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All Journal JURNAL BISNIS STRATEGI Jurnal Studi Manajemen Organisasi Diponegoro Journal of Management JEJAK DIJB (Diponegoro International Journal of Business) Jurnal Pasar Modal dan Bisnis
Erman Denny Arfianto
Faculty Of Economic And Business, Diponegoro University,
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice

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Journal : Diponegoro Journal of Management

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THE SIMULTANEITY BETWEEN TRADING VOLUME AND ORDER IMBALANCE (Case Studies of LQ 45) Kusumastuti, Nurita; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The purpose of this research is to analyze the simultaneity between trading volume and order imbalance, the influence of past performance, market risk, market capitalization, tick size totrading volume and the influence of tick size, depth and bid-ask spread to order imbalance of companies were listed on LQ 45 index. Sample in this research were selected by using purposive sampling method with some selected criterias. 55 companies listed on 2014’s LQ 45 index were chosen as sample. The results showed that trading volume is simultaneously related to order imbalance; past performance, market risk and market capitalization have a positive and significant effect to trading volume, tick size has a negative and significant effect to trading volume, order imbalance has a negative and not significant effect to trading volume; tick size, depth, bid-ask spread, and trading volume have no significant effect to order imbalance.
Disposition effect pada Glamour Stocks Aplikasi Metode Vector Autoregression Sutanto, Ervina; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 4, Nomor 2, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

This study aimed to see whether there is disposition effect in glamor stocks in the Indonesian market or not , in the period 2010 - 2012. Disposition effect is deviant behavior of investors to hold losses too long and realize profits too fast . Approaches to see the disposition effect is to look at the relationship between the variables of trading volume, volatility and returns.This study used a method Vector autoregression( VAR ). The data used in this study are the data of trading volume, volatility and weekly stock returns. The sample used was 10 glamor stocks the period January 2010 - December 2012. The VAR analysis using four methods to answer the research questions, namely the analysis of the VAR, Impulse Response Function ( IRF ), Variance Decomposition and Granger Causality Test.From the test results using the VAR analysis, showed that there was no disposition effect in glamor stocks on the Indonesia Stock Exchange. Based testing can be concluded that investors behave rationally in making investment decisions. The conclusions are based on test results that have been done. Results of Impulse Response Function ( IRF ) shows the response of a variable to another variable shock. Variance Decomposition results showed a variable response to the movement of his past variables. Furthermore causality test results indicate that there is no pattern of causality between variables.
EVALUASI RETURN DAN RISK ADJUSTED PERFORMANCE PORTOFOLIO VALUE VERSUS GLAMOUR PADA PASAR MODAL INDONESIA Reza Pahlevi, Novan; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 4, Nomor 2, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Further studies have consistently found problems with efficient market hypothesis by Fama. Underpriced stocks based on some form(s) of fundamental analysis can produce abnormal return in the major capital market in the world. This phenomenon called market anomalies. This research aim to determine whether value portfolio outperform glamour portfolio and to evaluate risk-adjusted performance between value and glamour stocks. Sample of this study used companies listed on LQ 45 during 2009-2013 periode. The portofolio formation based on consistent earner strategy (Elze, 2010) which is combination between PER & ROE and DY & ROE. After portfolio formation on 0MO, 3M0, 6MO, and 12MO, ANOVA test will be performed to determine the difference in returns and risk-adjusted performance for each portfolio formation. The results on this study found that there is no difference return and risk-adjusted performance between value and glamour portofolio during 2009-2013 at Indonesia Stocks Exchange.
