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PENGARUH HARi PERDAGANGAN SAHAM TERHADAP RETURN HARIAN SAHAM DI BURSA EFEK JAKARTA (Sebuah Studi Terhadap IHSG, lndeks Soham Sektoral Dan lndeks Soham Unggulan (LQ45)) Robiyanto, Robiyanto
JURNAL BISNIS STRATEGI Vol 5, No 3 (2000): Juli
Publisher : Magister Manajemen, Fakultas Ekonomika dan Bisnis Undip

Penelitian mengenai pengaruh hari perdagangan saham terhadap return harian saham telah banyak dilakukan pada berbagai bursa yang ada di dunia ini. Berbagai metode digunakan untuk meneliti hal ini dengan hasll yang konsisten untuk bursa-bursa di belahan dunia barat yaitu dengan return harian saham negatif pada hari Senin yang biasa dlsebut dengan Monday Effect dan return tertinggi pada hari Jum'at yang dlsebut dengan Weekend Effect, kedua hal ini blasa dlsebut dengan day of the week effect. Penelitian yang telah dilakukan di Indonesia memperlihatkan hasil yang tidak konsisten dengan penelitian di luar negeri bahkan antar temuan di dalam negeri. Kebanyakan penelitian di dalam negeri ini menggunakan melode OLS (Ordinary Least Square) dengan dummy variabel untuk menjelaskan fenomena ini. Metode ini dirasakan kurang tepat untuk mengidentifikasi fenomena ini karena menyalahi aturan-aturan regresi.Penelitian ini berusaha untuk menjelaskan pengaruh hari perdagangan saham terhadap 11 indeks harga saham yang ada di Bursa Efek Jakarta yaitu IHSG, lndeks LQ45, lndeks Harga Saham Sektoral (Pertanian, Pertambangan, lndustri Dasar; Aneka lndustri, Industri Konsumsi, Properti Infrastruktur, Keuangan dan Perdagangan) dengan metode ARIMA (Autoregressive Integrated Moving Average) guna menghindari pelanggaran terhadap aturan-aturan regresi OLS. Metode ini layak dan memenuhi syarat untuk digunakan karena data return saham yang ditelitl memiliki variance yang tidak berubah sepaniang waktu / stasioner (white noise).Hasil penelitian ini adalah tidak terdapat pengaruh hari perdagangan saham terhadap return sahamsektor pertanian, pertambangan dan aneka Industri. Hari perdagangan Senin berpengaruh negatif terhadap return saham-saham sektor properti dan keuangan. Hari Rabu hanya berpengaruh negatif kepada return saham-saham unggulan sementara itu hari Kamis berpengaruh positif pada return pasar, unggulan, sektor industri dasar, industri konsumsi, properti, lnfrastruktur, keuangan dan perdagangan. lebih lanjut tidak dltemukan beda return di setiap hari perdagangan pada return pasar (IHSG), saham-saham sektor pertanian, sektor pertambangan, sektor industri konsumsi, sektor infrastruktur, sektor keuangan dan perdagangan. Tetapi ditemukan adanya perbedaan return saham -saham unggulan (LQ45), saham-saham sektor industri dasar, sektor aneka industri dan sektor properti pada tiap-tiap hari perdagangan saham.

PENGARUH TINGKAT INFLASI, TINGKAT SUKU BUNGA BI, DAN NILAI TUKAR USD-IDR TERHADAP PERUBAHAN HARGA SAHAM SEKTOR PERUSAHAAN MANUFAKTUR DI INDONESIA Stefanus, Adi Cahya; Robiyanto, Robiyanto
International Journal of Social Science and Business Vol 4, No 2 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i2.22484

The objective of this study is to find out how macroeconomic factors such as exchange rate, BI rate and inflation rate can affect the manufacturing sector stock price index in IDX from 2011 until 2018. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) is used as the analysis method in this research to find the fittest model. The result, only exchange rate that no significant effect to manufacturing sector stock, price index, Inflation and BI rate have significant effect to manufacturing sector stock price index.

The Role of Growth Opportunity and Internal Factor Toward Capital Structure of Manufacturing Company Member in Jakarta Islamic Index Anggraeny, Wafa; Robiyanto, Robiyanto
International Journal of Social Science and Business Vol 4, No 3 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i3.24990

The study aimed to analyzeÂ the factors thatÂ determined the capital structure of the manufacturing companies listed in the Jakarta Islamic Index (JII) from the period of 2015 to 2018. The independent variables in this study were profitability, asset structure, company size, and growth opportunity. The samples were taken by using the purposive sampling method and obtained 10 companies as research samples. Data analysis techniques use a regression analysis of data panel. The results of the regression panel in this study showed that profitabilityÂ had a significant positive effect on capital structure. The asset structure, firm size and growth opportunity variables do not significantly influence the company's capital structure. This research implies that companies need to pay attention to profitability variable in determining capital structure.

