HUBUNGAN RETURN HOLDING PERIOD DENGAN ESTIMASI RESIKO SISTEMATIK (Sebuah Studi Terhadap Emiten yang Terdaftar pada PT. Bursa Efek Jakarta)

Wibowo, Andre (1999) HUBUNGAN RETURN HOLDING PERIOD DENGAN ESTIMASI RESIKO SISTEMATIK (Sebuah Studi Terhadap Emiten yang Terdaftar pada PT. Bursa Efek Jakarta). Masters thesis, Program Pascasarjana Universitas Diponegoro.

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Abstract

ABSTRACT An investor always wants to maximize his return and minimize risk. Stock price fluctuation that occurs on stock exchange market, from time to Um, may result in smaller return and higher risk. Therefore an investor always faced by two questions, which stock they want to invest their money in, and how long he will want to retain his investment on that stock (that is return holding period). This research had taken open and close stock price, and MSG data in January until September 1997. After the September 1997 month stocks transaction in Jakarta Stock Exchange Ltd decrease because of monetary crisis. Therefore it will not reflect the true transaction situation in Jakarta Stock Exchange Ltd. The research took 15% samples of 254 weak form efficiencies' stocks listed in December, 27th 1997 on Jakarta Stocks Exchange Ltd. They consist of 6 stocks out of 40 high capitalized market stocks, and 32 out of 214 low capitalized stock market. This research used two kinds of tools fbr analyses. First, market model, is use to find each beta of high capitalized stock and low capitalized stock samples at any return holding periods. Second, oneway anova and simultaneous confidence interval analysis using Ftable0,05, to find whether there is any significant means differences between each return holding period; daily and weekly beta; weekly and monthly beta; and daily and monthly beta from high (low) capitalized stock or not. • This research found out that the beta estimate direction of high (low) capitalized market stocks fall (rise) as return holding period is lengthened. This fall (rise) direction • of beta with high (low) market capitalization is mainly because the stock market efficiencies form. This stock market weak form efficiency sentence that the changes on stock prices will adjust gradually to the flow of relevant information. As the return holding period lengthens, the impact of information delays in high capitalized stock is reduced, because high capitalized stock is frequently traded. On the contrary the beta direction of low capitalized stock rise as return holding period, because low capitalized stock is infrequently traded. This research also found two important things, first, longer return holding period has no impact on the amount of significant beta of high capitalized stock, but it contrary to low capitalized stock. Second, market index can better explain the total return variation at any return holding period on high capitalized stock than on low capitalized stock. This research therefore suggests investor who makes investment on Jakarta Stock Exchange to lengthen return holding period and well diversifies his high (low) capitalized market stocks. Lengthened return holding period may result in lower systematic risk and add capital yields (dividend) to his stock return when investor invest his money in high capitalized stock. Although lengthened return holding period may result in higher systematic risk of low capitalized stock, there is no choice for investor, because low capitalized stock is rarely traded on daily base return holding period. But as high capitalized stock, lengthened return holding period may also acid capital yield to the return of low capitalized stock investor. Furthermore stock diversification can reduce unsystematic risk and then result in reducing the total risk that investor has to face. Seorang investor yang berinvestasi pada suatu bursa efek, selalu menginginkan return yang maksimal clan resiko yang minimal. Fluktuasi harga saham dari waktu ke waktu pada bursa efek dapat mengakibatkan turunnya return dan meningkatnya resiko yang dihadapi oleh investor. Oleh karena itu seorang investor selalu dihadapkan pada dna pertanyaan, yaitu alcan melakukan investasi pada jenis saham apa clan berapa lama investasi akan dipertahankan (return holding period). Dalam penelitian ini digunakan data harga pembukaan, penutupan, dan 11-ISO bulan Januari-September 1997 PT. Bursa Efek Jakarta Setelah bulan September 1997 terjadi pentrunan transaksi akibat krisis moneter sellingga tidak mencerminkan keaclaan sesunggulmya. Srunpel diambil sebesar 15% dari 254 saham yang terdaftar di PT.Bursa Efek Jakarta sampai dengan tanggal 27 Desember 1997 yang terdiri dari 40 saham emiten-emiten kapitalisasi pasar tinggi dan 214 saham emiten-emiten kapitalisasi pasar rendah. Sehingga terdiri dari 6 saham emiten-emiten kapitalisasi pasar tinggi clan 32 saham emiten-erniten kapitalisasi pasar rendah. Teknik analisis yang digunakan yang pertarna market model untuk menemukan nilai beta masing-masing emiten pada berbagai return holding period. Kedua, uji F satu arah clan uji simultaneous confidence interval dengan Ftabo 0,0, untuk menguji apakah terdapat perbedaan rata-rata secara signifikan untuk setiap return holding period, yaitu beta harian clan minggumr, beta minggurm clan batman, beta harian dan bulanan. Hasilnya arah nilai beta emiten-emiten kapitalisasi pasar tinggi bertambah keci I dan arah nilai beta emiten-emiten kapitalisasi pasar rendah bertambah besar dengan perpanjangan return holding period. Hal ini disebabkan karena PT Bursa Efek Jakarta mempunyai efisiensi bentuk lemah, dimana perubahan harga saham terkoreksi secant gradual terhadap informasi yang relevan. Perpanjangan return holding period clan tingginya frekuensi perdagangan mengurangi efek penundaan informasi pada ennten- emiten .kapitalisasi pasar tinggi, sebaliknya pada erniten-emiten kapitalisasi pasar renclah tidak karena tlekuensi perdagangan sahamnya rendah. Selain itu ditemukan perpanjangan return holding period tidak menmengaruhi jrunlah emiten-emiten kapitalisasi pasar tinggi yang mempunyai nilai beta signifikan tetapi pada emiten-erniten kapitalisasi pasar rendah tidal:. Selain itu return indeks pasar dapat lebili menjelaskan variasi total return pada berbagai return holding period pada emiten-emiten kapitalisasi pasar tinggi dibandingkan pa.da emiten-emiten kapitalisasi pasar rendah. Darr basil penelitian diatas tersebut dianjurkan pada investor melakukan perpanjangan return holding period dan diversifikasi saat melakukan investasi PT.Bursa Efok Jakarta balk pada saham emiten-erniten kapitalisasi pasar tinggi dan rendah. Perpanjangan return holding period akan memperkecil resiko sistematik pada salt= emiten-emiten kapitalisa.si pasar tinggi, tetapi walaupun memperbesar resiko sistematik sail= emiten-emiten kapitalisasi pasar rendah terpaksa clilakukan karena jarang diperdagangkan pada return holding period harian. Perpanjangan return holding period juga menningkinkan investor mendapatkan keuntungan berupa capital yield (deviden) yang meningkatkan return saharn yang diterima investor. Selanjutnya cliversifikasi dapat • memperkecil resiko tidak sistematik yang pada akhimya akan mengurangi total resiko.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:9286
Deposited By:Mr UPT Perpus 2
Deposited On:27 Apr 2010 10:27
Last Modified:27 Apr 2010 10:27

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