ANALISIS PENGARUH DISTRESS RISK, SIZE, BOOK TO MARKET, DAN MOMENTUM TERHADAP RETURN SAHAM (Studi pada Perusahaan Sektor Industri Dasar dan Industri Barang Konsumsi periode 2009-2014) Pramusinta, Winda Safitri; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 5, Nomor 1, Tahun 2016
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

This research aims to analyze the influence of distress risk, size, book to market, and momentum toward stock return and to know the O-score prediction model in stock return of basic industry sector and consumer goods industry sector in Indonesia. Case study on basic industry sector and consumer goods industry sector in Indonesia Stock Exchange in period 2009-2014.Research population used is  basic industry sector and consumer goods industry sector in Indonesia in period 2009-2014. Taken samples of the all-purpose 32 firms by using porposive sampling method. The data used in this study were obtained from the Indonesia Capital Market Directory (ICMD), Yahoo Finance, Bloomberg, and www.idx.com 2009-2014. Analysis technique used is Ordinary Least Square (OLS) Regression, statistical t-test and classic assumption test that includes a test of normality test, multicollinearity test, heteroskedastisitas test, autocorrelation test.The result shows in bacis industry sector that distress risk and size has positive effect but not significant with stock return, book to market has negative effect but not significant with stock return, and momentum has positive effect and significant with stock return. The result of regression estimation show the ability of model prediction is 17.7% while the remaining 82.3% influenced by other factors outside the model.Moreover, in consumer goods industry sector shows that distress risk and size has positive effect but not significant with stock return, book to market has negative effect but not significant with stock return, and momentum has positiveeffect and significant with stock return. The result of regression estimation show the ability of model prediction is 17.7% while the remaining 82.3% influenced by other factors outside the model.Chow test indicated that there was no any difference on regression model between basic industry sector and consumer goods industry sector  in Indonesia in period 2009-2014. The chow test shows that F value was lower than F table, that was 1.341189 > 10.127.
ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI NON PERFORMING LOANS (NPL) DI INDONESIA (Studi Pada Bank Umum Konvensional Yang Terdaftar Di Bank Indonesia Tahun 2011-2014) Mada, Romo Putra; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Loan is the main source of income of a Conventional Commercial Bank, thus, Commercial Bank is vulnerable to a Non-Performing Loan. Given the global crisis in 1997, many banks were liquidated because of a high Non-Performing Loan in this sector. Although the bank's management has made efforts to prevent, but Non-Performing Loan still occur.               This study aimed to examine the effect of Size, loan to deposit ratio, Capital Adequacy Ratio, Operating cost to Operating revenues ratio and Interest Rate of Loans to the Non-Performing Loan. Samples which is used in this study is the Conventional Commercial Bank registered in Bank of Indonesia for the 2011-2014 period. To obtain a valid study results, the sampling technique used in this research is purposive sampling method . A sample of 27 banks was acquired. Analysis method applied in this research is the normality test, autocorrelation test, Test of multicoloniarity, Heteroskidastity Test, Test of Coefficient of Determination R2, Test of Statistic F, Test of Statistic t, and Multiple Linear Regression Analysis.            Based on the results of the partial testing carried out, Operating cost to Operating revenues ratio and Interest Rate of Credit have a positive influence on the Non-Performing Loan. While the loan to deposit ratio, size and Capital Adequacy Ratio have a negative influence on the Non-Performing Loan. Based on the test results of the coefficient of determination R2, variable Size, loan to deposit ratio, Capital Adequacy Ratio, Operating cost to Operating revenues ratio and interest rate of 43.5% loans have effect against non-performing loans. While the rest as much as 56.5% influenced by factors other than variabel of research.
ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PROFITABILITAS PERBANKAN (Studi Pada Bank Umum Go Public yang Listed di Bursa Efek Indonesia Tahun 2011-2013) Adriel Antonia, Steven; Denny Arfianto, Erman
Diponegoro Journal of Management Volume 4, Nomor 2, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Bank is a financial institution that aims to make a profit. The profits derived from the management of public funds. Return on Assets (ROA) is one way of measuring the level of the bank's ability to earn a profit. The purpose of this study was to test the return on assets (ROA) which influenced the Capital Adequacy Ratio (CAR), Non Performing Loan (NPL), Net Interest Margin (NIM), the Loan to Deposit Ratio (LDR), and ROA at commercial banks registered The Indonesia Stock Exchange during 2011-2013.For sampling used purposive sampling method. Data obtained by the publication of the Annual Bank, obtained the number of samples 20 commercial banks to go public. This study used a sample of commercial banks is consistently listed in the Indonesia Stock Exchange during the period 2011-2013. The analysis technique used is multiple linear regression analysis.The results of this study found that the net interest margin (NIM) and ROA has a positive and significant impact on the return on assets (ROA), Capital Adequacy Ratio (CAR) and the loan to deposit ratio (LDR) had no significant positive effect on return on assets (ROA), Non Performing Loan (NPL) has no significant negative effect on the return on assets (ROA).
