A Study on the fundamentals and stock returns in the South East Asian emerging equity markets

ROZAK, Bunyamin Abdul, Prof.Dr. Zaki Baridwan, MSc

2002 | Tesis | Magister Manajemen

Rata-rata perolehan saham, BVMV, DP dan ukuran perusahaan meningkat dengan meningkatnya E/P portofolio di Indonesia, tetapi perolehan tidak menunjukkan pola kecenderungan di Malaysia dan Thailand. Ukuran perusahaan semakin kecil dengan meningkatnya EP portfolio. EP significant dengan nilai positive di Indonesia, dan negative di Malaysia. EP tidak significant di Thailand. Rata-rata perolehan saham, EP, dan DP meningkat dengan meningkatnya BVMV di Indonesia. Perolehan tidak menunjukkan pola kecenderungan di Malaysia dan ,Thailand. ukuran perusahaan semakin kecil dengan meningkatnya BV/MV. BVMV signzfcant dengan nilai positive di Indonesia, dan negative di Malaysia. B V W tidak signiJcunt di Thailand. Rata-rata perolehan saham, BV/MV dan DP meningkat dengan meningkatnya D/P portfolio di Indonesia. Ukuran perusahaan semakin kecil dengan meningkatnya DP. Perolehan tidak menunjukkan pola kecenderungan di Malaysia dan Thailand. D/P signijkant dengan nilai positive di Indonesia, tetapi tidak signzjicunt di Malaysia dan Thailand. Rata-rata perolehan saham, BV/MV, EP dan DP mempunyai hubungan negative dengan ukuran perusahaan di Indonesia. Perolehan tidak menunjukkan pola kecenderungan di Malaysia dan Thailand. W a n perusahaan signzjicant dengan nilai negative di Indonesia dan positive di Thailand. Ukuran perusahaan tidak significant di Malaysia. Kata Kunci: Variable Fundamental, Fama-MacBeth, Beda Nyata

Average Returns, BVMV, D/P ratio and size becomes larger as E/P portfolios increase in Indonesia, however Average Return does not display any regularity across different EP portfolios in h4alaysia and Thailand. Size becomes smaller as E/P portfolio increases. EP has statistical significant coefficients with positive values in Indonesia, and negative values in Malaysia. E/P failed to attain statistical significant in Thailand. Average returns, EP, and D/P ratio getting larger steadily with increasing B V W in Indonesia. Average Return does not display any regularity across different , B V W portfolios in Malaysia and Thailand. Size gets smaller with higher BV/MV. B V W has significant coefficients with positive values in Indonesia, and negative values in Malaysia. B V W ratio failed to 'attain statistical significant in Thailand. Average Returns, BV/MV and E/P ratio becomes larger as D/P portfolios increase in Indonesia. Size becomes smaller as D/P portfolio increases. Average Retum does not display any regularity across different D/P portfolios in Malaysia and Thailand. DP has significant coefficients with positive values in Indonesia; however, D/P failed to attain statistical significant in Malaysia and Thailand. Average returns, BV/MV, E/P and DP ratio are negatively related with size in Indonesia. Average Retum does not display any regularity across different size portfolios in Malaysia and Thailand. Size has significant coefficients with negative values in Indonesia and positive values in Thailand. Size failed to attain statistical significant in Malaysia.

Kata Kunci : Return Saham,E/P Portfolio, Fundamental Variables, Fama-MacBeth Regression, Significant