ".!/%! + * A-395,,4%95#$$% A;'B#")*+.!&7 ) * ;E#69#$$5 /:' 5 * ' ( ' 9669 # " & / #1*2( +. * <9%43# '.# ) 0 "* + #6%%%#4,9#$$% '="*" $ # *!#$$0

42 $!# Null Hypothesis: D(IHSG) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHSG,2) Method: Least Squares Date: 07/11/05 Time: 08:55 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(IHSG(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(GDPRIIL) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic

43 Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(GDPRIIL,2) Method: Least Squares Date: 07/11/05 Time: 08:57 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(GDPRIIL(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(TK_BUNGA) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(TK_BUNGA,2) Method: Least Squares Date: 07/11/05 Time: 08:58 Sample (adjusted): 1996Q3 2006Q3

44 Included observations: 41 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(TK_BUNGA(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(M1) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(M1,2) Method: Least Squares Date: 07/11/05 Time: 09:00 Sample (adjusted): 1996Q3 2006Q3 Included observations: 41 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(M1(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid 3.88E+09 Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic)

45 Null Hypothesis: D(KURS) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(KURS,2) Method: Least Squares Date: 07/11/05 Time: 09:00 Sample (adjusted): 1996Q3 2006Q3 Included observations: 41 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(KURS(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: D(IHK) has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=9) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level

46 *MacKinnon (1996) one-sided p-values. 10% level Augmented Dickey-Fuller Test Equation Dependent Variable: D(IHK,2) Method: Least Squares Date: 07/11/05 Time: 09:01 Sample (adjusted): 1996Q3 2006Q2 Included observations: 40 after adjustments Variable Coefficient Std. Error t-statistic Prob. D(IHK(-1)) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) Null Hypothesis: ROE has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=0) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(ROE) Method: Least Squares Date: 07/11/05 Time: 09:02 Sample (adjusted): 1996Q2 2006Q2 Included observations: 41 after adjustments Variable Coefficient Std. Error t-statistic Prob.

47 ROE(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) $!# )!# ) ) Dependent Variable: D(RESID01) Method: Least Squares Date: 07/11/05 Time: 07:16 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments Variable Coefficient Std. Error t-statistic Prob. RESID01(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Uji Kointegrasi Model Perekonomian Nasional dengan IHSG Dependent Variable: D(RESID02) Method: Least Squares Date: 07/11/05 Time: 07:18 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments

48 Variable Coefficient Std. Error t-statistic Prob. RESID02(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Uji Kointegrasi Model Kinerja Pasar Modal IHSG Dependent Variable: D(RESID03) Method: Least Squares Date: 07/11/05 Time: 07:20 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments Variable Coefficient Std. Error t-statistic Prob. RESID03(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Uji Kointegrasi Model Kinerja Pasar Modal ROE Dependent Variable: D(RESID04) Method: Least Squares Date: 07/11/05 Time: 07:21 Sample (adjusted): 1996Q4 2006Q2 Included observations: 36 after adjustments

49 Variable Coefficient Std. Error t-statistic Prob. RESID04(-1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat III. Hasil Regresi Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:43 Sample (adjusted): 1996Q2 2006Q2 Included observations: 40 after adjustments Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Variable Coefficient Std. Error t-statistic Prob. C LOG(IHSG) LOG(M1) LOG(KURSREAL) IHK(-1) TK_BUNGA DKRISIS R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Sum squared resid F-statistic Durbin-Watson stat Prob(F-statistic) Dependent Variable: LOG(GDPRIIL) Method: Two-Stage Least Squares Date: 07/11/05 Time: 00:18 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments

50 Convergence achieved after 9 iterations Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Lagged dependent variable & regressors added to instrument list Variable Coefficient Std. Error t-statistic Prob. C ROE(-1) LOG(M1) LOG(KURSREAL) IHK(-1) TK_BUNGA DKRISIS AR(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Sum squared resid F-statistic Durbin-Watson stat Prob(F-statistic) Inverted AR Roots -.07 Dependent Variable: LOG(IHSG) Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:34 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 12 iterations White Heteroskedasticity-Consistent Standard Errors & Covariance Instrument list: C LOG(M1) LOG(KURSREAL) TK_BUNGA INDXMANUFAK IHK(-1) INDXFINANCE INDXMANUFAK DKRISIS Lagged dependent variable & regressors added to instrument list Variable Coefficient Std. Error t-statistic Prob. C LOG(GDPRIIL) LOG(KURSREAL) TK_BUNGA

51 IHK(-1) DKRISIS INDXMANUFAK INDXFINANCE AR(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Sum squared resid F-statistic Durbin-Watson stat Prob(F-statistic) Inverted AR Roots.67 Dependent Variable: ROE Method: Two-Stage Least Squares Date: 07/11/05 Time: 01:45 Sample (adjusted): 1996Q3 2006Q2 Included observations: 38 after adjustments Convergence achieved after 52 iterations Instrument list: C LOG(KURSREAL) TK_BUNGA LOG(M1) IHK(-1) INDXMANUFAK INDXFINANCE DKRISIS Lagged dependent variable & regressors added to instrument list Variable Coefficient Std. Error t-statistic Prob. C LOG(GDPRIIL(-1)) LOG(KURSREAL) TK_BUNGA IHK(-1) DKRISIS INDXMANUFAK INDXFINANCE AR(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Sum squared resid F-statistic Durbin-Watson stat Prob(F-statistic) Inverted AR Roots.24

52