ANALISIS EFISIENSI PASAR VALUTA ASING DI LIMA NEGARA ASIA MENGGUNAKAN UJI KOINTEGRASI
Abstract
Adanya krisis mata uang di beberapa negara Asia (Singapore, Korea, Malaysia, Thailand dan Indonesia), yang selama ini dikenal sebagai “Macan Asia”, telah menimbulkan konsekuensi pada penurunan yang signifikan dalam kinerja perekonomian negara-negara tersebut. Di pasar valuta asing, proses depresiasi yang berlebihan dari mata uang regional seperti Rupiah dan Ringgit Malaysia terhadap mata uang utama (US Dollar) telah menimbulkan efek penularan yang berimplikasi pada semakin rentannya sistem finansial di beberapa wilayah Asia. Kondisi ini juga melahirkan fenomena bagi pelaku pasar yakni apakah krisis Asia merupakan pencerminan dari adanya inefisiensi di pasar valuta asing.
Tujuan dari paper ini menganalisis keberadaan pasar valas yang efisien di 5 negara Asia yakni (Indonesia, Malaysia, Singapura, Hongkong dan Jepang) selama 2 tahun pada periode sebelum krisis hingga saat krisis (1 April 1996 s.d 12 Juni 1998). Adapun jenis pasar valas yang dianalisis adalah pasar spot dan forward dengan menggunakan tiga hipotesis dasar yang menentukan pembentukan nilai tukar spot masa datang, yakni Random Walk Hypothesis (RWH), Unbiased Forward Rate Hypothesis (UFH), dan Composite Efficiency Hypothesis (CEH). Adapun prosedur uji yang dilakukan adalah melalui uji kointegrasi dengan menerapkan teknik Engle Granger dan Johansen Maximum Likehood.
Hasil uji kointegrasi menggunakan Engle Granger menunjukkan hanya Hongkong Dollar yang menunjukkan adanya signifikansi keterkaitan hubungan jangka panjang (kointegrasi) antara nilai spot dan forward. Sementara itu hasil uji kointegrasi menggunakan prosedur Johansen juga menunjukkan adanya kointegrasi pada mata uang Hong Kong Dollar. Bukti lebih lanjut adanya kointegrasi di pasar valas Hongkong adalah terbentuknya fungsi mekanisme koreksi error yang konsisten (Error Correction Mechanism) yang ditandai oleh nilai koefisien alpha yang negatif.
Untuk mendukung hasil analisis kuantitatif juga dilakukan analisis grafis yang menjelaskan hubungan antara nilai Forward sebagai Unbiased Predictor dengan nilai spot masa mendatang. secara dini kemungkinan terjadi krisis di suatu negara dan mencegah terjadinya contagion effect.
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