ANALISIS PENGARUH BID-ASK SPREAD, TURNOVER, VOLATILITAS TERHADAP DISPOSITION EFFECT PADA PASAR MODAL INDONESIA (Studi Kasus pada Saham LQ45 Periode Januari 2010 – Juni 2015) Sembiring, Vijai; Arfinto, Erman Denny
Diponegoro Journal of Management Volume 5, Nomor 4, Tahun 2016
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Disposition effect is the tendency of investor to sell their winning investment too soon  and hold losing investment too long. Identifying the causes of disposition effect is important to determine whether the disposition effect make the market inefficient. This study aims to analyze the effect of bid-ask spread, turnover, volatility, market return, firm size, and book to market ratio of the disposition effect. The population in this study is a company listed in Indeks LQ45 the Indonesia Stock Exchange during January 2010 – June 2015. Total of samples to be taken is 44 companies. The analytical method used is multiple linier regression.            The research model used in this study had escaped from four test, test normality assumption, namely classic multikolinearitas, autokorelasi, and heteroskedastisitas. All independent variable that exist in the test in the dependent variable to simultan. Independent variable in this research describes a number of 20,7% of the dependent variable explained  by 79,3% while the other factors.            The results of this study showed  that the bid-ask spread, volatility, market return, firm size significantly effect on disposition effect. Whereas turnover and book to market have no significant effect on disposition effect.
ANALISIS PENGARUH VARIABEL LEADING ECONOMIC INDICATOR (LEI) DAN COINCIDENT ECONOMIC INDICATOR (CEI) TERHADAP RETURN SAHAM JAKARTA ISLAMIC INDEX (JII) (Studi Pada Saham Jakarta Islamic Index (JII) Periode Bulan Januari Tahun 2004 Sampai Bulan Desember Tahu Rahman, Mochamad Husin; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 5, Nomor 1, Tahun 2016
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The effect of systematic risk that came from macroeconomic variables can not be eliminated in Sharia Capital Market. Therefore, investor must consider the macroeconomic variables to invest in Sharia Capital Market. The purpose of this study is to analyze the effect of Leading Economic Indicator (LEI) and Coincident Economic Indicator (CEI) variables on Jakarta Islamic Index (JII) Stock Return. LEI variables includes Export, Exchange Rate, Consumer Price Index, Industrial Production Index and Arrival Number of Foreign Tourist meanwhile CEI variables includes Retail Sales and Money Supply.            The sample used in this study is a secondary data of Jakarta Islamic Index (JII) Stock closing price, Export, Exchange Rate, Consumer Price Index, Industrial Production Index, Arrival Number of Foreign Tourist, Retail Sales and Money Supply on Januari 2004-Desember 2014 period. This study uses Multiple Linier Regression Analysis as the analysis method.             The result of this study indicate that the Leading Economic Indicator (LEI) and Coincident Economic Indiacator (CEI) variables simultaneously affect the Jakarta Islamic Index Stock Return. Then the partial testing shows the Exchange Rate has a negative and significant effect on Jakarta Islamic Index Stock Return. Meanwhile Arrival Number of Foreign Tourist and Consumer Price Index variables have a positive and significant effect on Jakarta Islamic Index Stock Return.
