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All Journal Jurnal Siasat Bisnis Jurnal Manajemen Teknologi Business and Management Review Jurnal Keuangan dan Perbankan Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Jurnal Bisnis dan Manajemen Jurnal Manajemen Indonesia JAF- Journal of Accounting and Finance Devotion: Journal of Research and Community Service International Journal of Multidisciplinary: Applied Business and Education Research Action Research Literate (ARL) Indonesian Journal of Multidisciplinary Science Journal of Social Research Research of Economics and Business Research of Finance and Banking

Riko Hendrawan

Telkom University

Author-ID : 279435

Religion Humanities Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Medicine & Pharmacology Public Health Social Sciences

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Can The IDX Be Hegded ? : Comparison of Black Scholes Option Model And Garch Option Model Using Long Strangle Strategy Riko Hendrawan; Gede Teguh Laksana; Wiwin Aminah
Jurnal Manajemen Indonesia Vol 20 No 3 (2020): Jurnal Manajemen Indonesia
Publisher : Fakultas Ekonomi dan Bisnis, Telkom University.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25124/jmi.v20i3.3521

The purpose of this research was to compare the accuracy of the Black Scholes option model and the GARCH option model on index options using IDX Composite (IHSG) data from 2009-2018 with the long strangle strategy. The Black Scholes volatility constructed by using historical volatility, while GARCH volatility constructed by using the ARIMA model and the best lag. The accuracy of options analyzed using the average percentage mean square error (AMSE) to find the best model. The results of this study showed that for the one month option, the GARCH model is more accurate for a call option with 0.26%, while the Black Scholes model is more accurate for a put option with 0.18%. For the two month option, the GARCH model is more accurate for a call option with 0.92%, while the Black Scholes model is more accurate for a put option with 0.26%. For the three month option, the Black Scholes model is more accurate for a call option and put option with 2.00% and 0.31%, respectively. The results of this study further sharpen the research conducted by Bhat and Arekar (2016)and Hendrawan(2010) Keywords : Black Scholes Options Model; GARCH Option Model; Long Strangle; ,Index Option.,

PENGARUH INDEKS HARGA SAHAM GABUNGAN, FAKTOR EKONOMI MAKRO DAN INDEKS DOW JONES INDUSTRIAL AVERAGE TERHADAP INDEKS HARGA SAHAM LQ 45 PERIODE 2008-2012 DALAM KEPUTUSAN INVESTASI Enggar Pratiwi; Riko Hendrawan
Jurnal Manajemen Indonesia Vol 14 No 1 (2014)
Publisher : Fakultas Ekonomi dan Bisnis, Telkom University.

Penelitian ini menjelaskan pengaruh indeks harga saham gabungan, faktor ekonomi makro dan indeks Dow Jones Industrial Average terhadap indeks harga saham LQ 45 periode 2008-2012 dalam keputusan investasi. Metode analisis yang digunakan adalah regresi linier berganda dengan menggunakan data sekunder. Teknik pengambilan sampel purposive sampling dengan pengujian hipotesis secara parsial dan simultan yang sebelumnya dilakukan uji asumsi klasik. Hasil penelitian ini menunjukkan secara simultan, koefisien IHSG, BI rate, jumlah uang beredar dan indeks Dow Jones Industrial Average secara bersama-sama berpengaruh terhadap indeks harga saham LQ-45.

ANALISIS PERBANDINGAN KINERJA VALUE AT RISK BERBASIS ARCH, GARCH, DAN EGARCH SEBELUM, SAAT, DAN SETELAH KRISIS GLOBAL TAHUN 2008 PADA JKSE, KLSE, STI, PSEI, HIS, KOSPI, SSE DAN N225 Riko Hendrawan; Pebri Yanida
Jurnal Manajemen Indonesia Vol 14 No 1 (2014)
Publisher : Fakultas Ekonomi dan Bisnis, Telkom University.

