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"Salah satu cara untuk mengukur resiko suatu investasi adalah Value at Risk (VaR). VaR hanya memperhitungkan faktor kuantitatif dan faktor kualitatif diabaikan atau harus dikuantifisir. Data yang digunakan adalah data harian dari 5 saham di Bursa Efek Jakarta yaitu ASII, GGRM, HMSP, ISAT dan TLKM dengan periode data tahun 1998 s.d. 2002. Perhitungan VaR dengan menggunakan Metode Deviasi Standar, Exponentially Weighted , Exponentially Weighted Moving Average dan menggunakan alpha 95 % dan 99% sebagai gambaran risk aversion investor. Setiap metode yang digunakan akan menghasilkan nilai VaR yang berbeda sehingga menjadi kendala bagi para pengambil keputusan dalam menghitung risiko. Untuk mengatasi hal ini ada uji terhadap VaR yaitu Back Testing dan Stress Testing. Back Testing adalah untuk menentukan apakah hasil perhitungan VaR tersebut valid atau tidak dengan asumsi tertentu dan Stress Testing adalah untuk membandingkan potensi risiko aktual dengan risiko dari hasil perhitungan VaR.

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There are many ways to measure risk for your investment or portfolio, one of them is VaR or Value at Risk In calculating VaR, we only use quantitative factor and drop qualitative factor or we can quantified it.

To calculate VaR, 5 stocks traded in Bursa Efek Jakarta : ASII, GGRM, HMSP, ISAT and TLKM are used as daily data from 1998 untill 2002.

We use three methods to calculate VaR, which are: Standard Deviation, Equally Weighted, Equally Weighted Moving Average. These three methods use level of confidence 95 % and 99 %, which represent risk, aversion of investor.

Every method in calculating VaR has different result, which can cause investors make wrong decision for their investment. To avoid this, we can test the VaR by using Back Testing and Stress Testing. Back Testing is to test whether VaR is valid or not with some assumption (ex. data is distributed in normal distribution) and Stress Testing is to compare actual potential loss from investment or portfolio with VaR from calculation. So from both testing, we can use which method has the right or close to the reality."

