Analisis kemampuan market timling dan selection serta pengaruh karakteristik reksadana terhadap performance
Latuconsina, Sjamsuddin E. (pembimbing: Prof. Dr. Marwan Asri, MBA), Prof. Dr. Marwan Asri, MBA
Penelitian ini bertujuan untuk menguji kemampuan market timing dan kemampuan selection serta menguji hubungan antara karakteristik reksadana dengan performance. Sampel yang diambil sebanyak 84 reksadana yang terdaftar pada Badan Pengawas Pasar Modal (BAPEPAM) Jakarta dengan periode penelitian Agustus 2002 sampai Juli 2004. Pengumpulan data dilakukan dengan metode dokumentasi dari berbagai sumber yang relevan. Pengujian hipotesis kemampuan market timing dan selection, dilakukan dengan menggunakan model pengukuran kinerja Jensen dan Treynor-Mazuy. Hasil penelitian ini menunjukan bahwa secara umum tidak terdapat kemampuan market timing dan selection pada indistri reksadana di Indonesia, dimana 56 dari 84 reksadana (67%) mempunyai return yang lebih kecil dari return pasar. Sedangkan untuk menguji hubungan antara karakteristik reksadana dengan performance, dilakukan dengan model OLS. Hasilnya menunjukan bahwa ada hubungan positif dan signifikan antara turnover dan flow dengan performance. Ada hubungan negatif dan signifikan antara expense dengan performance. Penelitian ini juga menunjukan bahwa tidak ada hubungan antara size dengan performance.
The objective of this research was to examine market timing and selection ability and association between mutual fund characteristics and performance. Research was done on 84 mutual fund which registered at Badan Pengawas Pasar Modal (BAPEP AM) with the period from August, 2002 to July 2004. Data collection was done with documentation method from relevance source. Hypothesis examination on market timing and selection ability, was based on performance measurement model from Jensen and Treynor-Mazuy. The result of research concluded that there are no market timing and selection ability on Indonesian mutual fund industry, where 56 of 84 mutual fund (67%) have return less than market return. Meanwhile, association between mutual fund characteristics and performance was used Ordinary Least Squares Model (OLS). The result shows that there are positive and significantly association between turnover and flow with performance. There are negative and significantly association between expense and performance. In contrast, the research show that there are insignificant impact of size on performance.
Kata Kunci : Market timing, Selection, Karakteristik Reksadana, Market timing, Selection, Mutual Fund Characteristics
