Hasil Pencarian  ::  Simpan CSV :: Kembali

Abstrak :
Tesis ini membahas estimasi imbal hasil dan penggambaran kurva imbal hasil Surat Utang Negara (SUN) periode 2008-2009 dengan model McCulloch Cubic Spline dan dengan model Nelson Siegel. Setelah dilakukan penghitungan maka akan dipilih model yang paling efektif dalam mengestimasi imbal hasil SUN. Penelitian ini bersifat kuantitatif dengan menggunakan bantuan software microsoft excel solver add-ins dalam proses estimasi imbal hasil model. Untuk memilih model yang paling efektif maka dibandingkan data total selisih imbal hasil masing-masing model terhadap imbal hasil aktual dengan uji hipotesis menggunakan statistik nonparametrik. Hasil penelitian menunjukkan kedua model dapat digunakan untuk mengestimasi dan menggambarkan kurva imbal hasil. Hasil penelitian, berdasarkan uji statistik nonparametrik, juga menunjukkan model Nelson Siegel lebih efektif dibandingkan model McCulloch Cubic Spline dalam mengestimasi imbal hasil Surat Utang Negara. ......This study discusses the estimation of yields and the yield curves of Government Bonds (SUN) in period of 2008-2009 using McCulloch Cubic Spline and Nelson Siegel model. This study will also choose the most effective model in estimating the yield of SUN. This research uses quantitative method with Microsoft excels software (solver add-ins) in its calculation. In order to choose the best model, both models are compared by nonparametric statistic for Minimum Residual Error (MRE). This research shows that both models are applicable for estimating and describing yield curve. Based on Minimum Residual Error and nonparametric statistic, Nelson-Siegel is the better model than McCulloch Cubic Spline.

Abstrak :
[ ABSTRAK
Ketidakpastian lingkungan menyebabkan adanya variabilitas dalam laba yang dilaporkan perusahaan, dan menyebabkan adanya asimetri informasi antara manajer dan pemegang saham. Adanya hal tesebut membuat manajemen melakukan perataan laba untuk meningkatkan keinformatifan laba. Penelitian ini akan menguji apakah interaksi antara perataan laba dengan keinformatifan laba masa depan berpengaruh positif terhadap imbal hasil saham dan bagaimana bila interaksi tersebut terjadi pada perusahaan yang beroperasi pada lingkungan yang tidak pasti. Penelitian ini menggunakan sampel 169 perusahaan publik yang tercatat di BEI, kecuali perusahaan keuangan, selama periode 2000-2014. Hasil penelitian ini menunjukkan bahwa interaksi antara perataan laba dengan keinformatifan laba masa depan berpengaruh negatif terhadap imbal hasil saham, yang artinya manajemen melakukan perataan laba dengan motif garbling. Ketika perusahaan beroperasi pada lingkungan yang tidak pasti, hubungan negatif antara interaksi antara perataan laba dengan keinformatifan laba masa depan dengan imbal hasil saham semakin kuat.

---

ABSTRACT
Environmental uncertainty induces variability in an organization's reported earning and caused information asymmetry between management and shareholders. This makes management have an incentive to improve earning informativeness to reduce information asymmtery. This study examine whether the interaction between income smoothing and future earning informativeness have positive effect on stock returns and how this interaction occur when the companies operating in an unceratin environment. This study used sampels of 169 public compnay listed on Indonesian Stock Exchange, exclude financial sector company, during the periods 2000-2014. The results indicates that the interaction between income smoothing with future earning informativeness negatively affect stock returns, which means management does this by garbling motif. When the company operates in an uncertain environment, the negative realtionship between interaction of income smoothing and future earning informativeness is stronger., Environmental uncertainty induces variability in an organization?s reported earning and caused information asymmetry between management and shareholders. This makes management have an incentive to improve earning informativeness to reduce information asymmtery. This study examine whether the interaction between income smoothing and future earning informativeness have positive effect on stock returns and how this interaction occur when the companies operating in an unceratin environment. This study used sampels of 169 public compnay listed on Indonesian Stock Exchange, exclude financial sector company, during the periods 2000-2014. The results indicates that the interaction between income smoothing with future earning informativeness negatively affect stock returns, which means management does this by garbling motif. When the company operates in an uncertain environment, the negative realtionship between interaction of income smoothing and future earning informativeness is stronger.]