"Konsep Economic Value Added (EVA) dan Market Value Added (MVA) telah banyak menyita perhatian sebagai sebuah bentuk baru dari penilaian kinerja keuangan. Kedua konsep ini telah dipublikasikan pada tahun 1993 oleh Stern Steward Management Service sebuah perusahaan konsultan keuangan di Amerika. Stern Steward Management Service meyakini bahwa EVA adalah kunci dari penciptaan penambah nilai perusahaan dan sekaligus juga kunci dari maksimalisasi MVA. Berdasarkan konsep tersebut penelitian terhadap perusahaan di Indonesia dilakukan untuk menguji kekuatan korelasi antara Economic Value Added (EVA) dan Market Value Added (MVA) dan kemampuan EVA sebagai proksi untuk MVA yang mewakili kepentingan¬-kepentingan pemegang saham.Penelitian sebelumnya yang dilakukan oleh Kramer dan Pusher terhadap Stern Steward 1000 database periode 1982-1992 dengan menggunakan analisis regresi OLS (Ordinary least squares) menunjukkan bahwa korelasi antara EVA dan MVA tidak begitu tinggi hanya sebesar 31%. Kemudian juga tidak menemukan bukti-bukti yang jelas untuk mendukung pendapat bahwa EVA adalah tolok ukur internal terbaik untuk keberhasilan perusahaan dalam memberikan nilai tambah bagi investasi pemegang saham. Penelitian ini mengadopsi metodologi penelitian di atas terhadap perusahaan yang terdaftar di Bursa Efek Jakarta dan Bursa Efek Surabaya periode 2002-2004 dilakukan untuk menguji kekuatan korelasi antara Economic Value Added (EVA) dan Market Value Added (MVA) serta kemampuan EVA sebagai proksi untuk MVA. Analisis empiris ini untuk membuktikan apakah EVA layak digunakan sebagai proksi untuk MVA. Dari populasi data tersebut diambil sampel sebanyak 100 perusahaan yang terdiri dari 50 perusahaan mewakili perusahaan besar yang mempunyai aset diatas Rp 1 trilyun dan 50 perusahaan yang mewakili perusahaan menengah yang mempunyai aset dibawah Rp 1 trilyun. Pemilihan perusahaan dan penghitungan nilai EVA dan MVA dilakukan oleh MarkPlus & Co bekerjasama dengan majalah SWA dan MAKSI-UI. Teknik pengumpulan data yang digunakan adalah dengan menggunakan data sekunder sebagaimana yang tersedia dalam publikasi.Hasil analisis didasarkan pada output yang dikeluarkan oleh program E-Views 5.0, melalui regresi analisis OLS panel (Ordinary least squares) dan pengujian asumsi klasik. Korelasi antara EVA dan MVA cukup besar, yaitu 75.4% yang rnenuniukkan bahwa terdapat hubungan yang signifikan dan searah antara EVA dan MVA.Hubungan regresi antara EVA dan MVA menunjukkan bahwa EVA sebagai proksi untuk MVA. Untuk memperdalam penelitian, penulis melanjutkan dengan uji terhadap persamaan model regresi (3.1) yang memenuhi kriteria uji secara keseluruhan dan parsial dengan menggunakan F-uji dan T-uji, terhadap perbedaan besarnya aset dan kelembaman waktu (timelag), serta hubungan antara EVA terhadap perubahan MVA. Selanjutnya penelitian dilanjutkan dengan melakukan transformasi pada variabel yang akan diuji.Dari hasil pengujian slatistik terhadap persamaan model regresi tersebut selelah ditransformasi ternyata tidak memenuhi kriiteria T-uji, yaitu bahwa besarnya konstanta tidak memenuhi kriteria karena rnelewati tingkat kesalahan a = 5 % yakni sebesar 5,6%. Kemudian dalam pengujian asumsi klasik, persamaan model regresi tersebut tidak memenuhi homoskedastisitas, hal ini mengakibatkan bahwa persamaan yang digunakan mempunyai masalah dan akibatnya hasil pengujian hipotesis tidak dapat dipercaya.Melalui penelitian ini yang berdasarkan pada pengujian dengan menggunakan beberapa model persamaan regresi yang dimaksudkan untuk mengetahui kekuatan EVA sebagai proksi untuk MVA tidak dapat dibuktikan.

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The Economic Value Added (EVA) and Market Value Added (MVA) concept often drawn attention as a new form of the assessment of the finances performance. The two concepts were published during 1993 by Stern Stewart Management Service a company of the financial consultant in America.

Stern Stewart Management Service presume in that EVA was the key from the creation of added value and also the key of the company from MVA maximalitation as well. Based on this concept the research into the companies which operated in Indonesia carried out to test the strength of the correlation between Economic Value Added (EVA) and Market Value Added (MVA) and EVA's capacity as proxy for MVA that representing the interests of shareholders.

The beforehand research that was carried out by Kramer and Pusher against Stern Steward 1000 database period of 1982-1992 by using of the analysis of regression OLS (Ordinary least squares) showed that the correlation between EVA and MVA were not so high but only 31%.

Afterwards also did not find clear proof to substantiate the opinion that EVA was the best internal benchmark for the success of the company in giving added value for shareholder's investment.

This research adopts the methodology of the above research into the companies that were listed in the Jakarta Stock Exchange and the Surabaya Stock Exchange period of 2002-2004 conducted to test the strength of the correlation between Economic Value Added (EVA) and Market Value Added (MVA) as well as EVA's capacity as proxy for MVA. This empirical analysis to prove whether EVA appropriate was used as proxy for MVA. From this population data was taken the sample totalling 100 companies that consist of 50 companies represent the big company that had assets exceed Rp 1 trillion and 50 companies represent the middle company that had assets under by Rp I trillion. The election of the company and counting EVA's value and MVA were carried out by MarkPlus & Co, in co-operation with the SWA magazine and MAKSI-Ul. Technique of the data collection which used is the secondary data available in the publication.

