ANALISIS PERBEDAAN POLA TRADING SAHAM INVESTOR LOKAL VERSUS INVESTOR ASING PADA AWAL DAN AKHIR PEKAN DI PERDAGANGAN SAHAM LQ45 BURSA EFEK INDONESIA PERIODE TAHUN 2011

FIRDAUS, I Wayan Nuka Lantara, S.E., M.Si., Ph.D

2016 | Tesis | S2 Manajemen

Investor lokal dan investor asing mempunyai karakteristik dan perilaku yang berbeda. Kecenderungan Investor lokal mengikuti pola trading investor asing (herding theory) merupakan perilaku investor yang tidak rasional. Investor asing mungkin tidak memiliki informasi yang berharga, tetapi mereka di persepsikan memiliki informasi yang lebih berkualitas dari investor lokal. Investor pada umumnya menggunakan semua informasi yang relevan dalam membuat keputusan, baik keputusan membeli maupun keputusan menjual saham. Informasi merupakan penentu dari perubahan harga. Perubahan tersebut bisa terjadi di awal (Senin) dan akhir pekan (Jumat) pada hari perdagangan, sehingga para peneliti melihat adanya pola pengaruh hari perdagangan seperti day of the week effect (Pekanan), weekend effect (Pekanan), intraday (harian), serta month of the year effect (Bulanan). Objek penelitian adalah saham-saham yang masuk kategori LQ45 periode 2 Januari 20911 sampai dengan 30 Desember 2011, yang dilihat dari besarnya Volume, Value, dan Frekuensi transaksi , baik transaksi beli maupun transaksi Jual. Analisis data menggunakan SPSS V21 dengan menggunakan metode normalisasi dan uji beda yang memberikan hasil baik secara statistik deskriptif maupun kuantitatif. Atas analisa yang telah dilakukan, diperoleh kesimpulan bahwa : Terdapat perbedaan yang signifikan antara perilaku investor asing dan investor lokal dalam melakukan perdagangan di awal pekan (Senin) dan di akhir pekan (Jumat) baik transaksi beli mapun jual, dimana rata-rata perdagangan investor lokal cenderung lebih tinggi daripada investor asing baik dilihat dari volume, value, maupun frekuensi. Serta adanya perbedaan yang signifikan antara return perdaganagan di awal pekan (Senin) ) dibandingkan dengan di akhir pekan (Jumat), dimana rata-rata return awal pekan cenderung kecil dari akhir pekan.

Local investors and foreign investors have different characteristics and behaviors. Local investors tendency to follow the trading patterns of foreign investors (Herding Theory) is an irrational investor behavior. Foreign investors may not have valuable information, but they are perceived to have higher quality information from local investors. Investors typically use all relevant information in making a decision, either decision to buying or selling the stocks. Information is a key factor of the price change. Such changes can occur in the early (Monday) and weekends (Friday) on the trading day, so the researchers looked at their patterns of influence of the trading day as day of the week effect (the weekly), weekend effect (the weekly), intraday (daily), as well as month of the year effect (Monthly). The object of research is stocks which is categorized LQ45 Index period January 2nd until December 30 year of 2011, which is review from the Volume, Value, and frequency of transactions, both buy or sell transactions. Data analysis using SPSS V21 using the normalization method and a different test that gives results both descriptive statistics and quantitative data. Based on the analysis that has been done, the conclusion as follows: There are significant differences between the behavior of foreign investors and local investors to trade at the beginning of the week (Monday) and on weekends (Friday) both buy and sale transactions, where the average trading of local investors tend to be higher than foreign investors when viewed by the volume, value, or frequency. And the existence of significant differences between the returns of trade in the beginning of the week (Monday)) than on weekends (Friday), where the average return earlier of the week tend to be smaller than the weekend. Keywords: Trading behavior, herding theory, day of the week effect, LQ45 Index.

Kata Kunci : Perilaku trading, herding theory, day of the week effect, Indeks LQ45