Risk reduction through diversification in the period before, during and after Asian crisis :: Comparison between Indonesia and Japanese market

RAHMAWATI, Wiwien Faulina, Suad Husnan, Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Resiko merupakan hal yang pasti akan dihadapi pada setiap investasi. Setiap investor akan mencoba berinvestasi dengan tingkat resiko yang rendah dan dengan tingkat return yang cukup menguntungkan. Portfolio merupakan salah satu cara untuk menekan resiko pada investasi yaitu dengan berinvestasi pada bermacam-macam saham. Meskipun portfolio dapat menekan tingkat resiko namun tidak dapat menghilangkan resiko tersebut. Resiko terbagi menjadi dua macam, yaitu resiko sistematik dan resiko unsystematic. Portfolio dapat menghilangkan resiko unsystematic namun tidak dapat menghilangkan resiko sistematik atau resiko pasar dapam portfolio. Portfolio yang terdiri dari semua saham dalam pasar memiliki resiko perfolio yang terendah sedangkan investasi hanya pada satu saham memiliki resiko tertinggi. Pada thesis ini akan meningkatkan jumlah saham pada portfolio untuk melihat penurunan tingkat resiko portfolio. Untuk menekan resiko portfolio maka dibutuhkan saham-saham dengan kombinasi yang baik. Semakin kecil nilai koefisien korelasi antara saham maka semakin baik kombinasi saham-saham tersebut pada sebuah portfolio dan pada akhirnya akan semakin effisien dalam menekan tingkat resiko unsystematic portfolio. Kombinasi terbaik adalah jika saham-saham tersebut memiliki koefisien korelasi yang negative. Jika koefisien korelasi dari saham-saham tersebut bernilai tinggi dan positif, maka portfolio tersebut tidak dapat menekan resiko secara effektif. Pada thesis ini akan dilihat penurunan resiko dengan menggunakan diversifikasi pada portfolio sebelu, selama dan sesudah krisis Asia di Indonesia dan Jepang. Penurunan resiko di Indonesia lebih tinggi jika dibandingkan dengan Jepang pada sebelum dan sesudah krisis, hal ini karena koefisien korelasi antar perusahaan di Indonesia lebih kecil dari pasa di Jepang. Namun secara keseluruhan, resiko portfolio di Indonesia lebih besar dari pada di jepang pada periode sebelum dan sesudah krisis. Pada saat krisis, nilai resiko portfolio meningkat cukup tinggi jika dibandingkan sebelum krisis dan korelasi antar perusahaan di Indonesia meningkat sehingga penurunan resiko portfolio di Indonesia tidak berbeda signifikan dengan di Jepang meskipun krisis Asia lebih terlihat dampaknya di Indonesia. Beta merupakan nilai yang direpresentasikan dangan tingkat volatilitas saham-saham jika dibandingkan dengan pasar. Di Indonesia, selama krisis, nilai beta meningkat dan diikuti oleh nilai resiko total yang juga meningkat hampir dua kalinya jika dibandingkan sebelum krisis. Beta di Jepang lebih kecil daripada beta di Indonesia, hal ini dikarenakan nilai korelasi antara perusahaan di Jepang lebih kecil daripada di Indonesia. Pada saat krisis, beta di Jepang meningkat empat kali dibandingkan beta sebelum krisis. Pada saat sesudah krisis, nilai beta tetap lebih tinggi dari pada sebelum krisis. Hal ini menandakan bahwa Jepang juga memiliki imbas dari krisis Asia 1997-1999.

In investment, investor will be faced with risk. Basically an investor does not like risk and risk can be reduced by holding portfolios by diversifying most financial assets which are indeed held in portfolios. Portfolio is one way to reduce the unsystematic risk of one investment but does not completely eliminate it. Portfolio which is consisting of all stocks is the lowest portfolio risk and investment with only one stock has the biggest portfolio risk. This thesis conducts enlarging the number of stocks and we can see the risk reduction from individual stock investment until market portfolio investment. The unsystematic risk can be reduced by holding more stocks in portfolio but not the market risk. To reduce the stocks we need a suitable combination of stocks. The best combination is including two stocks which have perfect negative correlation (-1). In stock market, if stocks have negative correlation, the number of risk reduction will be more effective. But if stocks have positive and high correlation, the diversification by using that portfolio will not be an effective way to reduce the risk. One of the most basic tests of market efficiency is the test for serial correlation of returns (Rosenberg and Rudd, 1982). The risk reduction by diversification is different at three period of time, before crisis, during crisis and after crisis in both Indonesia and Japan but which market is more effective to reduce the unsystematic risk will be the main question. Different country has different market risk. The market risk has been changed by time and it is depended on the country risk. One factor which is affected market risk is the beta value of individual stocks. If we compare Indonesian and Japanese market, if the beta value is higher than the market risk is also higher. Market risk can be measured by beta, which is another measure of investment risk that is the volatility of returns. The result of this thesis are comparison of the portfolio risk reduction between Indonesia and Japan before, during and after the Asian crisis, it shows that risk reduction in Indonesia is higher than that in Japan before and after the Asian crisis. It also shows that the correlation coefficient between companies in Indonesia is lower than those in Japan. But overall portfolio risks in Indonesia are still higher than those in Japan before the crisis and nine years after the Asian crisis. The portfolio risk during the crisis increased significantly comparing to the portfolio risk before the crisis, but the risk reduction during the crisis in Indonesia and Japan was relatively had the same effectiveness even though Indonesia was more affected by the crisis than Japan. Beta is represented by a number that reflects the volatility of given stocks compared with the average stock or market. In Indonesia, during the crisis, the beta increased and was followed by the total risk during the crisis almost twice as high as before and after the crisis. The betas after the crisis were the lowest amongst all. Compared to Indonesia, Japanese beta was much lower. During the Asian crisis, beta in Japan increased four times than before. After the Asian crisis, the beta decreased but still higher than before. During the Asian crisis, market risk increased almost ten times than before. It shows to us that Japan was affected by the Asian crisis.

Kata Kunci : Resiko,Beta dan krisis Asia,risk reduction,beta and Asian crisis