Results of the analysis were based on the output produced by the program of E-Views 5.0, through OLS (Ordinary least squares) analysis regression panel and the testing of the classic assumption.

The correlation between EVA and MVA quite significant, that is 75.4% which showed by significant correlation and same direction between EVA and MVA.

Regression correlation between EVA and MVA showed that EVA as proxy for MVA. To explore the research, researcher continued and the test against the equation of the regression model (3.1) that filled the test criterion on the whole and partial with used F-test and T-test, towards the difference of the assets size and timelag, as well as correlation between EVA towards the change MVA. Furthermore the research was continued by doing the transformation to the variable that will be tested.

From results of the testing of statistics towards the equality of this regression model after transformased evidently did not meet criteria T-test, that is that the constant size did not fill the criterion because of passing the level of the mistake a = 5 % that is as big as 5,6%. Afterwards in the testing of the classic assumption, the equation of this regression model did not meet homoscedasticity, this resulting the used equation had the problem and as consequence the result of the testing of the hypothesis is not realible.

Through this research which based on the testing with various equation of regression model to know EVA's strength as proxy for MVA could not be proved."

"Studi ini mengkaji perilaku “herding” di tingkat industri menurut IDX JASICA. Tujuan dari penelitian ini adalah untuk mengetahui perilaku “herding” periode wabah pandemi penyakit pra dan pasca-coronavirus 2019 (COVID-19) dengan menggunakan studi dari Dhall & Singh (2020) yang menggunakan modifikasi dari model yang diusulkan oleh E.C. Chang et al. (2000) sebagai referensi utama untuk mendeteksi perilaku “herding”. Dengan menggunakan harga penutupan saham harian dari 76 perusahaan, yang termasuk di dalam 9 sektor industri menurut klasifikasi industri saham Jakarta dari 1 Januari 2015 hingga 1 Juni 2020, hasil menunjukkan indikasi perilaku menggiring pada sektor industri yang berbeda sesuai dengan periode horizon investasi yang diamati dari keseluruhan. periode (1 Januari 2015 hingga 1 Juni 2020), sebelum periode wabah COVID-19 (1 Januari 2015 hingga 29 Januari 2020), dan setelah periode wabah COVID-19 (30 Januari 2020). Lebih lanjut, studi ini mengkaji perilaku “herding” pada kondisi pasar bullish dan bearish, dimana hasilnya menunjukkan bahwa investor lebih rentan terhadap perilaku “herding” dalam kondisi pasar bearish.

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This study examines the herding behavior at the industry level according to the IDX JASICA. The purpose of this study is to examine the herding behavior during the pre-and post-coronavirus disease 2019 (COVID-19) pandemic outbreak period. The research from Dhall & Singh (2020) which uses a modification of the model proposed by E.C. Chang et al. (2000) is used as the main reference of this research to detect the herding behavior. Using daily stock closing prices of 76 firms, which constitute 9 industrial sectors according to the Jakarta Stock Industrial Classification from 1 January 2015 to 1 June 2020, the results show indication of herding behavior in differing industry sectors subject to observed investment horizon period of the whole period (1 January 2015 to 1 June 2020), before COVID-19 outbreak period (1 January 2015 to 29 January 2020), and after COVID-19 outbreak period (30 January 2020). Furthermore, this study investigates the herd during bull and bear market conditions, whereby the results show that investors are more prone to the herding behavior under bearish market conditions."

