ANALISIS PENGARUH SYSTEMATIC RISK (BETA), CR, DER DAN ROA TERHADAP TOTAL RISIKO INVESTASI SAHAM MANUFAKTUR DI BURSA EFEK JAKARTA

Septianto, Erry (2004) ANALISIS PENGARUH SYSTEMATIC RISK (BETA), CR, DER DAN ROA TERHADAP TOTAL RISIKO INVESTASI SAHAM MANUFAKTUR DI BURSA EFEK JAKARTA. Masters thesis, Program Pascasarjana Universitas Diponegoro.

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Abstract

The research aims to provide empirical evidence to the companies concerning with total risk from stock exchange at the Jakarta Stock Exchange. This study determines the factor influence toward total risk of manufacturing company at Jakarta Stock Exchange, which will be influenced, by systematic risk (beta) and financial ratios. Monthly data of stock price (closing price) and financial ratios; current ratio, debt to equity ratio and return on asset were analyzed by multiple regression model. Population of the study consisted of all manufacturing company listed at Jakarta Stock Exchange since 1 January 1997 up to December 2001 included 157 emittens. Purpose sampling method was employed to select the 31 enuittens. The results found that beta and debt to equity ratio affecting the total risk significantly at the significancy level of 5%. The study suggests that in order to minimize the total risk then investor (s) should pay attention preferably on systematic risk and debt to equity ratio performances of the specified stock portfolio. Penelitian ini bertujuan menjawab beberapa pertanyaan sekitar faktorlaktor yang mempengaruhi total risiko investasi saham pada saham sektor manufaktur di Bursa Efek Jakarta. Pengujian hipotesis dilakukan dengan analisis regresi berganda (multiple regression) untuk mengetahui pengaruh variahel Beta, ROA, DER dan CR tehadap total risiko investasi saham manufaktur di Bursa Efek Jakarta. Penelitian ini menggunakan data sekunder dalam hal ini data yang berhubungan dengan montly stock price (closing price), IHSG dan laporan keuangan. Sampel penelitian adalah saham manufaktur yang tercatat (listed) di BEJ sejak tahun 1997 dan masih tercatat sampai tahun 2001 dan memiliki perdagangan saham yang aktif. Hasil studi menunjukkan bahwa systematic risk (Beta) dan debt to equity ratio (DER) mempunyai pengaruh yang signifikan terhadap total risiko investasi pada level signifikansi 5%. Berbeda dengan debt to equity ratio, variable rasio keuangan lainnya seperti current ratio dan return on asset pengaruhnya tidak signifikan terhadap total risiko.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:Postgraduate Program > Master Program in Management
ID Code:11317
Deposited By:Mr UPT Perpus 2
Deposited On:24 May 2010 15:06
Last Modified:24 May 2010 15:06

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