Relatif tidak stabilnya kondisi ekonomi global dikarenakan krisis global tahun 2008 membuat para investor cenderung lebih berhati-hati dalam memilih sektor saham untuk dapat menghindari risiko yang terjadi. Untuk dapat meminimalkan terjadinya risiko tersebut, investor dapat melakukan pengukuran risiko, salah satunya adalah dengan metode Value at Risk (VaR). Investor dapat menggunakan nilai VaR sebagai salah satu tolak ukur untuk dapat menetapkan seberapa besar target risiko di masa yang akan datang. Perhitungan VaR dalam penelitian ini berbasis model ARCH, GARCH, dan EGARCH, tujuannya untuk membandingkan kinerja ketiga model tersebut untuk memilih model mana yang paling efektif diterapkan pada kondisi pasar normal maupun saat krisis. Untuk menguji validitas dari model VaR ini, dilakukan sebuah uji yang dinamakan uji backtesting dengan menggunakan metode Kupiec dengan cara membandingkan actual return dengan VaR harian. Penelitian ini bertujuan untuk mengetahui tingkat efektifitas Model Value at Risk dengan Metode Kupiec pada JKSE, KLSE, PSEI, HSI, KOPSI, SSE, dan N225. Jenis penelitian yang digunakan pada penelitian ini adalah deskriptif komparatif. Pengambilan sampel penelitian dilakukan dengan metode nonprobability sampling jenis purposive sampling. Hasil penelitian ini menyatakan pengujian Value at Risk dengan tingkat kepercayaan 99% dan 95% untuk periode tahun 2005 sampai dengan tahun 2012 tidak dapat diterima (ditolak) untuk seluruh indeks saham yang diteliti, menggunakan model ARCH dan GARCH dan dapat diterima sebagian untuk model EGARCH

Valuation Analysis Using Fcff And Rv Of Oil And Gas Sub-Sector Companies On Idx 2016-2020 Muhammad Chalil Gilbran; Riko Hendrawan
JAF (Journal of Accounting and Finance) Vol 6 No 1 (2022): JAF- Journal of Accounting and Finance
Publisher : Telkom University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25124/jaf.v6i1.4035

This research aims at examining the intrinsic value of stocks in the oil and gas sectors in 2021. This research used 2016-2020 data to calculate the historical performance of each company, which was projected from 2021-2025 based on three scenarios: optimistic, moderate, and pessimistic. This research employed estimates of the company’s financial behavior in the last five years. The methods used to assess the intrinsic value of these shares were Discounted Cash Flow (DCF) and Relative Valuation (RV). From the results of the research using the DCF method, the following results were obtained: MEDC and ELSA were undervalued in all scenarios, while ESSA was overvalued in all scenarios. With the RV method, the following results were obtained: MEDC, ESSA, and ELSA were undervalued in all scenarios. Overall, MEDC shares were overvalued by -44.7%, ESSA shares were overvalued by 4.6%, ELSA shares were undervalued by -45.6%.

Efficiency analysis of telecommunications companies in Southeast Asia using Stochastic Frontier Analysis (SFA) method Riko Hendrawan; Gayuh T Permana; Kristian WA Nugroho
Jurnal Siasat Bisnis Vol 23, No 2 (2019)
Publisher : Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/jsb.vol23.iss2.art3

This study aims to analyze the efficiency of telecommunications companies and find out the variables of efficiency of telecommunications companies in Southeast Asia in the period of 2008-2017 involving 14 telecommunications operators using the Stochastic Frontier Analysis method. The results of these studies show that the telecommunications companies in Southeast Asia still had room to improve their profit efficiency scores for 0,984 – 0,689 = 0.295. Furthermore, the results show that input variables such as Personal, capex and opex have a positive effect on the value of efficiency which means that each increase in the variable Capex, Opex and Personal Expenses will have an impact in increasing the value of efficiency Whereas the total assets have negative effects on the efficiency value of telecommunications operators. Output variables consisting of revenue, subscribers and ARPU have a significant effect on the value of efficiency. These three output variables in the SFA measurement method have a positive influence on the efficiency of telecommunication operators. Inflation used as an environmental variable in measuring the efficiency of telecommunication operators shows that it does not have a significant impact on the efficiency value of telecommunications operators.This study aims to analyze the efficiency of telecommunications companies and find out the variables of efficiency of telecommunications companies in Southeast Asia in the period of 2008-2017 involving 14 telecommunications operatorsusing the Stochastic Frontier Analysis method. The results of these studies show that the telecommunications companies in Southeast Asia still had room to improve their profit efficiency scores for 0,984 – 0,689 = 0.295. Furthermore, the results show that input variables such as Personal, capex and opex have a positive effect on the value of efficiency which means that each increase in the variable Capex, Opex and Personal Expenses will have an impact in increasing the value of efficiency Whereas the total assets have negative effects on the efficiency value of telecommunications operators.Output variables consisting of revenue, subscribers and ARPU have a significant effect on the value of efficiency. These three output variables in the SFA measurement method have a positive influence on the efficiency of telecommunication operators. Inflation used as an environmental variable in measuring the efficiency of telecommunication operators shows that it does not have a significant impact on the efficiency value of telecommunications operators.