"In May 2005, Indonesian stock exchange market was shocked by PT Philip Morris Indonesia (Philip Morris) immense purchase transaction to acquire 97 percent PT Hanjaya Mandala Sampoerna Tbk (HM Sampoerna)'s shares. Purchase price was Rp 10,600 per share, away above prevailing market price at Rp 9,550 per share as of May 18th, 2005. To obtain 4,251,510,000 shares of HM Sampoerna, Philip Morris had to arrange cash payment no less than Rp 45.066 trilion.Bahana Securities managed the tender offer, preserving all HM Sampoerna's shareholders to have equal chance to sell their shares at Philip Morris's premium price offer of Rp 10,600 for one share. Almost all shareholders took this good opportunity and sold their HM Sampoerna's shares to Philip Morris.This transaction triggered questions amongst investors. How much was the real value of HM Sampoerna's shares? Why did Philip Morris buy at premium price? Why did Sampoerna family, as the founder and the largest shareholder of HM Sampoerna, sell their since 1912 ownership of HM Sampoerna to Philip Morris? Why did Philip Morris consider the prevailing market price of HM Sampoerna's shares undervalue while the shareholders of HM Sampoerna had totally different perspective of overvalue?Objectives of this thesis are to identify the true value of HM Sampoerna's shares using three approaches of valuation method, namely Free Cash Flow to Equity (FCFE), Free Cash Flow to the Finn (FCFF) and Economic Value Added (EVA), and to provide evidence that null hypothesis can be accepted with those three valuation methods. Null hypothesis of this thesis is the prevailing HM Sampoerna's share market price during purchase transaction by Philip Morris was undervalued pursuant to FCFE, FCFF and EVA evaluation methods.This thesis performs top-down analyses, which begin wit macro economic analysis, cigarettes industry, HM Sampoerna's financial statement analysis. Then proceed to forecast of HM Sampoerna's financial statement for valuation purpose. There are two periods in financial statement forecast. The first five years period called high growth period and the rest called stable growth period. There are two sets of forecast, one is for normal scenario and other is for optimistic scenario. The last stage of top-down analysis is so perform valuation at HM Sampoerna's share price with FCFE, FCFF and EVA methods.The result of FCFE method, both normal scenario and optimistic scenario, shows that HM Sampoerna's share price during purchase transaction was overvalued or HM rejected. Contrarily, the result of FCFF and EVA methods, either normal scenario or optimistic scenario, prove that HM Sampoerna's share price during purchase transaction by Philip Morris was undervalued or Ho accepted.This case expectantly useful for investors, shareholders, management of the company, spectators and other realting parties. For investors or shareholders, it is very important to analyze and value a company with as many valuation method as possible to gain overall value of the company and to avoid premature overvalue or undervalue statement. As for management of the company, valuation of its shares is very important for capital structure strategy and measuring the company's growth. And for spectators, this case is very interesting and might be used for case study."

"Nilai harga saham di Bursa Efek Indonesia (BEI) terkadang mengalami perubahan yang fluktuatif tergantung dari kondisi perekonomian indonesia yang juga dipengaruhi oleh kondisi perekonomian global. Diversifikasi merupakan suatu hal yang tepat dalam mengatasi kondisi yang kurang tepat ketika adanya kondisi global yang tidak menentu terutama faktor perekonomian. Reksa Dana adalah instrumen pasar modal yang diatur oleh Manajer Investasi (MI) namun sifat mekanisme transaksinya diperjual belikan oleh dealer partisipan pada pasar primer. Exchange-Traded Fund (ETF), salah satu produk Reksa Dana yang karakteristiknya berbeda terutama dari segi mekasnisme jual belinya dan kehadirannya masih baru di Indonesia dan saat pengerjaan penelitian ini yang terdaftar di BEI yang berjumlah 45 ETF. Nilai Aktiva Bersih (NAB) pada ETF memiliki perbedaan dengan harga pasarnya, namun jika berdasarkan Efficient Market Hypotesis menjelaskan nilai intrinsik suatu sekuritas mencerminkan harga pasarnya. Maka untuk melihat terkait masalah tersebut pada tesis ini bertujuan untuk melakukan analisis faktor disparitas yang dapat berpengaruh antara NAB pada ETF dengan harga pasarnya dengan menggunakan data sekunder. Metode yang dilakukan dengan regresi Ordinary Least Square (OLS) dengan hipotesis penelitian yaitu faktor disparitas meliputi fund age, volume, selisih high dan low price, dan return IHSG. Hasil penelitian ini menemukan bahwa fund age, volume, selisih high dan low price tersebut berpengaruh signifikan terhadap perbedaan harga terhadap NAB (mispricing ETF) dengan R squared sebesar 3.13 % yang tidak jauh berbeda dengan peneltian Atanasova dan Weisskopf (2020) dan penelitian Shin dan Soydemir (2010). Implikasi penelitian ini memberikan gambaran pada investor, Manajer Investasi, dan dealer partisipan untuk berinvestasi dan mengembangkan ETF di Indonesia.

