Kusucahyo, Bintang and Drs. jwan Triuwono, Ak.,M.Ec.,Ph.D and Dr.Mjapfy Susanto, SE.,SU (2001) Analisa Risiko Sistematis Rada Bank Umum (Studi Terhadap Saham Perbankan Di Indonesia). Magister thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk menguji apakah risiko sistematis (P) yang terdiri dari risiko pasar (R Market), risiko suku bunga ( R Rate) dan risiko nilai tukar mata uang asing (R Kurs) berpengaruh terhadap return saham perbankan nasional dan apakah adanya kejadian (event ) mundumya Presiden Soeharto mempengaruhi analisa risiko sistematis (P) terhadap return saham perbankan nasional. Sampel yang digunakan adalah 32 saham perbankan nasional yang tercatat pada Bursa Efek Jakarta (BEJ) perioda Juli 1992 sampai dengan 31 Desember 1998. Model data yang digunakan adalah Multy Index Model serta digunakan variabel dummy untuk membedakan data sebelum mundur dan setelah mundur Presiden Soeharto. Risiko pasar (R Market) menggunakan proxy Indeks Harga Saham Gabungan, risiko suku bunga (R Rate) menggunakan data suku bunga deposito 1 bulan dan risiko nilai tukar mata uang asing (R Kurs) menggunakan kurs $ . Sedangkan untuk menguji apakah risiko sistematis (P) yang terdiri dari risiko pasar (R Market) , risiko suku bunga (R Rate) dan risiko nilai tukar mata uang asing (R Kurs) berpengaruh terhadap return saham perbankan nasional digunakan regresi berganda (Multiple Regresion). Pengujian dengan regresi berganda dilakukan terhadap 4 kondisi yaitu , 1) Data 32 saham bank tanpa memperhatikan variabel dummy, 2) Data seluruh saham bank sebelum mundumya Presiden Soeharto, 3) Data seluruh saham bank setelah mundumya Presiden Soeharto dan 4) Data 32 saham bank dengan memperhatikan variabel dummy Hasil penelitian menunjukkan bahwa risiko sistematis (P) yang terdiri dari risiko pasar (R market), risiko suku bunga (R rate) dan risiko nilai tukar mata uang asing (R kurs) berpengaruh secara signifikan terhadap return saham perbankan nasional, selain itu adanya kejadian (event ) mundumya Presiden Soeharto mempengaruhi analisa risiko ini, baik koefisien regresinya (arah) maupun variabel yang paling dominan. Koefisien regresi maupun variabel yang paling dominan berbeda pada saat sebelum dan sesudah kejadian, saham bank sebelum mundumya Presiden Soeharto yang paling paling dominan dan signifikan adalah variabel risiko suku bunga (R rate) pada a 5%. Data saham setelah mundumya Presiden Soeharto menunjukkan variabel risiko pasar (R market) paling dominan dan signifikan pada a 1% Ditemukan bahwa estimasi risiko pasar (R Market), risiko suku bunga (R Rate) dan risiko nilai tukar mata uang asing (R Kurs) terhadap return saham perbankan nasional tidak stabil, ditemukan adanya kecenderungan koefisien regresi (arah) yang searah, dimana variabel risiko pasar (R Market) mempunyai koefisien regresi (arah) positif (+) serta signifikan kecuali pada saat menggunakan data saham bank sebelum mundur viimempunyai koefisien regresi (arah) negatif (-) namun tidak signifikan. Risiko suku bunga (R Rate) mempunyai koefisien regresi (arah) negatif (-) dan signifikan kecuali pada saat menggunakan data 32 saham bank dengan variabel dummy mempunyai koefisien regresi (arah) positif (+) namun tidak signifikan. Variabel risiko nilai tukar mata uang asing (R Kurs) semuanya tidak signifikan pada 4 kondisi dan mempunyai koefisien regresi (arah) negatif (-) kecuali pada saat menggunakan data 32 saham bank dengan variabel dummy mempunyai koefisien regresi (arah) yang positif (+).
English Abstract
The research is aimed to analyze whether the systematic risks (P) which consist of the market risk, the interest rate risk and the foreign currency exchange rate risk do have an impact in the return of the national public banking stocks. Further more, it also wants to seek out the relevance of the downfall of Soeharto which might have a certain influence on the analysis of systematic risk (P) concerning the return of the national public banking stocks. Sampling devices used in this particular research are taken from 32 stocks of national public banking which were listed on the Jakarta Stocks Exchange from July 1992 up to 31 December 1998. Sample used are taken from the Multy Index Model influenced by dummy variable to differ the pre and post data by taking the down fall of Soeharto as a bordering line. Market risk are used in granted in form the variable of the composite index proxy, while the interest rate risks are also used in the form of deposit interest rate for a month period. The last of the risk concerned, the foreign currency exchange rate risks are used by taking the US S as the variable. In order to seek out whether the 3 components of systematic risks given above do have an influence in the return of the national public banking stokes, the research used Multiple Regression, which were conducted by using the data under four conditions as follows : 1. Data of the 32 particular national public banking stocks without taking dummy variable as a concerning variable. 2. Data of the national public banking stocks in whole before the downfall of Soeharto. 3. Data of the national public banking stocks in whole after the downfall of Soeharto and 4. Data of the 32 particular national public banking stocks by taking the dummy variable in granted The result show that the systematic risks do have a significant impact on the return of the national public banking stocks. Further more, the result also show that the particular event, here in the down fall of Soeharto, does have an influence on the analytical research of the systematic risks done in two of the most important factors which are the coefficient (trend of regression) and the dominant variable in time. Both the coefficient and the dominant variable were different at the time period of before and after the Soeharto’s downfall. It is shown by the data that the most dominating and significant factor on the national banking stocks before the event is the interest rate variable on the stage of a = 5%. Which is then contrasted by the most dominating and significant factor after the event, the market risk on the ixstage of a = 1% It is found also that the estimations of the influence of the 3 items, market risk, interest rate risk and the foreign currency exchange rate risk on the return of the national public banking stocks are not stable. However, there is a tendency to have the same trends of regression coefficient trends. It could be seen when the market risk has a significant positive (+) attitude towards the trend, except on a certain condition shown by the data before the event , where it has a weak negative (-) attitude towards the trend. Other than that, the interest rate risk has a significant negative (-) trends in general, except while using the data of the particular 32 stocks with the effect of the dummy variable, where it shows a weak positive (+) attitude. On the other hand, the variable of the foreign currency exchange rate here in this case do not show any dominating influence under those four conditions.Those variable all show a negative trends, except on a certain condition where the sample is taken under the influence of the dummy variable when the trends of the foreign currency exchange risks do show an upward positive (+) trends.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | 040102 |
| Divisions: | S2/S3 > Magister Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 02 Aug 2024 02:19 |
| Last Modified: | 02 Aug 2024 02:19 |
| URI: | http://repository.ub.ac.id/id/eprint/226442 |
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