Analisis Hubungan Antara Kemampuan Timing Decision Investor Reksadana Dengan Persistensi Kinerja Reksadana Indonesia

RINA WIRASANTI, I Wayan Nuka Lantara, S.E., M.Si., Ph.D.

2014 | Skripsi | S1 MANAJEMEN

Penelitian ini bertujuan untuk menganalisis hubungan antara kemampuan timing decision investor reksadana saham dengan persistensi kinerja masa lalu reksadana saham di Indonesia. Peneliti ingin mengetahui apakah investor reksadana saham di Indonesia sensitif terhadap informasi mengenai persistensi kinerja masa lalu reksadana dalam pengambilan keputusan investasi, dan apakah hal tersebut membawa pengaruh bagi return yang didapatkan. Penelitian ini menguji persistensi kinerja reksadana dan timing ability dari 40 reksadana saham domestik pada periode 2008-2012. Penelitian ini menggunakan metode performance gap dalam mengukur timing ability investor reksadana saham, yaitu mengukur perbandingan antara dollar-weighted average return dengan geometric average return. Hasil empiris menunjukkan bahwa terdapat persistensi kinerja pada reksadana saham dalam jangka pendek, serta secara signifikan menunjukkan bahwa investor cenderung menerapkan timing ability yang baik (buruk) pada reksadana yang memiliki persistensi kinerja baik (buruk). Hasil penelitian juga menunjukkan bahwa fund age memiliki pengaruh negatif dan signifikan terhadap timing ability investor reksadana. Fund performance menunjukkan pengaruh yang positif dan signifikan terhdapa timing ability investor reksadana saham di Indonesia.

The purpose of this study is to examines the influence of mutual funds performance persistence on investors' timing decision in Indonesia. This study also analyze the sensitivity of this decision to information regarding the past funds performance, and weather it makes an impact on their investment return. This study examines funds performance persistence and investors' timing ability of 40 domestic equity funds in Indonesia between 2008 and 2012. A performance gap measuring the difference between dollar-weighted average return and geometric average return is used to evaluate investors' timing ability. The empirical result show that performance persistence is exist in Indonesian domestic mutual funds in short-term period, and it also significantly shows that investors tend to make good (poor) timing decision on funds that have persistently performed well (poorly). The result also show that fund age are significantly and negatively related to investors' timing ability, and fund performance are significantly and positively related to investors' timing ability in Indonesia.

Kata Kunci : Investor, Reksadana Saham, Persistensi Kinerja, Timing Ability, Performance Gap, Indeks Sharpe.