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The value of share prices on the Indonesia Stock Exchange (IDX) sometimes fluctuates depending on the condition of the Indonesian economy which is also influenced by global economic conditions. Diversification is the right thing to overcome inaccurate conditions when there are uncertain global conditions, especially economic factors. Mutual Funds are capital market instruments that are regulated by the Investment Manager (MI) but the nature of the transaction mechanism is traded by and participating dealers in the primary market. Exchange- Traded Fund (ETF), one of the Mutual Fund products with different characteristics, especially in terms of its trading mechanism and its new presence in Indonesia, and at the time of this research were listed on the IDX, totaling 45 ETFs. Net Asset Value (NAV) in ETF is different from its market price, however, based on the Efficient Market Hypothesis, it explains that the intrinsic value of a security reflects its market price. So to see the cause of this issue, the objective of this thesis is to analyze the disparity factors that can affect the NAV in ETFs and their market prices using secondary data. The method used is Ordinary Least Square (OLS) regression with the research hypothesis that disparity factors include fund age, volume, the difference between high and low price, and IHSG return. The result of this research found that fund age, volume, the difference between high and low price had a significant effect on the difference in price on NAV (mispricing ETF) with R squared about 3.13% which is similar to previous reseach by Atanasova dan Weisskopf (2020) and another previous research by Shin dan Soydemir (2010). The implication of this research is to provide an overview of participating investors, investment managers and dealers to invest in and develop ETFs in Indonesia."

"Penelitian ini bertujuan untuk menelaah pengaruh investor attention dan variansi investor attention terhadap tingkat abnormal return pasar modal Indonesia untuk kasus indeks Bisnis-27 dan LQ-45 pada periode 2010 sampai dengan 2017, dan untuk menelaah hubungan Granger causality antara investor attention dan tingkat abnormal return . Penelitian ini menggunakan Google SVI sebagai proksi untuk investor attention. Analisis OLS digunakan pada 41 sampel saham yang terdaftar di indeks Bisnis-27 dan LQ-45 dari periode 2010 sampai dengan periode 2017. Penelitian ini menghasilkan 4 empat temuan. Yang pertama, investor attention teruji signifikan mempengaruhi tingkat secara positif untuk sampel saham yang terdaftar di indeks Bisnis 27-dan indeks LQ-45. Yang kedua, dengan membandingkan peningkatan adjusted R-squared pada indeks Bisnis-27 dan LQ-45, didemonstrasikan bahwa investor attention dapat lebih menjelaskan abnormal return pada saham-saham yang terdaftar di indeks Bisnis-27. Yang ketiga, dengan menguji pengaruh variansi investor attention terhadap abnormal return sampai dengan minggu keempat, ditunjukkan adanya tren penurunan yang sangat signifikan untuk nilai R-squared dan jumlah saham yang signifikan dari minggu pertama ke minggu-minggu setelahnya. Terakhir, dari pengujian hubungan granger causality antara variabel SVI dan variabel abnormal return terdapat hubungan granger causality yang bervariasi.