Abstrak :
Penelitian ini bertujuan untuk menganalisis pengaruh skor ESG tinggi yang dimiliki perusahaan terhadap performa saham perusahaan yang tercatat pada Bursa Efek Indonesia saat pandemi Covid-19 tepatnya sejak kasus Covid-19 muncul di Indonesia pada tanggal 2 Maret 2020 hingga akhir pandemi Covid-19 pada 21 Juni 2023. Performa saham yang diukur pada penelitian ini terdiri dari imbal hasil saham dan volatilitas imbal hasil saham perusahaan terbuka sebanyak 77 perusahaan yang dijadikan sampel dalam penelitian ini. Jenis data yang digunakan bersifat cross-section dan time series sehingga pengelolaannya menggunakan salah satu teknik dari regresi panel data yaitu random effect model. Hasil dari penelitian ini menunjukkan bahwa terdapat pengaruh negatif antara skor ESG tinggi yang dimiliki perusahaan terhadap volatilitas imbal hasil saham perusahaan, tetapi tidak terdapat pengaruh antara skor ESG tinggi yang dimiliki perusahaan terhadap imbal hasil saham perusahaan yang tercatat pada Bursa Efek Indonesia saat pandemi Covid-19. ......This study aims to analyze the effect of the company's high ESG score on the stock performance of companies listed on the Indonesia Stock Exchange during the Covid-19 pandemic, precisely since the Covid-19 case appeared in Indonesia on 2 March 2020 until the end of the Covid-19 pandemic on 21 June 2023. The stock performance measured in this study consists of stock returns and volatility of stock returns of 77 listed companies as a sample in this study. The type of data used is a cross-section and time series, so the method used is a technique of panel data regression, namely the random effect model. The results of this study indicate that there is a negative influence between the high ESG score owned by the company on the volatility of the company's stock returns, but there is no influence between the high ESG score owned by the company on the stock returns of companies listed on the Indonesia Stock Exchange during the Covid-19 pandemic.

Abstrak :
ABSTRAK
Pembahasan mengenai apakah perubahan earning memiliki hubungan kausalitas terhadap tingkat imbal hasil saham merupakan hal yang masih diwarnai perdebatan. Dengan melihat adanya dugaan keterlibatan intrinsic bubble yang menurut Chen, Cheng, dan K.F Cheng (2009) mampu melatarbelakangi lahirnya perdebatan itu, penelitian ini dilakukan guna membuktikan dugaan tersebut di Indonesia. Dengan menggunakan beberapa data komposit Indonesia seperti IHSG, composite EPS (earning per share) dan composite DPS (dividend per share), juga data lainnya selama kurun waktu 2006-2012, penulis terlebih dahulu menguji keberadaan hubungan kausalitas antara perubahan earning dengan tingkat imbal hasil saham menggunakan VECM serta uji intrinsic bubble di Indonesia melalui OLS. Pada akhirnya, penelitian ini menyimpulkan bahwa intrinsic bubble terbukti tidak mempengaruhi hubungan kausalitas antara perubahan earning terhadap tingkat imbal hasil saham di Indonesia.

---

ABSTRACT
Discussions about whether changes in earning have a causality relation with stock returns are still in controversy. Based on the hypothesis by Chen, Cheng, and K.F Cheng (2009) that intrinsic bubble could be the reason of those controversial discussion, this study was made in order to prove this hypothesis in Indonesia. Using several Indonesian composite data such as IHSG, composite EPS (earning per share) and composite DPS (dividend per share), and also other Indonesian data during 2006-2012 period, researcher try to do some tests first. They are test to see the existance of the causality relation using VECM and also test to see the existance of intrinsic bubble using OLS. At the end, this study results a conclusion that intrinsic bubble is not affecting the causality relation between changes in earning and stock return in Indonesia.

Abstrak :
Penelitian ini bertujuan untuk mengetahui pengaruh perspektif Islam terhadap imbal hasil saham yang diharapkan. Penelitian ini menggunakan data panel pada metode penelitian deskriptif kuantitatif, dengan data sampel pada saham konvensional dari Indeks Harga Saham Gabungan dan saham syariah dari Jakarta Islamic Index. Teknik pengambilan sampel dilakukan dengan purposive sampling melalui metode analisis regresi model panel. Hasil penelitian menunjukkan bahwa imbal hasil pasar berpengaruh positif, ukuran berpengaruh negatif, nilai buku pasar berpengaruh positif, dan faktor risiko Islam berpengaruh negatif terhadap imbal hasil saham yang diharapkan.

---

This study aims to determine the influence of the Islamic perspective on expected stock returns. This study uses panel data on methods of quantitative descriptive study with a sample of the data on conventional stock from Composite Stock Price Index and Islamic stock form Jakarta Islamic Index. The sampling technique is done with purposive sampling through the regression analysis method of panel model. The result showed return market have a positive impact, size have a negative impact, book to market have a positive impact, and Islamic risk factor have a negative impact on expected stock return.

