Pengaruh degree of economic leverage (DEL), degree of operating leverage (DOL), dan degree of financial leverage (DFL) terhadap risiko sistematik saham perusahaan manufaktur di Bursa Efek Indonesia

ASTERIA, Beta, Prof. Dr. Eduardus Tandelilin, M.B.A

2009 | Tesis | S2 Magister Ekonomika Pembangunan

Penelitian ini mengenai pengaruh variabel Degree of Economic Leverage (DEL), Degree of Operating Leverage (DOL) dan Degree of Financial Leverage (DFL) terhadap risiko sistematik atau beta saham perusahaan manufaktur. Penelitian ini menggunakan data laporan keuangan dari Indonesian Capital Market Directory, data beta dari data base Indonesian Capital Market Directory PPA UGM dan data inflasi dari Bank Indonesia. Pengambilan data dilakukan dengan metode purposive sampling. Data yang digunakan adalah data panel. Model yang digunakan adalah regresi berganda dengan pendekatan common effect dengan metode Generalized Least Square (GLS). Variabel independen adalah Degree of Economic Leverage (DEL), Degree of Operating Leverage (DOL) dan Degree of Financial Leverage (DFL). Variabel dependen adalah risiko sistematik atau beta. Mengingat beta untuk pasar modal yang berkembang (termasuk Bursa Efek Indonesia) merupakan beta yang bias karena terjadinya perdagangan yang tidak sinkron (non-sychronous trading) maka beta dikoreksi dengan metode Fowler and Rorke, dengan empat periode lag dan lead. Pemilihan variabel independen berdasarkan penelitian Griffin dan Dugan (2003). Hasil penelitian menunjukkan bahwa variabel independen yang berpengaruh signifikan terhadap risiko sistematik adalah Degree of Operating Leverage (DOL) pada taraf nyata α=1 persen dengan arah positif dan Degree of Financial Leverage (DFL) pada taraf nyata α=1 persen dengan arah negatif. Semua variabel independen hanya dapat menjelaskan variabilitas risiko sistematik sebesar 30,76 persen dan sisanya sebesar 69,24 persen dijelaskan oleh variabel lain.

This study investigated the impact of Degree of Economic Leverage (DEL), Degree of Operating Leverage (DOL) dan Degree of Financial Leverage (DFL) to systematic risk or beta of manufacture company stocks. The data used in this research are the data of financial statement from Indonesian Capital Market Directory, beta from data base Capital Market Directory at PPA UGM, and inflation from Bank Indonesia. The data were taken trough purposive sampling. The research used pooled data. The analysis method applied in this research is multiple regression estimated by common effect model with Generalized Least Square (GLS) method. The independent variables are Degree of Economic Leverage (DEL), Degree of Operating Leverage (DOL) and Degree of Financial Leverage (DFL). Dependent variable is systematic risk or beta. Because the beta for the developing stock market (including the Indonesian Stock Exchange) is a bias beta due to the non-synchronous trading, it is corrected with Fowler and Rorke Method with four periods of lag and lead. The choice of the independent variables refer to Griffin and Dugan’s Research in 2003. The findings of this research indicate that Degree of Operating Leverage (DOL) at significance level 1 percent with positive direction, Degree of Financial Leverage (DFL) at significance level 1 percent with negative direction. Overall of independent variables could explain abaut 30.76 percent and the rest explain by other variables about 69.24 percent.

Kata Kunci : Degree of economic leverage (DEL),Degree of Operating leverage (DOL),Degree of financial leverage,System risk