PENDEKATAN CONTAGION THEORY TERHADAP KRISIS DUBAI

Monica Weni Pratiwi, Anang Sucahyo, Solechuddin Solechuddin

Abstract


Krisis Dubai mengguncang bursa saham global, yang diindikasikan dengan anjloknya Index harga saham pada pasar modal di Eropa dan Asia. Penelitian ini mencoba mengkaji pengaruh Dubai krisis terhadap return saham di Negara Indonesia, Malaysia, Singapura, Thailand, Thailand, dan Philipina (Contagion Theory). Data yang digunakan dalam penelitian ini adalah nilai harga

saham dua bulan sebelum dan dua bulan sesudah pemerintah Dubai menyatakan default, yaitu pada tanggal 28 November 2009. Metode yang digunakan adalah meregresikan negara origin dengan negara afektif. Berdasarkan analisis yang dilakukan, diketahui harga saham Dubai berpengaruh terhadap harga saham Malaysia pada hari ketiga dengan tingkat signifikansi 10%. Harga saham Malaysia berpengaruh terhadap harga saham Singapura pada hari ketiga dengan tingkat signifikansi 1%. Selain itu, harga saham Malaysia berpengaruh terhadap harga saham Thailand pada hari pertama dengan tingkat signifikansi 10%.

 

Kata kunci: Krisis Dubai, contagion theory, return saham.

Dubai Crisis has shocked global stock exchange indicated by the downward of stock exchange index at stock markets in Europe and Asia. This study tries to review the effect of Dubai Crisis toward stock return in Indonesia, Singapore, Malaysia, Thailand and

Philippine (contagion theory). Data used in this study is stock prices two months before and after Dubai stated that its government was in default or failure to pay on November 28, 2009. Method used in this study is regressing between origin country and affective

countries. Result of the analysis showed that the Dubai Crisis was significantly affected the stock price of Malaysia on the third day with the rate of significance 10%. Malaysia’s stock price significantly affected the stock price of Singapore on the third day with the

rate of significance 1%. It also significantly affected the stock price of Thailand on the first day with rate of significance 10%.

Keyword: Dubai Crisis, contagion theory, stock return.


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