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Hasil Pencarian

Ditemukan 8318 dokumen yang sesuai dengan query
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Azaria Gemilang
"Penelitian ini menganalisis mengenai dampak pengumuman dividen khususnya pada saat ex- dividend date di Bursa Efek Indonesia terhadap Harga dan Volume Perdagangan Saham dengan mengambil sampel 39 emiten. Periode penelitian selama 21 hari yakni 10 hari sebelum dan sesudah ex-dividend date. Metode yang digunakan dalam penelitian ini adalah event study. Pengujian untuk harga saham diukur dengan menggunakan abnormal return, sedangkan untuk volume perdagangan diukur membandingkan average trading volume turnover sebelum dan sesudah periode penelitian. Dari hasil penelitian maka disimpulkan bahwa harga saham dan volume perdagangan saham bereaksi negatif terhadap informasi pengumuman dividen khususnya pada saat ex-dividend date.

This research aims to analyze the impact of the dividend announcement, especially at the ex- dividend date in Indonesia Stock Exchange on Stock Price and Trading Volume by taking a sample of 39 issuers. During the study period of 21 days, 10 days before and after the ex- dividend date. The method used in this research is event study. To tests for stock prices measured by using abnormal return, whereas trading volume average is measured by comparing turnover before and after the study period. From the research it was concluded that the stock price and trading volume of the stock reacted negatively to the announcement of the dividend information, especially at the ex-dividend date.
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Depok: Fakultas Ilmu Administrasi Universitas Indonesia, 2015
S61009
UI - Skripsi Membership  Universitas Indonesia Library
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Nadia Farahiya Rachmadini
"Tujuan dari penelitian ini adalah untuk menganalisis ada/tidaknya fenomena Reverse Weekend Effect pada Bursa Efek Indonesia BEI. Variabel dependen dalam penelitian ini adalah return harian dan menggunakan variabel dummy dan conditional variance sebagai variabel independen dalam regresinya. Autoregressive conditional heteroskedasticity ARCH dan generalized autoregressive conditional heteroskedasticity GARCH digunakan sebagai metode analisis untuk mengukur volatilitas return yang diregresikan sebagai conditional variance equation. Leverage effect ditambahkan sebagai salah satu variabel independen dalam conditional variance equation atas pengaruh baik atau buruknya berita sehingga dapat mempengaruhi harga saham di hari Senin. Hasil penelitian ini tidak menemukan adanya reverse weekend effect di Indonesia. Kemudian, return di hari senin tidak selalu bernilai positif setiap minggunya pada perusahaan berskala besar. Terakhir, volume perdangan dan likuiditas tidak dapat menjelaskan fenomena anomali Reverse Weekend Effect di Indonesia.

The aim of this paper is to analyze whether there is phenomenon of anomaly of the Reverse Weekend Effect or not in Indonesia Stock Exchange. Dependent variable of this study is daily return and using dummy variable and conditional variance variable as independent variables in its regression. Autoregressive conditional heteroskedasticity ARCH and generalized autoregressive conditional heteroskdasticity GARCH were used as analytical methods to measure return volatility which were regressed as conditional variance equation. Leverage effect was added as the independent variable for the different impact of good and bad news on the conditional variance equation that could affect stock prices on Monday. The results of this study did not find any Reverse Weekend Effect in Indonesia. Then, the result of Monday return of large firms was not always positive in every week. Furthermore, trading volume and illiquidity of individual firms cannot explain the anomaly of Reverse Weekend Effect in Indonesia."
Depok: Universitas Indonesia, 2017
S66527
UI - Skripsi Membership  Universitas Indonesia Library
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Khairil Anwar
"Algorithmic trading (AT) sebagai fenomena mutakhir di pasar keuangan, khususnya pasar di Amerika dan wilayah Eropa, masih menjadi kontroversi. Ada yang menganggap (dan menunjukkan) AT memberi pengaruh positif terhadap market quality, ada juga yang menunjukkan hal sebaliknya. Menggunakan proxy aktivitas perdagangan, penelitian ini mengidentifikasi tren penggunaan AT dan dampaknya terhadap market quality di BEI. Adanya peningkatan aktivitas perdagangan (trading) yang dibarengi perubahan strategi perdagangan (nature of trading) menjadi petunjuk kuat tren penggunaan AT di BEI, meskipun dengan intensitas yang relatif lebih rendah dibandingkan pada pasar-pasar negara maju. Secara umum AT meningkatkan bid-ask spreads dan effective spreads, menurunkan bid-ask depth, serta mengurangi volatilitas harga saham. Hal ini menjadi indikasi bahwa AT memberi dampak negatif dengan menurunkan likuiditas pasar namun di saat yang sama justru memberi dampak positif dengan mengurangi volatilitas harga saham di BEI.

