ANALISIS RESIKO SISTEMATIK SAHAM BIASA TERHADAP PERUSAHAAN YANG DIKELUARKAN DARI LANTAI BURSA : STUDE EMPIRIS DI BURSA EFEK JAKARTA

Wibowo, Dodie Setio (2001) ANALISIS RESIKO SISTEMATIK SAHAM BIASA TERHADAP PERUSAHAAN YANG DIKELUARKAN DARI LANTAI BURSA : STUDE EMPIRIS DI BURSA EFEK JAKARTA. Masters thesis, PROGRAM PASCASARJANA UNIVERSITAS DIPONEGORO .

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Abstract

Tujuan penelitian ini adalah untuk memberikan tambahan bukti empiris mengenai pengaruh resiko sistematilc saham biasa terhadap perusahaan yang dikeluarkari dan lantai buesa di Bursa Efek Jakarta. Dengan menganalisis pengarub leverage keuangan, standar deviasi return saham dan korelasi return saham terhadap return pasar terhadap resiko sistematik saham biasa, serta menganalis perbedaan resiko sistematik saham biasa, leverage keuangan standar deviasi return saham dan korelasi return saham dengan return pasar antara perusahaan delisting (gagal) dengan perusahaan sehat. Penelitian mi menggunakan data sekundej-, yaitu berupa data harga saham bulanan, Indeks Harga Saham Gabungan (IHSG) bulanan, total asset dan total hutang. Periode waktu dalam penelitian mi adalah 24 bulan sebelum emiten tersebut dikeluarkan dari lantai bursa. Populasi dalam penelitian mi adalah semua emiten yang listing dan yang delisting di Bursa Efek Jakarta, terhitung 1 Januari 1994 sampal 31 Desember 2000 yaltu sebanyak 291 emiten yang listing dan 33 emiten yang cielsting. Pemilihan sampelnya dilakukan dengan purposive sampling, dan menghasilkan 31 emiten delisting dan 31 emiten sehat yang digunakan sebagai pembanding. Alat analisis yang digunakan dalam penelitian ini adalah regresi berganda untuk menganalisis pengaruh variabel independen terhadap variabel dependen, dan uji beda dua rata-rata (independen sample t-test) yang digunakan untuk menganalisis beda antara perusahaan sehat dengan perusahaan delisting. . Berdasarkan hasil penelitian ditemukan bahwa standar deviasi return saham dan korelasi return saham dengan return pasar berpengaruh positip dan signifikan terhadap resiko sistematik saham biasa, dan leverage keuangan serta resiko sistematik saham biasa berbeda secara signifikan antara perusahaan sehat dengan perusahaan delistmng. The aim of this research is to provide an additional empirical evidence to the companies concerning systematical risk effect of general stock issued from the stock exchange at the Jakarta Stock Exchange. It was done by analyzing the financial leverage effect, the stock return standard deviation and the stock return correlation against the market return against the general stock systematical risk, the financial risk, as well as analyzing differences among the general stock systematical risk, the financial risk, stock return standard deviation, the stock return correlation and the market return of the delisting company as well as the sound company in between. This research used the secondary data, i.e. data relating to monthly stock price (closing price), monthly Composite Stock Price Index, Total Asset and Total Debt. This time period of the research was 24 months before the emittens removed from the stock exchange. Population of the study consisted of all emittens at the Jakarta Stock Exchange since 1 January 1994 up to 31 December 2000 included 291 listing and 33 delisting emittens. Sample selection was conducted by utilizing purposive sampling method, and yielding 31 delisting and 31 sound emittens as a standard of comparison. This research’s analytical device was a multiple regression to analyze the influence of independent variables toward dependent variable. Independent sample t-test was used to analyze the differences between the sound and the delisting companies. Based on the research result there was found that the stock return deviation standard and the stock return correlation and the market return affecting the general stock systematical risk significantly. Apart from that there was a significant difference between the sound company’s financial leverage as well as the general stock systematical risk and the delisting company’s..

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:8818
Deposited By:Mr UPT Perpus 1
Deposited On:20 Apr 2010 19:19
Last Modified:20 Apr 2010 19:19

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