Portfolio selection and performance using active and passive strategies (Assessing SRI-KEHATI index in 2013-2018) Riko Hendrawan; Nurul Rachma Fadhyla; Wiwin Aminah
Jurnal Siasat Bisnis Vol 24, No 2 (2020)
Publisher : Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar

This purpose of this study is to examine the simulation results of optimal stock portfolio establishment with active and passive strategy using Tobin’s Qand PBV ratio approach in Sri Kehati Index. We used data from the annual financial reports in 6years2013-2018, and each period, the portfolio was constructed in six fragments; High Tobin’s Q, Medium Tobin’s Q, Low Tobin’s Q, High PBV, Medium PBV and Low PBV. We used Sharpe, Treynor, and Jensen method to measure the portfolio performance and we adjusted for active and passive portfolio strategy and evaluated in each respective period. Finding from this research shows that on passive strategy, the total average of accumulated return is 78.3576%. The low Tobin’s Q portfolio is followed by low PBV, and high PBV has a return value above the total average and above the IDX Composite. While the total average of the accumulated risks in the passive strategy is 23.4193%. Furthermore based on the results of the performance comparison between return and risks from the portfolio and IDX Composite as a market, in general, both are on passive and active strategies. The results also show that the low Tobin’s Q portfolio is consistently able to provide the highest return value, although the low Tobin’s Q portfolio consistently provides the highest risk both on passive and active strategies; thus, there is a consistently between the results of research and the theory of high-risk, high return. Meanwhile the high PBV portfolio, in general, is consistently able to provide a high return, and risk values are consistently at the lowest level compared to other portfolios. The result shows that it has reached the purpose of establishing a stock portfolio

TEST OF SPEED OF ADJUSTMENT TOWARDS THE CAPITAL STRUCTURE IN INDONESIA TELECOMMUNICATION INDUSTRY Riko Hendrawan; Dwipanca Adi Nugraha
Jurnal Keuangan dan Perbankan Vol 19, No 2 (2015): May 2015
Publisher : University of Merdeka Malang

The purpose of this research was to test whether or not the pecking order theory occurred in telecommunication industry in Indonesia and also in its speed of adjustment. Using the purposive sampling method and taking 7 years period of data collection from 2006 up to 2012, the data were gathered from the companies’ financial statement. The data were analyzed using the random effect model of Hausman test with interest bearing debt as its dependent variable and deficit as its independent variable. Finding from this research showed that pecking order theory was not applied in the telecommunication industry in Indonesia and it was quite different from the finding of Huang Ritter (2009) that publicly traded firms in US adjusted to their target leverage at a moderate speed with a period of 3.9 years. It also discovered that the fastest growth of the speed of adjustment was shown by XL Axiata with -493.96% per year, and then Bakrie Telecom with -65.62%. Indosat and Telkom Indonesia showed a different behavior with a slower speed of adjustment Indosat with 13.22%, and Telkom Indonesia with 274.14% slower.

THE IMPACT OF INFLATION RATES AND US DOLLAR EXCHANGE RATES ON INDONESIAN STOCK MARKET INDEX RETURN VOLATILITY Riko Hendrawan; Rifqi Dzakiri
Jurnal Keuangan dan Perbankan Vol 18, No 1 (2014): January 2014
Publisher : University of Merdeka Malang

This paper studied the impact of inflation rates and US Dollar exchange rates in Indonesian stock market return volatility in the period of 2002-2012. Daily data of stock market return, inflation rates and US Dollar exchange rates were used to estimate the daily volatility of the stock return. The data of stock market price, inflation rates and US Dollar exchange rates were taken from Yahoo Finance, Indonesia statistics bureau and central bank of Indonesia, respectively. The result showed that both inflation rates and US Dollar exchange rates did not have a significant impact on the Indonesian stock market return volatility. Inflation rates contributed 0.03% change in daily stock market return volatility whereas a 1% appreciation of Rupiah contributed to a 0.0000001% change in daily stock market return volatility. This research finding was different from the result in Nigeria where Yaya’s Shittu’s (2010) research had the same variables. Inflation rates and US Dollar exchange rates were to examine the impact on Nigeria stock market index return volatility.