Algorithmic trading (AT) as a fairly new phenomenon in financial markets, especially in the American and European markets, still have controversy and discourse with respect to its impact on market quality. Using normalized measure of Indonesia Stock Exchange (IDX) electronic message traffic as proxy for AT, this paper investigates AT and its impact on market quality in IDX. Significant increase in trading activity as well as change of trading strategy have become evidence of an increase in the use of AT in IDX, with relatively lower than both US and European markets. In general, AT wide bid-ask spreads and effective spreads, reduces bid-ask depth, as well as reduces volatility. These findings indicate that AT has negative impact on liquidity and positive impact on volatility in IDX."
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2012
T32250
UI - Tesis Open  Universitas Indonesia Library
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Dimas Angga Negoro. author
"ABSTRAK
The signs of economic recovery above can give a clearer banking industry prospects in the next year. This can be inferred by the possibility of cheaper loan given by the banks' to the real sectors. For investors, this condition might lead to question about the relationship between stock price return and key variables. This research intended to find these relationships. Economic variables chosen for this research are market indices (JCI), interest rate, and exchange rate (ID.R/IJSD). There is previous research that discusses the influence of these three independent variables to stocks return (Moerdinafitrasari, 2003).
From 18 stocks that have listed on JSXfor more than 5 years, only 9 stocks has F-test significance level below 5%, they are BBCA, PNBN, BNII, BBNI, BDMN, BEKS, NISP, BNGA, BNLI. From the preliminary hypothesis that JCI significantly affects the stock return, research shows that this independent variable does affect BBCA, PIVBN, BNII, BBIVI, BDMN, BEKS, NISP, and BNGA (all of the 9 stocks except BNLI). Preliminary hypothesis statement of probable Interest rate significantly affects the stock return of BNII, while the return for the rest of the stocks is insignificantly influenced. Foreign exchange significantly affects the stock return of PNBN, while the return for the rest of the stocks is insignificantly influenced. From these conclusions we could draw several suggestions. First, before investing in banking stocks, investors should forecast JCI return. Second, because the return of banking stocks' only significantly affected by the return of JCI (except for BNII) in this research, it will be valuable to add or change the independent variables."
2007
T19743
UI - Tesis Membership  Universitas Indonesia Library
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Fikka Nurizka
"Skripsi ini membahas tentang analisis pengaruh sebelum dan sesudah pengumuman right issue terhadap volatilitas harga saham dan volume perdagangan yang meliputi volatility persistence dengan menggunakan pendekatan time varying volatility. Sampel yang digunakan adalah perusahaan yang terdaftar di Bursa Efek Indonesia 2006-2015 yang melakukan right issue. Model Autoregressive Conditional Heteroskedasticity ARCH dan Generalized Autoregressive Conditional Heteroskedasticity GARCH digunakan untuk menjelaskan volatilitas dalam penelitian ini. Hasil penelitian ini menunjukkan bahwa volatilitas harga saham dan volume perdagangan yang meningkat sebelum pengumuman dan menurun setelah pengumuman right issue.

The Focus of this study is to analyze the significance of stock price and trading volume volatility around right issue announcement date, covering volatility persistence by using time varying volatility approach. The sample used is listed company in Indonesia Stock Exchange for the periode 2006 2015 which have done right issue. Autoregressive Conditional Heteroskedasticity ARCH and Generalized Autoregressive Conditional Heteroskedasticity GARCH model is used to examine the volatility. The results indicate that stock price and trading volume volatility have increased before the announcements and decreased after the rights issue announcements.
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Depok: Fakultas Ilmu Sosial dan Ilmu Politik Universitas Indonesia, 2017
S66732
UI - Skripsi Membership  Universitas Indonesia Library
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Ibnu Anshary
"ABSTRAK
Tesis ini membahas pengaruh kebijakan infrastruktur pemerintah Jokowi terhadap siginifikansi Cumulative Average Abnormal Return CAAR dan Average Abnormal Return AAR saham di sektor Basic Industry and Chemicals; Property, Real Estate and Building Construction; serta Infrastructure, Utilities, and Transportation pada enam peristiwa tahun 2014 ndash; 2016 dengan metode event study, yaitu Jokowi unggul di quick count pilpres 2014, Sidang Kabinet Paripurna, Penyampaian R-APBN 2016, Paket Kebijakan Ekonomi 5, Paket Kebijakan Ekonomi 9, dan Penyampaian R-APBN 2017; sektor Property, Real Estate and Building Construction memiliki CAAR signifikan paling banyak dengan empat peristiwa. Sedangkan dari semua peristiwa, AAR tidak signifikan di semua sektor.