ANALISIS PENGARUH GOOD CORPORATE GOVERNANCE (GCG), PRINSIP PEMBIAYAAN, DAN TUJUAN PENGGUNAAN PEMBIAYAAN TERHADAP PEMBIAYAAN BERMASALAH PERBANKAN SYARIAH DI INDONESIA Hidayat, Dicky Permana; Arfinto, Erman Denny
Diponegoro Journal of Management Volume 6, Nomor 4, Tahun 2017
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The largest asset in sharia banking is financing, along with the rapid development of sharia banking, management is required to maximize their assets to increase their profits. Therefore, sufficient knowledge and understanding of financing risks in sharia banking must be owned. This study aims to analyze the influence of Good Corporate Governance (GCG), Financing Principles, and Financing Usage on Non Performing Financing (NPF) of Sharia Banking. The sample used in this research is secondary data from non performing financing (NPF), composite value of corporate governance, Financing Principles (assets based financing and debt based financing), and Financing Usage (working capital financing, investment financing, and consumption financing) for the period 2011-2015. This study uses Multiple Linear Regression Method as the method of analysis. The results of this study indicate that GCG, financing Principles, and Financing Usage affected the level of non performing financing on Islamic Banking in Indonesia. Then the partial test shows debt based financing, investment financing, and consumption financing have a significant positive effect on the level of non performing financing on Islamic Banking in Indonesia.
ANALISIS INVESTOR HERDING BEHAVIOR DENGAN MULTINOMIAL LOGIT REGRESSION PADA BEI (Studi Kasus pada Saham LQ-45 Periode 2009-2014) Fityani, Izza; Arfianto, Erman Denny
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Herding Behavior is the tendency of institutional or individual investors to behave similar.  This behavior is irrational because investors do not depend  their investment decisions on information available but follow the crowd. Distinguishing the causes of herding behavior is crucial for discovering whether herding leads to market inefficiency and financial bubbles. Herding may destabilize stock prices and thus impair the proper functioning of financial market. This study is analyzing the effect of size, trading volume activity, return and volatility to herding behavior in 2009 to 2014 period. Herding behavior will be measured based on the types of investors in Indonesian capital market. Then analysis of the effect of size, trading volume activity, return and volatility to herding behavior will be conducted using multinomial logistic regression method. The result of this study shows that size gives positive effect to all types of investors in herding behavior. TVA gives positif effect on four types of investors while eight other types investors have negatife effects for herding behavior. Return does not give  effect to all types of investors while volatility give positive effect on all types investor except domestic investors institution and  foreign institution investor for herding behavior. Size and volatility have the most impact for investor in herding.
Co-Authors Ade Sumartini Adhitya Dasha Syafrizaliadhi, Adhitya Dasha Aisyah Oktasari Dian Pertiwi, Aisyah Oktasari Alda Aspasia, Donna Bella Antin Azizah Ali, Antin Arsya, Riz Zaidan Febriano Asih Primayanti, Asih Axel Giovanni Bintang Bramantya, Bintang Danes Quirira Octavio Dewi, Katri Septiana Diajeng Sarsa Putranto Diani, Amadea Arum Dini Zahra Afiffah, Dini Zahra Ervina Sutanto, Ervina Hannina Adlina, Hannina Hidayat, Dicky Permana I Made Bayu Dirgantara Ivan Irawan Izza Fityani, Izza Januardi, Nana Varian Jayendati, Rabita Asri Kartiko Aji, Hapsoro Kusuma, Carissa Lumbanradja, Ramos Luthfi Hartanto, Luthfi Maharani, Ema Maretha Eka Fitriana, Maretha Eka Medikatama Hestiyani, Medikatama Mirwan Surya Perdhana Mochamad Husin Rahman, Mochamad Husin Mochamad Yusuf Efendi, Mochamad Yusuf Nadia Damayanti Nicolaus Gerry Christiawan Nicolaus Gerry Christiawan Novan Reza Pahlevi, Novan Nur Syahid, Nur Nurita Kusumastuti, Nurita Rajendra Wishnu Tristantyo, Rajendra Wishnu Rifky Prasetyo, Rifky Rifqi, Ammar Rizal Hari Magnadi Rizqiyana, Amaliya Romo Putra Mada, Romo Putra Sembiring, Vijai Steven Adriel Antonia, Steven Tri Endrawati, Melati Wahyu Ulfah, Firda Huwaida Winda Safitri Pramusinta, Winda Safitri Yektiningsih, Novie Zulfikar, Reno