Pengaruh Beta (Risiko Sistematis), Risiko Total, dan Risiko Tidak Sistematis (Idiosyncratic) terhadap Return Portofolio pada Industri Manufaktur di Indonesia

Wuryaningrum, Maharani Retno, Dr. Mamduh M. hanafi, M.B.A.

2007 | Tesis | S2 Management

Pendekatan tradisional Capital Asset Pricing Model (CAPM) berpendapat bahwa hanya beta (risiko sistematis) yang diperhitungkan dalam ekuilibrium, peran risiko tidak sistematis (idiosyncratic) sepenuhnya dikeluarkan melalui diversifikasi. CAPM juga mengimplikasikan bahwa risiko idiosyncratic bisa dihilangkan dengan diversifikasi portofolio dan karenanya investor tidak besedia menanggung risiko idiosyncratic. Hal ini tidak berlaku, jika investor untuk beberapa alasan exogenous justru menahan portofolio yang tidak terdiversifikasi. Ketidakmampuan investor dalam memegang portofolio yang terdiversifikasi akhirnya akan mendorong investor mempertimbangkan tidak hanya beta (risiko sistematis) tetapi juga risiko idiosyncratic dan risiko total. Tujuan penelitian ini adalah untuk menguji pengaruh dari beta, risiko total (Equal-weighted Average Stock Variance, Value-weighted Average Stock Variance dan Median Stock Variance) dan risiko idiosyncratic (Equal-weighted Average idiosyncratic Va riance, Value-weighted Average Idiosyncratic Variance dan Median Idiosyncratic Variance) terhadap return portofolio pada pasar modal Indonesia. Jumlah perioda sampel adalah 32 kuartal dimulai dari 1 Januari 1998 sampai Desember 2005. Sampel terdiri dari 65 perusahaan dari industri manufaktur yang dipilih dengan menggunakan metoda purposive sampling. Metode statistik yang digunakan adalah analisis regresi sederhana. Hasil penelitian menunjukkan bahwa beta berpengaruh negatif signifikan, risiko total dan risiko idiosyncratic tidak berpengaruh signifikan terhadap Equalweighted Portfolio Return pada perioda t+1. Sedangkan pada pengujian Equalweighted Portfolio Return perioda t, beta tidak berpengaruh signifikan, risiko total dan risiko idiosyncratic berpengaruh positif signifikan. Hasil pengujian terhadap Value-weighted Portfolio Return baik perioda t+1 dan perioda t, ternyata beta, risiko total dan risiko idiosyncratic tidak berpengaruh signifikan. Kata-kata Kunci: Equal-weighted Portfolio Return, Value-weighted Portfolio Return, Beta, Equal-weighted Average Stock Variance, Value-weighted Average Stock Variance, Median Stock Variance, Equal-weighted Average Idiosyncratic Variance, Value-weighted Average Idiosyncratic Variance dan Median Idiosyncratic Variance.

The traditional Capital Asset Pricing Model (CAPM) approach argues that only beta (systematic risk) should be priced in equilibrium, any role for unsystematic risk (idiosyncratic) is completely excluded through diversification. The CAPM also implies that idiosyncratic risk can be eliminated in a diversified portfolio and hence investor will not be rewarded for bearing idiosyncratic risks. This result may not be valid , if some investors, for some exogenous reasons, hold undiversified portfolio. The disability of investor to hold the diversified portfolio will force investors to consider not only beta but also total risk and idiosyncratic risk. The purpose of this research is to investigate the effect of beta, total risk (Equal-weighted Average Stock Variance, Value-weighted Average Stock Variance dan Median Stock Variance), and idiosyncratic risk (Equal-weighted Average idiosyncratic Variance, Value-weighted Average Idiosyncratic Variance dan Median Idiosyncratic Variance) on portfolio return in Indonesia Capital Market. Total sampling period is 32 quarters which was started from January 1998 until December 2005. The sample consists of 65 company in manufacture industry selected by using purposive sampling. Statistic method is done by using simple regression. The result of analysis shows that beta significantly negative influence, total risk and idiosyncratic risk do not significantly on Equal-weighted Portfolio Return t+1. While on Equal-weighted Portfolio Return period t, beta does not significantly influence, total risk and idiosyncratic risk significantly positive influence. The investigating result on value-weighted portfolio return both period t+1 and period t state that beta, total risk and idiosyncratic risk do not significantly influence. Key words: Equal-weighted Portfolio Return, Value-weighted Portfolio Return, Beta, Equal-weighted Average Stock Variance, Value-weighted Average Stock Variance, Median Stock Variance, Equal-weighted Average Idiosyncratic Variance, Value-weighted Average Idiosyncratic Variance and Median Idiosyncratic Variance.

Kata Kunci : Equal-weighted Portfolio Return, Value-weighted Portfolio Return, Beta, Equal-weighted Average Stock Variance, Value-weighted Average Stock Variance, Median Stock Variance, Equal-weighted Average Idiosyncratic Variance, Value-weighted Average Idiosyncrati