Can the Implementation of Sharia Banks’ Roadmap Increase Their Performance? (Evidence from Indonesia 2012-2017) Riko Hendrawan
Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah Vol 12, No 2 (2020)
Publisher : Faculty of Shariah and Law, UIN Syarif Hidayatullah Jakarta

Abstract. The purpose of this research is to compare the efficiency of 11 Sharia Banks in Indonesia and its impact on their performance. This study relies on the quarterly data from 2012-2017 and applied Data Envelopment Analysis to measure their performance. The result of the T-test shows that the P-value for two tail = 0.706. So based on this trend the P-value is greater than α = 0.05 (P-value> α). In the condition of P-value> α, H1 is rejected, meaning that there is no change in the value of efficiency between the period 2012-2014 and the period 2015-2017. This research shows that the efficiency of Islamic banking has not occurred during the implementation of the 2012-2017 Indonesian Sharia Banking Roadmap. Furthermore, the highest efficiency value during the period before implementation was 0.92 with an average efficiency value of 0.57. This means that during this period there was room to increase efficiency by 0.35. Meanwhile the period after implementing the highest efficiency value was 0.87 with an average efficiency value of 0.59. This means that during this period there was room to increase efficiency by 0.28. This means that during the 2012-2017 period, there was no significant difference in efficiency levels during the 2012-2014 period (before the implementation) and the 2015-2017 period (after the implementation of the Islamic banking road map). Keywords: DEA, Efficiency, Sharia Bank Abstrak. Tujuan dari penelitian ini adalah untuk membandingkan efisiensi dari 11 Bank Syariah di Indonesia dan dampaknya terhadap kinerja bank tersebut. Penelitian ini menggunakan data setiap kuartal selama tahun 2012 hingga tahun 2017 dan menggunakan Data Envelopment Analysis untuk mengukur kinerja. Hasil penelitian ini menunjukan bahwa selama implementasi Roadmap, perbankan syariah belum menunjukan kenaikan efisiensi. Sementara itu, sebelum implementasi tersebut, nilai efisiensi tertinggi perbankan syariah sebesar 0,92, sedangkan rata-rata nilai efisiensinya sebesar 0,57. Ini berarti bahwa ada ruang untuk meningkatkan level efisiensi sebesar 0,35. Sedangkan pada periode implementasi, nilai efisiensi tertingi perbankan syariah sebesar 0,87, dan ratarata nilai efisiensinya sebesar 0,59. Ini berarti ada ruang untuk meningkatkan level efisiensi sebesar 0,28. Hasil penelitian juga menunjukan bahwa, secara keseluruhan periode tahun 2012 hingga tahun 2017, hasil t-test menunjukan nilai P-value for two tail = 0.706. Ini berarti P-value> α, dan menolak H1, sehingga tidak terdapat perbedaan level efisiensi selama periode 2012-2014 (sebelum implementasi) dan periode 2015 – 2017 (setelah implementasi) Kata kunci: DEA, Efisiensi, Bank Syariah

TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018 Riko Hendrawan; Anggadi Sasmito
Jurnal Bisnis Manajemen Vol 22, No 1 (2021): March 2021
Publisher : Fakultas Ekonomi dan Bisnis Universitas Padjadjaran

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24198/jbm.v22i1.487

The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on the LQ45 index using the long straddle strategy. This study uses time-series data as a time frame for conducting research, using a sample of closing price data for the LQ 45 daily index for 2009-2018. For the test the model, we used the secondary data of the closing stock price index from February 28, 2009 to March 31, 2019The results of this study are seen by comparing the average percentage value of Average Mean Squared Error (AMSE) of Black Scholes and GARCH with the application of a long straddle strategy, where the smaller the percentage value, the better the model will be. Within one month of option contract due date, Black Scholes is better than GARCH, with an error value on the call option of 2.77% and the put option of 1.56%. Within two months of option contract due date, GARCH is better than Black Scholes, with an error value on the call option of 8.12% and the put option of 4.00%. Within three months of option contract due date, Black Scholes is better than GARCH, with an error value on the call option of 12.38% and on the put option of 5.50%. The long straddle strategy in the LQ45 index only reached a maximum of 60% of possible profits, with an average of around 30% possible profits.

Co-Authors Adrianov, Bobby Afina, Syadza Akbar, Lily M Al-Farisi, Ade Salman Alimuddin, Almand Fuad Amin, Kokoh Kabul Anggadi Sasmito Ariful Ulya Dwipanca Adi Nugraha Enggar Pratiwi Farida Titik Kristanti Fitriyani, Maya Gayuh T Permana Gede Teguh Laksana Hadiana, Riza Harjono, Sucipto Kristian WA Nugroho Muhammad Bayu Aji Sumantri Muhammad Chalil Gilbran Nurul Rachma Fadhyla Pebri Yanida Putra, Fikri Dzuraeka Rifqi Dzakiri Safar, Abdul Salehudin Eka Saputra Alrasidi Setiawan, Rian Soelistyo, Alex Teika Trikartika Gustyana Tendi Haruman Tendi Haruman Wibowo, Teguh Arie Wiwin Aminah

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