Analisis Beta pada Pasar Bullish dan Bearish: studi kasus Bursa Efek Jakarta

Putri, Leonita, Prof. Dr. Eduardus Tandelilin, M.B.A.

2008 | Skripsi | S1 Extention - Management

Penelitian Analisis Beta pada Pasar Bullish dan Bearish Studi kasus Bursa Efek Indonesia bertujuan menguji beta yang dihitung dengan time varying risk market model dengan membedakan kondisi pasar Bullish dan Bearish lebih bisa menjelaskan return saham dibandingkan dengan constant risk market model. Variabel dalam penelitian ini terbagi ke dalam dua variabel yaitu variabel bebas dan variabel terikat. Variabel terikat yaitu Return pasar (Ri) dan variabel bebas yaitu Return saham (Rm). Sampel yang diambil sebanyak 189 perusahaan yang tidak melakukan company action (stock split, stock dividend, dan right issue) selama periode 1 Januari 2002 sampai 31 Juni 2007 dengan model analisis data (1) menghitung return saham dan return pasar bulanan, (2) menentukan jenis kondisi bulan bullish dan bearish ,(3) mengestimasi beta saham yang sudah dikoreksi dari bias beta saham,(4) membentuk portofolio saham dengan metode ranking,(5) estimasi risiko sistematis portofolio berdasarkan dua model yaitu constant risk market model dan time varying risk market model (6) analisis risiko sistematis portofolio pada pasar bullish dan bearish. Implikasi dari penelitian ini adalah pengujian beta portofolio saham pada kondisi pasar bullish dan pasar bearish menunjukkan bahwa beta portofolio saham dengan menggunakan time varying risk market model terlihat lebih mampu menjelaskan return portofolio secara lebih signifikan dibandingkan beta yang dihitung dengan constant risk model. Hal ini dibuktikan dari nilai R Square atau determinasi sampel yang mendekati nilai absolut 1,00 (0,993) - (Ariff dan Johnson, 1990; Hartono dan Surianto, 1999). Kata kunci : Beta, Bullish, Bearish, Constant risk market model, Time varying risk market model.

Research of Beta Analysis At Market Bullish and Bearish case study Indonesia Stock Exchange case aim to calculated Beta with time varying risk market model by differentiating condition of market Bullish and Bearish more able to explain return stock compared to constant risk market model. Variable in this research divided into two variables that is independent variable and dependent variables. dependent variable that is Return market (Ri) and independent variables that is Return stock ( Rm). The sample taken 189 companies doing no company action ( stock split, stock dividend, and right issue) during time line 1 January 2002 to 31 Junes 2007 with model data analysis (1) calculates return stock and return monthly market,( 2) determines type condition of month of bullish and bearish, ( 3) estimates stock beta which have been corrected and deflected beta stock, (4) forms stock portfolio with ranking method,(5) estimation of portfolio systematic risk based on two models that is constant risk market model and time varying risk market model, (6) systematic risk analysis of portfolio at market bullish and bearish. The implication and research is testing of stock portfolio beta at condition of market bullish and market bearish indicates that stock portfolio beta by using time varying risk market model seen more can explain return portfolio in more significant compared to beta calculated with constant risk model. This thing proved and assessed R Square or determination of sample closing absolute value 1,00 ( 0,993) - ( Ariff and Johnson, 1990; Hartono and Surianto, 1999). Keyword : Beta, Bullish, Bearish, Constant risk market model, Time varying risk market model.

Kata Kunci : Beta, Bullish, Bearish, Constant risk market model, Time varying risk market model Bursa Saham; Pasar Modal