ABSTRACT
This thesis discusses the impact of Jokowi 39 s government infrastructure policy towards the siginificance of Cumulative Average Abnormal Return CAAR and Average Abnormal Return AAR of shares in sector of Basic Industry and Chemicals Property, Real Estate and Building Construction and Infrastructure, Utilities, and Transportation during six events in 2014 2016 using event study method. The events are Jokowi excel in quick count 2014 president election, Plenary Cabinet Session, R APBN Submission 2016, Economic Policy Packages Number 5, Economic Policy Package Number 9, and Submission R APBN 2017. Therefore, sector Property, Real Estate and Building Construction has significant CAAR at most with four events. As for all events, AAR is not significant in all sectors."
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2017
T-Pdf
UI - Tesis Membership  Universitas Indonesia Library
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Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2003
S25987
UI - Skripsi Membership  Universitas Indonesia Library
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Raffisal Adiba Damanhuri
"Laporan magang ini membahas mengenai analisis penentuan trading limit [R1], pemberian fasilitas pembiayaan transaksi saham dan fasilitas repo saham khususnya terhadap nasabah ritel di PT. CIMB Securities Indonesia PT. CSI . PT. CIMB Securities Indonesia memiliki framework [R2] dalam penentuan trading limit, pemberian fasilitas pembiayaan transaksi saham, dan fasilitas repo saham kepada nasabah ritelnya. Analisis yang dilakukan melalui penelaahan Standar Operasional Prosedur perusahaan yang berkaitan dengan Trading Limit,[R3] Fasilitas Pembiayaan Transaksi Saham, dan Fasilitas Repo Saham yang tertuang dalam Credit Control Policies and Procedures PT. CIMB Securities Indonesia. Selain itu hasil analisis juga mengacu kepada hasil pemeriksaan oleh Bursa Efek Indonesia terhadap PT. CIMB Securities Indonesia selaku angota bursa. Berdasarkan hasil analisis, dapat disimpulkan bahwa pada proses penentuan trading limit, pemberian fasilitas pembiayaan transaksi saham, dan fasilitas repo saham masih terdapat beberapa hal yang belum sesuai dengan Standar Operasional Perusahaan dan diperlukannya peningkatan kualitas manajemen risiko di PT CIMB Securities Indonesia. [R1]Cetak miring [R2]Cetak miring [R3]Cetak miring.

This report discusses the analysis of the determination of trading limit, the provision of financing facility of stock transaction and repo stock facility mainly to the retail customer in PT. CIMB Securities Indonesia. PT. CIMB Securities Indonesia has a framework for determining trading limits, providing share financing facilities and repo share facilities to the retail customers. Analysis conducted through the review of Standard Operating Procedures of the Company related to Trading Limit, Financing Facility of Stock Transaction, and Repo Share Facility as stipulated in Credit Control Policies and Procedures PT. CIMB Securities Indonesia. In addition, the results of the analysis also refer to the results of the examination by the Indonesia Stock Exchange against PT. CIMB Securities Indonesia as a member of the stock exchange. Based on the result of the analysis, it can be concluded that in the process of determining the trading limit, the provision of financing facility for stock transactions, and repo stock facilities there are still some things that are not in accordance with the Standard Operating Companies and the need to improve the quality of risk management at PT CIMB Securities Indonesia."
Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2017
TA-Pdf
UI - Tugas Akhir  Universitas Indonesia Library
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Nita Ayudiyanti
"PT Kliring Penjaminan Efek Indonesia KPEI memiliki fasilitas Pinjam Meminjam Efek PME yang bertujuan untuk mengatasi gagal serah efek oleh Anggota Kliring, membantu investor untuk melakukan strategi perdagangan berupa short selling, dan meningkatkan likuiditas pasar. Penelitian ini bertujuan untuk menganalisis pengaruh transaksi PME terhadap Indeks Harga Saham Gabungan IHSG, volume perdagangan saham, dan nilai transaksi perdagangan saham. Penelitian ini menggunakan data bulanan dari Mei 2009 hingga Desember 2016 dan menggunakan 3 model regresi linear sederhana. Hasil penelitian menunjukkan bahwa nilai transaksi PME tidak berpengaruh terhadap volume perdagangan saham, tetapi berpengaruh signifikan negatif terhadap nilai transaksi perdagangan saham dan IHSG.

PT Kliring Penjaminan Efek Indonesia KPEI has Securities Lending and Borrowing SLB facility which aims to avoid the securities payment default, helps investors in implementing their short selling strategy, and increases the market liquidity. This research aims to analyze the impact of SLB transaction on stock trading volume, stock trading transaction value, and Jakarta Composite Index JCI. This research was conducted by using monthly data from May 2009 to December 2016 and three simple linear regression models. The research results indicated that SLB transaction did not affect the stock trading volume, but has negative significant effect on the stock trading value and JCI."
Depok: Fakultas Ilmu Sosial dan Ilmu Politik Universitas Indonesia, 2017
S-Pdf
UI - Skripsi Membership  Universitas Indonesia Library
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