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This paper aims to investigate the impact of investor attention and the variations of investor attention on the level of abnormal return in the Indonesian stock market and the Granger causality relationship between investor attention and abnormal return. The OLS method is applied to a sample of 41 stocks that are registered on the Bisnis 27 dan LQ 45 index during the period of 2010 2017. This paper have four important findings. Firstly, investor attention positively impacts abnormal return significantly for the stocks that are registered on the Bisnis 27 and LQ 45 index. Secondly, by comparing the increase of adjusted R squared between the two index, it is found that investor attention can explain the abnormal return of stocks that are listed on the Bisnis 27 index more than it explains the stocks that are listed in the LQ 45 index. Thirdly, by investigating the impact of variations of investor attention on abnormal return up until the four week interval, it is shown that there is a significant downward trend for both the R squared and the number of significant stocks that are influenced by investor attention. Lastly, the granger causality test between investor attention and abnormal return resulted in a varying result."

"Penelitian ini membahas mengenai pengaruh kepemilikan asing dan komponennya terhadap corporate risk taking pada perusahaan yang bergerak di sektor manufaktur dan terdaftar di Bursa Efek Indonesia selama periode 2014-2016. Pengujian dilakukan dengan model regresi data panel pada 74 perusahaan manufaktur. Untuk mengukur nilai variabel dependen corporate risk taking dilakukan dengan dua proksi, yaitu volatilitas laba dan volatilitas ROA, sedangkan variabel independen yang digunakan dalam penelitian ini adalah kepemilikan asing serta variabel kontrol yang digunakan adalah ukuran perusahaan, return on asset, leverage serta capital expenditures. Hasil penelitian ini menemukan bahwa kepemilikan asing, leverage dan capital expenditure memiliki pengaruh terhadap corporate risk taking.

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This research discusses the influence of foreign ownership and its components on corporate risk taking in companies engaged in the manufacturing sector and listed on the Indonesia Stock Exchange during the period 2014 2016. The test was performed by panel data regression model on 74 manufacturing companies. To measure the value of the dependent variable, corporate risk taking is done by two proxies, namely profit volatility and ROA volatility, while the independent variables used in this research are foreign ownership, for control variables used are firm size, return on asset, leverage and capital expenditures. The results of this study found that foreign ownership, leverage and capital expenditure have an influence on corporate risk taking."

"Penelitian ini bertujuan untuk mengevaluasi kemampuan lindung nilai atau hedging dari aset cryptocurrency Bitcoin terhadap pasar saham di Indonesia yang direpresentasikan melalui Indeks saham LQ45 dengan menggunakan metode analisis GARCH Multivariate Dynamic Conditional Correlation (DCC-MGARCH). Hasil dari penelitian ini menunjukkan bahwa Bitcoin memiliki potensi lindung nilai yang relatif baik terhadap pasar saham di Indonesia, khususnya pada masa ketidakpastian ekonomi global dan domestik yang disebabkan oleh pandemi Covid-19. Namun, hasil yang paling menarik dari penelitian ini adalah hubungan antara aset cryptocurrency Bitcoin dengan komoditas emas XAU yang memiliki hasil analisis DCC-MGARCH yang tinggi, yang tidak sejalan dengan penelitian sebelumnya yang menyatakan bahwa komoditas emas dapat digunakan sebagai aset lindung nilai terbaik relatif terhadap pasar modal.

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This study aims to evaluate the hedging capabilities of the Bitcoin cryptocurrency asset against the stock market in Indonesia represented by the LQ45 stock index using the GARCH Multivariate Dynamic Conditional Correlation (DCC-MGARCH) analysis method. The results of this study demonstrate that Bitcoin possesses a relatively good hedging potential against the stock market in Indonesia, particularly during times of global and domestic economic uncertainty caused by the Covid-19 pandemic. However, the most noteworthy outcome of this study is the relationship between the Bitcoin cryptocurrency asset and the gold commodity XAU, which exhibit high DCC-MGARCH analysis results, which is not consistent with previous studies that assert that gold can be utilized as the best relative hedging asset against the capital market."