Maulina, Vinus (2011) Informasi Asimetri dan Periode Menahan Kepemilikan Saham LQ 45 di Bursa Efek Indonesia. Doctor thesis, Universitas Brawijaya.
Abstract
Keputusan jual dan beli saham sekaligus menahan dan melepas kepemilikan suatu financial asset merupakan keputusan yang strategis bagi investor karena terkait dengan peluang return yang diperoleh. Krisis global memberikan dampak yang cukup besar pada Bursa Efek Indonesia sekaligus mengubah perilaku investor yang ada didalamnya. Fundamental bursa yang dinilai rapuh merupakan ancaman instabilitas dan mencerminkan kondisi ketidakpastian. Penelitian ini bertujuan untuk menganalisis dan menjelaskan secara empiris pengaruh variance return , volume perdagangan, harga saham dan return saham terhadap bid-ask spread yang merupakan ukuran biaya informasi asimetri, sekaligus pengaruh variance return, nilai pasar , bid-ask spread dan dividend pay out terhadap holding periods saham biasa di Bursa Efek Indonesia serta variabel yang dominan mempengaruhinya. Temuan penelitian ini semakin menguatkan dugaan bahwa investor di Bursa Efek Indonesia dalam melakukan investasi lebih berorentasi pada investasi jangka pendek dengan mengharapkan capital gain dibandingkan deviden. Rata-rata investor menahan kepemilikan saham biasa di Bursa Efek Indonesia selama 2 tahun. Selain itu, Strategi investasi yang tepat, guna mengoptimalkan keuntungan adalah `strategi berpindah`, yaitu dengan mengikuti gerakan pasar secara seksama setiap saat, memanfaatkan informasi teknikal pada saham-saham aktif dengan berpindah dari saham yang diprediksi harganya akan turun ke saham yang diprediksi harganya akan naik. Selain itu juga didapatkan bukti bahwa investor di pasar modal Indonesia dalam melakukan investasi lebih bersifat irrasional, analisis investor semakin teknikal dan kurang memperhatikan faktor-faktor fundamental. Keputusan beli dan jual yang dilakukan oleh investor atas saham biasa, lebih didasarkan pada aktivitas perdagangan suatu saham yang merupakan ukuran dari besar/kecilnya informasi asimetri.
English Abstract
The decision of buying and selling shares and also keeping and removing ownership of shares of financial asset is strategic decision for the investors since it is related with the gained return chance. Global crisis gives quite big impact to the Indonesian Stock Exchange and also changes the investor behavior as well. Fundamental exchange which is considered fragile becomes instability threat and reflects uncertain condition. This research aims to analyze and explain empirically the impact of variance return, trading volume, stock prices and return shares toward bid-ask spread which is the measurement of a symmetrical information cost, also the impact of variance return, market value, bid-ask spread and dividend pay out towards common shares holding periods in Indonesia Stock Exchange and some dominant variable that affect them. The findings of this research strengthen the presumption that in conducting the investment, investors in Indonesian Stock Exchange is more oriented to short term investment by expecting more on common shares than dividend. Most investors keep their ownership in common shares in Indonesian Stock Exchange for two years. Besides, the efficient investment strategy which optimizes profit is `switching strategy`, following the market movement every time exactly, using technical information to active shares by moving from the shares that the price is predicted to decline to the increased ones. Moreover, the researcher also got the evidence that the investors in Indonesian capital market conduct their investment irrationally, investor`s analysis is getting technical and gives less attention to the fundamental factors. The decision of selling and buying which is conducted by the investors on common shares is based on the trading activity, that is actually a measurement of the scale of asymmetry information.
| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DES/332.632 2/MAU/i/061204265 |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.6 Investment |
| Divisions: | S2/S3 > Doktor Kimia, Fakultas MIPA |
| Depositing User: | Endro Setyobudi |
| Date Deposited: | 26 Aug 2013 10:44 |
| Last Modified: | 26 Aug 2013 10:44 |
| URI: | http://repository.ub.ac.id/id/eprint/160749 |
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