Abstrak :
Penelitian ini bertujuan untuk menganalisis hubungan antara variabel makroekonomi yang digambarkan oleh indeks produksi indutri, jumlah uang beredar, dan tingkat bunga terhadap tingkat imbal hasil saham (return) pada saham sektor tersier periode 2015-2019. Sektor tersier sendiri terbagi lagi menjadi 4 sub-sektor, yaitu sektor keuangan, sektor infrastruktur, sektor properti dan real estate, serta sektor transportasi dan logistik. Penelitian ini menggunakan pengujian metode Johansen’s Cointegration. Hasil penelitian ini menunjukkan terdapat hubungan jangka panjang antara variabel makroekonomi dengan tingkat imbal hasil saham pada sektor tersier. Penelitian ini juga menemukan dalam jangka pendek variabel makroekonomi yaitu tingkat bunga yang memiliki hubungan dengan tingkat return saham sektor keuangan dan transportasi logistik, serta variabel jumlah uang beredar yang signifikan memiliki hubungan dengan imbal hasil saham sektor transportasi dan logistik. Variabel makroekonomi tidak memiliki hubungan dalam jangka pendek pada tingkat return saham gabungan, saham sektor infrastruktur, dan saham sektor properti dan real estate. ......This study aims to analyze the relationship between macroeconomic variables described by the industrial production index, money supply, interest rates on stock market return in the tertiary sector during the observation period 2015-2019. These sectors are classified into financial sector, infrastructure sector, property and real estate sector, and the last transportation and logistic sector. This study uses Johansen’s Cointegration methodology. The result of the study show that there is a long-term relationship between macroeconomic variables and the stock return in tertiary sector. This study also indicate that in the short term, interest rate has a relationship with the stock return in financial sector and transportation-logistic sector. Money supply has a significant relationship with the stock return in transportation-logistic sector. Macroeconomic variables do not have a short-term relationship at all with the stock return in infrastructure sector and property-real estate sector.

Abstrak :
ABSTRAK
Pada sektor properti terdapat beberapa alternatif yang dapat dipilih investor untuk menginvestasikan dananya. Investor dapat berinvestasi pada investasi fisik properti dan pada saham sektor properti. Pembuatan portofolio instrumen investasi pada sektor properti dapat mendatangkan imbal hasil yang cukup besar, oleh sebab itu mendorong untuk dilakukan penelitian yang obyektif yang dapat memberikan gambaran bagi investor untuk memilih secara obyektif intrumen investasi yang paling sesuai dan menguntungkan atau kombinasi dari kedua instrumen investasi tersebut. Karya akhir ini mempunyai dua tujuan utama yaitu, pertama untuk mencari investasi mana yang paling menguntungkan diantara kedua instrumen investasi dimaksud selama periode tahun 2009-2013, serta membentuk portofolio yang optimal dari kedua intrumen investasi tersebut sehingga dapat menghasilkan imbal hasil tertentu dengan risiko tertentu.

---

ABSTRACT
In the property sector, there are several investment alternatives for investor to invest their funds. Investors can invest in physical property and the property sector stocks. Preparation to make a portfolio of investment in the property sector could bring sizable yields, therefore encouraging to do objective research to provide an overview for investors to objectively select the most appropriate investment instruments and profitable or a combination of both these investment instruments. This thesis has two main objectives, first is to look for the most profitable investment between the two investment instruments referred to during the period of 2009-2013, as well as forming the optimal portfolio of both investment instruments so that they can produce a certain yield with certain risks.

Abstrak :
[ABSTRAK
Saat ini tersedia beberapa jenis informasi harga sukuk, namun investor berhak mengetahui seberapa signifikan perbedaan antara data dari sumber yang satu dengan yang lainnya, sehingga investor memiliki keyakinan dalam investasi pada instrumen sukuk. Penelitian ini bertujuan untuk mengetahui perbedaan antara imbal hasil dan risiko Sukuk Ijarah dari Bursa Efek Indonesia (IDX) dan Indonesian Bond Pricing Agency (IBPA). Kesimpulan dari penelitian ini adalah bahwa terdapat perbedaan yang signifikan secara statistik dari risiko sukuk ijarah antara yang menggunakan data harga Bursa Efek Indonesia (IDX) dan data harga Indonesian Bond Pricing Agency (IBPA), akan berkaitan dengan tingkat kepercayaan publik dan investor atas validitas data harga sukuk di pasar sekunder.

