REZA KURDIAMAN, . (2026) PENGARUH PRODUK DOMESTIK BRUTO, REER, DAN SELISIH SUKU BUNGA TERHADAP INVESTASI PORTOFOLIO ASING DI ASEAN-4 PERIODE 2010–2025. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.
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Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh Produk Domestik Bruto (LNGDP), Real Effective Exchange Rate (LNREER), dan Selisih Suku Bunga (Interest Rate Differential/IRD) terhadap Investasi Portofolio Asing (IPA) di empat negara ASEAN, yaitu Indonesia, Malaysia, Filipina, dan Thailand, selama periode triwulan pertama 2010 hingga triwulan keempat 2025. Fenomena yang melatarbelakangi penelitian ini adalah tingginya volatilitas arus modal portofolio di kawasan ASEAN pascakrisis keuangan global, termasuk episode taper tantrum dan pandemi COVID-19, sehingga pemahaman atas faktor pendorong domestik menjadi penting bagi perumusan kebijakan makroekonomi dan stabilitas nilai tukar. Penelitian ini menggunakan pendekatan kuantitatif eksplanatori melalui regresi data panel terhadap 256 observasi, yaitu empat negara dikalikan enam puluh empat triwulan, bersumber dari IMF Balance of Payments Statistics, IMF World Economic Outlook, Bank for International Settlements melalui Federal Reserve Economic Data, dan bank sentral masing-masing negara. Tahapan analisis meliputi uji akar unit panel Im-Pesaran-Shin, uji kointegrasi panel Kao dan Pedroni, pemilihan model melalui uji Chow, serta pemenuhan asumsi klasik yang meliputi multikolinearitas, heteroskedastisitas, cross-section dependence, dan normalitas residual. Estimasi Common Effect Model (CEM) berbasis Panel Estimated Generalized Least Squares dengan pembobotan cross-section dan galat baku Panel Corrected Standard Errors menunjukkan bahwa PDB berpengaruh positif dan signifikan terhadap IPA (koefisien 1.016,383; p = 0,0089), REER berpengaruh negatif dan signifikan (koefisien -4.366,270; p = 0,0342), serta Selisih Suku Bunga berpengaruh positif dan sangat signifikan (koefisien 329,8047; p = 0,0009). Variabel dummy struktural D_SURGE (koefisien 7.627,204; p = 0,0000) dan D_OUTFLOW (koefisien -7.135,730; p = 0,0000) juga sangat signifikan. Secara simultan, model dinyatakan layak (F-statistic = 26,33021; p = 0,000000) dengan Weighted R-squared sebesar 0,344951 (Adjusted R-squared 0,331850), yang berarti model dapat menjelaskan sekitar 34,5% variasi IPA di kawasan ASEAN-4. Penelitian ini merekomendasikan penyertaan variabel push factor global, seperti indeks VIX, pada penelitian mendatang guna memperkuat daya jelas model. **** This study aims to analyze the effect of Gross Domestic Product (LNGDP), Real Effective Exchange Rate (LNREER), and Interest Rate Differential (IRD) on Foreign Portfolio Investment (FPI) in four ASEAN countries, namely Indonesia, Malaysia, the Philippines, and Thailand, over the period from the first quarter of 2010 to the fourth quarter of 2025. The study is motivated by the high volatility of portfolio capital flows in the ASEAN region following the global financial crisis, including the taper tantrum episode and the COVID-19 pandemic, making an understanding of domestic pull factors essential for macroeconomic policy formulation and exchange rate stability. This research employs a quantitative explanatory approach using panel data regression on 256 observations, consisting of four countries multiplied by sixty-four quarters, sourced from the IMF Balance of Payments Statistics, the IMF World Economic Outlook, the Bank for International Settlements via Federal Reserve Economic Data, and the respective central banks. The analytical procedure includes the Im-Pesaran-Shin panel unit root test, the Kao and Pedroni panel cointegration tests, model selection through the Chow test, and classical assumption tests covering multicollinearity, heteroscedasticity, cross-section dependence, and residual normality. The Common Effect Model (CEM), estimated using Panel Estimated Generalized Least Squares with cross-section weighting and Panel Corrected Standard Errors, shows that GDP has a positive and significant effect on FPI (coefficient 1,016.383; p = 0.0089), REER has a negative and significant effect (coefficient -4,366.270; p = 0.0342), while the Interest Rate Differential has a positive and highly significant effect (coefficient 329.8047; p = 0.0009). The structural dummy variables D_SURGE (coefficient 7,627.204; p = 0.0000) and D_OUTFLOW (coefficient -7,135.730; p = 0.0000) are also highly significant. The model is jointly significant (F-statistic = 26.33021; p = 0.000000) with a Weighted R-squared of 0.344951 (Adjusted R-squared 0.331850), meaning it explains approximately 34.5% of the variation in FPI across ASEAN-4. This study recommends incorporating additional global push factor variables, such as the VIX index, in future research to strengthen the model's explanatory power.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Additional Information: | 1). Siti Fatimah Zahra, S.E.I., M.E.; 2). Prof. Dr. Sri Indah Nikensari, M.S.E. |
| Subjects: | Ilmu Sosial > Teori Ekonomi Ilmu Sosial > Sejarah Ekonomi, Kondisi Ekonomi Ilmu Sosial > Industri, Buruh, Produksi > Pendidikan Ekonomi |
| Divisions: | FE > S1 Pendidikan Ekonomi |
| Depositing User: | Reza Kurdiaman . |
| Date Deposited: | 27 Aug 2026 01:24 |
| Last Modified: | 27 Aug 2026 01:24 |
| URI: | http://repository.unj.ac.id/id/eprint/73340 |
Available Versions of this Item
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PENGARUH PRODUK DOMESTIK BRUTO, REER, DAN
SELISIH SUKU BUNGA TERHADAP INVESTASI PORTO
FOLIO ASING DI ASEAN-4 PERIODE 2010–2025. (deposited UNSPECIFIED)
- PENGARUH PRODUK DOMESTIK BRUTO, REER, DAN SELISIH SUKU BUNGA TERHADAP INVESTASI PORTOFOLIO ASING DI ASEAN-4 PERIODE 2010–2025. (deposited 27 Aug 2026 01:24) [Currently Displayed]
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