Pengaruh kebijakan moneter terhadap hubungan antara beta, ME dan BE/ME dengan return saham

HERYANI, Endah Budi, Prof.Dr. Marwan Asri SW., MBA

2004 | Tesis | Magister Manajemen

Penelitian ini menganalisis mengenai, pertama, pengaruh dari excess return pasar, size dan book to market equity terhadap rata-rata return saham di Bursa Efek Jakarta. Kedua meneliti mengenai hubungan antara kebijakan moneter, excess return pasar, size dan book to market equity terhadap rata-rata return saham di Bursa Efek Jakarta. Ketiga membahas mengenai perbedaan pada excess return pasar, size dan book to market equity antara periode ekspansi dan kontraksi di Bursa Efek Jakarta periode tahun 1999- 2002. Hasil dari penelitian ini menunjukkan bahwa pada pasar modal di Indonesia variabel return market tidak berpengaruh signifikan terhadap return portofolio, Sedangkan variabel kebijakan moneter berpengaruh negatif signifikan terhadap return portofolio. Hasil penelitian ini mengindikasikan adanya small size effect dan relative distress pada saham-saham kecil di BEJ. Selain itu, hasil dalam penelitian ini menunjukkan bahwa terdapat perbedaan antara return portofolio dengan excess return pasar, size serta book to market equity pada periode ekspansi dan kontraksi pada di BEJ.

This study analyses impact of market excess return, size and book to market equity on average return of stocks in Jakarta Stock Exchange, investigate relationship between monetary policy, market excess return, size and book to market equity on average return of stocks in Jakarta Stock exchange and discusses difference on market excess return, size and book to market equit y between expansion and contraction periods in Jakarta Stock Exchange in period of 1999-2002. Result of this study indicated that in Indonesian capital market, variable of market return do not influence significantly on portfolio return. Meanwhile, variable of monetary policy influence significantly on portfolio return. The result indicates that there is small size effect and relative distress in small stocks in JSE. In addition, there is also difference between portfolio return with market excess return, size and book to market equity in expansion and contraction periods in JSE.

Kata Kunci : Return Saham,Kebijakan Moneter,Monetary Policy