TRANSFER INFORMASI HARGA SAHAM - SAHAM YANG LISTING DI JAKARTA STOCK EXCHANGE DAN NEW YORK STOCK EXCHANGE

Wardani, Heni Setia (2000) TRANSFER INFORMASI HARGA SAHAM - SAHAM YANG LISTING DI JAKARTA STOCK EXCHANGE DAN NEW YORK STOCK EXCHANGE. Masters thesis, PROGRAM PASCASARJANA UNIVERSITAS DIPONEGORO .

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Abstract

The stock price's information transfer between the stock exchanges which trading in dual listing stocks will present information for the investors to evaluate the issuers' prospect, because the information is a signal for the investors to make decision. When there is no obstacles against the information distribution, the stock price's information transfer will work appropriately so that the information dissemination runs quickly. The distribution information here means that every investor receives the same information set. In fact, however, there were investors receiving information other than the others', so that the asymmetrical information generated, it was only some investors obtaining the suitable information. Consequently, the investors receiving this information could enjoy the abnormal returns. This research utilized the listing stocks at the emerging and developed stock exchanges, because at present the investors tended to move their investment strategy through the under-developed countries. In this research, the emerging stock exchange was Jakarta Stock Exchange while the developed stock exchange was New York Stock Exchange. The main problem within this research was: did the stock price's information transfer run from the developed market to the emerging market, one-way traffic or two-way traffic? and what was the movement response of the stock price's information transfer from one stock exchange to the other ones? This research intended to understand the movement direction of the stock price's information transfer and to detect the movement response of the stock price's information transfer from New York Stock Exchange to Jakarta Stock Exchange and/or on the country from Jakarta Stock Exchange to New York Stock Exchange. In reach of this study, census was applied as the research method because all population members became the research objects. The relevant population comprised all issuers performing the listing at New York Stock Exchange and Jakarta Stock Exchange. The secondary data involving daily data of the stock price, exchange rates, Jakarta Composite Index, and Dow Jones Industrial Index stemmed from Bisnis Indonesia Daily News during 1999 was used within this research. The analysis tool used in this study was ordinary linear regression to know the movement direction and response of stock price's information transfer. Based on this research it was found that the stock price's information transfer running to two directions, from New York Stock Exchange to Jakarta Stock Exchange even so from Jakarta Stock Exchange to New York Stock Exchange and the stronger impact moved from Jakarta Stock Exchange to New York Stock Exchange. For the future research it was preferable employing field data that collected for a longer period of time so that the test accuracy could be Ordinary Least Square (OLS) model otherwise utilizing the Autoregression Moving Average or ARIMA one. ABTRAKSI Transfer informasi harga saham antar bursa yang memperdagangkan saham dual listing akan memberikan informasi bagi pemodal dalam menilai prospek emiten karena informasi adalah sinyal bagi' pemodal dalam mengambil keputusan investasi. Transfer informasi harga saham akan berjalan lancar apabila tidak ada hambatan dalam pendistribusian informasi sehingga penyebaran informasi cepat. Distribusiaormasi di sini adalah jika setiap pemodal mendapatkan set informOgi yang sama. Tetapi pada kenyataannya, ada pemodal yang tidak mendapatkan informasi yang sama dengan pemodal lain, sehingga timbul informasi yang tidak simetris, yaitu hanya beberapa pemodal saja katig mendapatkan informasi tersebut. Akibatnya, pemodal yang mendapatkan informasi ini dapat menikmati return yang tidak normal. Penelitian ini menggunakan saham yang listing pada bursa emerging dan developed, sebab sekarang ini pemodal cenderung mengalihkan strategi investasi mereka ke bursa emerging melalui negara berkembang. Bursa emerging pada penelitian di sini adalah Jakarta Stock Exchange dan bursa developed adalah New York Stock Exchange. Permasalahan pokok dalam penelitian ini adalah apakah transfer informasi harga saham berjalan satu arah (dari developed market ke emerging market) atau dalam dua arah? dan bagaimana respon pergerakan transfer informasi harga saham dari satu bursa ke bursa yang lain? Penelitian ini bertujuan untuk mengetahui arah pergerakan transfer informasi harga saham dan mendeteksi respon pergerakan transfer informasi harga saham dari New York Stock Exchange ke Jakarta Stock Exchange dan atau sebaliknya dari Jakarta Stock Exchange ke New York Stock Exchange. Metode penelitian yang digunakan dalam penelitian ini adalah sensus, karena semua anggota populasinya menjadi obyek penelitian. Populasi dalam penelitian ini adalah semua emiten yang melakukan listing di New York Stock Exchange dan Jakarta Stock Exchange. Jenis data yang digunakan dalam penelitian ini adalah data sekunder berupa data harian harga saham, kurs, IHSG,-dan Index Dow Jones yang diperoleh dari Harian Bisnis Indonesia selam tahun 1999. Alat analisis yang digunakan dalam penelitian ini adalah regresi linear sederhana untuk mengetahui arah dan respon pergerakan transfer informasi harga saham . Berdasarkan hasil penelitian ditemukan bahwa transfer informasi harga saham berjalan dua arah yaitu dari Jakarta Stock Exchange ke New York Stock Exchange begitu pula dari New York Stock Exchange ke Jakarta Stock Exchange dan dampak Iebih kuat bergerak dari Jakarta Stock Exchange ke New York Stock Exchange. Untuk penelitian yang akan datang hendaknya menggunakan data dengan jangka waktu yang lebih panjang sehingga keakuratan pengujian dapat ditingkatkan dan sebaiknya tidak menggunakan Ordinary Least Square (OLS) tetapi Autoregression Moving Average/ARIMA model.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:8953
Deposited By:Mr UPT Perpus 2
Deposited On:21 Apr 2010 18:50
Last Modified:21 Apr 2010 18:50

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