ANALISIS PENGARUH MARKET TIMING (PADA KONDISI HOT DAN COLD MARKET) TERHADAP LEVERAGE PERUSAHAAN NON KEUANGAN DI INDONESIA

VERA PIPIN WULANDARI, Kusdhianto Setiawan, SE., Siv. Ok., Ph.D.

2014 | Skripsi | MANAJEMEN

Penelitian ini bertujuan untuk menguji pengaruh market timing terhadap leverage pada perusahaan non keuangan di Indonesia. Market timing diuji pada kondisi hot dan cold market. Hot dan cold market ditentukan berdasarkan nilai market to book ratio bulanan. Bulan hot (cold) market adalah pada bulan tersebut rata-rata market to book ratio ada di atas (dibawah) dari nilai moving average market to book ratio bulanan. Penelitian ini juga bertujuan untuk menguji apakah perusahaan non keuangan di Indonesia menerapkan kebijakan leverage secara persisten. Penelitian ini menggunakan dua model penelitian. Model penelitian (1) merupakan data panel dengan sampel sebanyak 78 perusahaan non keuangan yang terdaftar di BEI tahun 2002-2010. Sedangkan model penelitian (2) merupakan data cross section dengan sampel sebanyak 88 perusahaan non keuangan yang melakukan IPO di Indonesia pada tahun 2003-2010. Variabel dependen pada kedua model penelitian tersebut adalah leveraget (Levt). Variabel independennya adalah markett dan leveraget-1 (Levt-1). Variabel kontrolnya adalah profitabilitast-1 (Proft-1); dan sizet-1. Hasil penelitian ini menunjukkan bahwa market timing tidak berpengaruh terhadap leverage perusahaan non keuangan di Indonesia. Perusahaan non keuangan di Indonesia juga tidak menerapkan kebijakan leverage secara persisten. Artinya perusahaan non keuangan di Indonesia menerbitkan ekuitas tidak memperdulikan kondisi pasarnya (hot atau cold market). Akan tetapi, struktur modal perusahaan non keuangan di Indonesia berubah karena pengaruh variabel profitabilitas dan size perusahaan. Kata Kunci: Market Timing Theory, Leverage, Hot dan Cold Market, Market to Book Ratio

This study aimed to examine the effect of market timing on leverage on nonfinancial companies in Indonesia. Market timing is tested on the hot and cold market conditions. Hot and cold markets are determined based on the monthly market to book ratio. Hot (cold) market takes place when the average market to book ratio of a month is above (below) the value of the moving average of monthly market to book ratio. This study also aimed to test whether non-financial companies in Indonesia persistently applying leverage policy. This study used two research models. First model is a panel data with a sample size of 78 non-financial companies listed on the BEI in 2002-2010.Second model is a cross section data with a sample size of 88 non-financial companies that conducted IPO in Indonesia in 2003-2010. The dependent variable in both the research models is leveraget (Levt). The independent variables are markett and leveraget-1 (Levt – 1). The control variables are profitabilityt - 1 (Proft - 1); and sizet - 1. The results of this study indicate that market timing does not effect the leverage of non-financial companies in Indonesia. Non-financial companies in Indonesia are also not persistently applying leverage policy. This means that nonfinancial companies in Indonesia do not consider market conditions (hot or cold market) when issuing equity. However, the capital structure of non-financial companies in Indonesia changed because the influence of variable size and profitability. Keywords: Market Timing Theory, Leverage, Hot and Cold Market, Market to Book Ratio

Kata Kunci : Market Timing Theory, Leverage, Hot dan Cold Market, Market to Book Ratio