---

ABSTRACT
Several types pricing information of sukuk are available today, but investors are entitled to know how significant the difference between data from one source to another, so that investors have confidence of investing in sukuk instrument. This study aims to determine differences between returns and risks Risk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA). The conclusion of this study shows that there is a statistically significant difference of Sukuk Al-Ijara risks between the use of the Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be related with public and investor trust in addition of sukuk data price validity in secondary market.;Several types pricing information of sukuk are available today, but investors are entitled to know how significant the difference between data from one source to another, so that investors have confidence of investing in sukuk instrument. This study aims to determine differences between returns and risks Risk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA). The conclusion of this study shows that there is a statistically significant difference of Sukuk Al-Ijara risks between the use of the Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be related with public and investor trust in addition of sukuk data price validity in secondary market., Several types pricing information of sukuk are available today, but investors are entitled to know how significant the difference between data from one source to another, so that investors have confidence of investing in sukuk instrument. This study aims to determine differences between returns and risks Risk Adjusted Return (RAR) Sukuk Al-Ijara from Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA). The conclusion of this study shows that there is a statistically significant difference of Sukuk Al-Ijara risks between the use of the Indonesian Stock Exchange (IDX) and Indonesian Bond Pricing Agency (IBPA), it will be related with public and investor trust in addition of sukuk data price validity in secondary market.]

Abstrak :
ABSTRAK
Penelitian ini menguji tentang hubungan antara volume dan frekuensi terhadap volatilitas imbal hasil sebagai salah satu proksi indikator sebaran informasi perusahaan syariah di pasar modal islami Saudi Arabia Stock Exchange dan pasar modal campuran Jakarta Stock Exchange . Periode sampel data dimulai dari 11 April 2011 sampai dengan 31 Oktober 2017. Hasil penelitian menunjukan bahwa baik volume dan frekuensi signifikan menurunkan tingkat volatility persistence. Proses sebaran informasi Mixture of Distribution Hypothesis MDH terdapat pada 58 perusahaan di Indonesia dan 48 di Saudi Arabia. Proses sebaran informasi Sequential Information Arrival Hypothesis SIAH terdapat pada 4 perusahaan di Indonesia dan 2 di Saudi Arabia. Perusahaan syariah Indonesia yang mengikuti asumsi SIAH terdapat pada 4 perusahaan VOKS, ACES, LION, dan EPMT . Perusahaan syariah Indonesia dengan asumsi SIAH memiliki model transaksi kompetitif. Hal tersebut mengindikasikan bahwa informed traders Indonesia memiliki perspektif opini yang sama sehingga terjadi kompetisi. Sedangkan, perusahaan syariah Saudi Arabia yang mengikuti asumsi SIAH teramati pada 2 perusahaan SII dan QAC . Perusahaan syariah Saudi Arabia dengan asumsi SIAH memiliki model transaksi strategik. Hal tersebut mengindikasikan bahwa informed traders Saudi Arabia tidak memiliki perspektif opini yang sama atas informasi sehingga terdapat monopolist informed traders. Karakteristik perilaku pasar syariah Indonesia yang sebagian besar adalah model transaksi kompetitif 98 dikarenakan rerata tingkat kapitalisasi pasar perusahaan syariah Indonesia rendah. Sedangkan, karakteristik perilaku pasar syariah Saudi Arabia sebagian besar adalah model transaksi strategik 62 dikarenakan perilaku pelaku pasar Saudi Arabia bersifat tidak gambling, konservatif, risk aversion tinggi, dan tidak berspekulasi.Kata kunci: SIAH, MDH, Volatilitas Imbal Hasil, Volume, Frekuensi

---

ABSTRACT
This study examines the relationship between volume and frequency of return volatility as one of the proxies of information sharing indicator of Shariah in Islamic stock exchange Saudi Arabia Stock Exchange and Jakarta Stock Exchange. The sample data period obtained starts from April 11, 2011 to October 31, 2017. The results show that both volume and frequency significantly decrease the level of volatility persistence. The process of distribution of Mixture of Distribution Hypothesis MDH information is existed in 58 companies in Indonesia and 48 in Saudi Arabia. Sequential Information Arrival Hypothesis SIAH information distribution process is existed in 4 companies in Indonesia and 2 in Saudi Arabia. Indonesian Shariah companies that follow the SIAH assumption are existed in 4 companies VOKS, ACES, LION, and EPMT . Indonesian Shariah companies with SIAH assumptions have a competitive transaction model. It indicates that informed traders Indonesia have the same opinion perspective that competition occurs. Meanwhile, Saudi Arabia 39 s Shariah companies following SIAH assumptions are existed in two companies SII and QAC . Saudi 39 s Shariah companies with SIAH assumptions have a strategic transaction model. It indicates that informed traders Saudi Arabia do not have the same opinion perspective on information so that there are monopolist informed traders. The characteristic of Shariah market behavior in Indonesia is mostly competitive transaction model 98 due to low market capitalization rate of Shariah firms. Meanwhile, the characteristic of Saudi Arabia 39 s Shariah market behavior is largely a strategic transaction model 62 because the behavior of Saudi Arabian market players is not gambling, conservative, high risk aversion, and not speculating.Key words SIAH, MDH, Return Volatility, Volume, Number of Trades