THE ANALYSIS OF CAPITAL MARKET INTEGRATION IN ASEAN REGION BY USING THE OGARCH APPROACH Robiyanto, Robiyanto
Jurnal Keuangan dan Perbankan Vol 21, No 2 (2017): April 2017
Publisher : UNIVERSITY OF MERDEKA MALANG

Capital market integration is a topic that attracts a lot of research interests in regional and international capital markets. Unfortunately, the various studies that have been done tend to use analytical tools that have not been able to conclude the degree of capital market integration quantitatively, hence a study that is able to measure the degree of capital market integration quantitatively is required. This study investigated the capital markets integration in ASEAN by using the Orthogonal Generalized Autoregressive ConditionalHeteroscedasticity (OGARCH) method which could provide the degree of integration quantitatively. Capital markets studied were the Indonesia Stock Exchange, Kuala Lumpur Stock Exchange, Thailand Stock Exchange, Singapore Stock Exchange, and Philippines Stock Exchange during the period of January 2001 â€“ December 2016. The result of this study was there was a co-movement among ASEAN capital markets studied, but not all these ASEAN capital markets were fully integrated. This study also found that Indonesia stock Exchange, Kuala Lumpur Stock Exchange, Stock Exchange Thailand, and Singapore Stock Exchange were integrated but Philippines Stock Exchange was not. ThePhilippines Stock Exchange tended to be segmented rather than integrated.DOI: https://doi.org/10.26905/jkdp.v21i2.1138

Corporate Governance Structure and Stock Price Synchronicity Susanto, Auberta Danice; Robiyanto, Robiyanto
Jurnal Organisasi dan Manajemen Vol. 16 No. 2 (2020)
Publisher : LPPM Universitas Terbuka

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33830/jom.v16i2.967.2020

The corporate governance structure within the company is formed to carry out proper supervision, but a company can have agency problems that affect investment decision making. Transparency of a company is important to prevent agency problems. In addition, transparency in the form of company-specific information can be reflected in stock prices. When investorsâ€™ trust in company-specific information increase, stock price synchronicity will decrease. The research was conducted in the banking sector in Indonesia during the 2016-2019 period, using purposive sampling and panel regression methods. Findings. The analysis was carried out twice, namely analysis with and without control variables. Analysis without control variables found that the size of board of commissioners has a positive effect on stock price synchronicity, while independent board of commissioners, board of commissionersâ€™ gender heterogeneity, size of board of directors, and board of directorsâ€™ heterogeneity have no effect on stock price synchronicity. Analysis with control variables shows that company size as a control variable must be controlled so that supervision is more effective and yields on Bank Indonesia Sharia Certificate as interest rates that have a positive effect on stock price synchronicity, while all independent variables have no effect on stock price synchronicity.

Determinants of Dividend Payout Ratio in Non-Financial Companies Listed Anggraeny, Wafa; Robiyanto, Robiyanto; Sakti, Imanuel Madea
International Journal of Social Science and Business Vol 4, No 4 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i4.29583

This study aims to analyze the effect of both internal and external factors that determine the dividend payout ratio of non-financial companies listed in the IDX High dividend 20 during the period of 2015-2019. The independent variables of the company's internal factors are return on assets, earnings per share, and debt to equity ratio. The independent variables of the company's external factors are interest rates and inflation. The control variable used in this study is firm size. There were 13 companies listed in IDX High Dividend 20 by using the purposive sampling method. Data analysis used panel data regression which was analyzed three times by grouping the dividend payout ratio, low dividend, and high dividend. The results showed that the return on assets had a significant negative effect on the combined dividend payout ratio with a probability value (0.0309) and high dividend with a probability value (0.0067) smaller than the significance level (5%), but had no significant effect on the low dividend with a probability value (0.3283) greater than the significance level (5%). Earnings per share has no significant effect on the combined dividend payout ratio with a probability value (0.4151), low dividend with a probability value (0.1164), and high dividend with a probability value (0.3835) greater than the significance level (5%). It can be concluded that return on assets earning per share, firm size, and debt to equity ratio have an effect on dividend payout ratio.

Determinants of Dividend Payout Ratio in Non-Financial Companies Listed Anggraeny, Wafa; Robiyanto, Robiyanto; Sakti, Imanuel Madea
International Journal of Social Science and Business Vol 4, No 4 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i4.29583

This study aims to analyze the effect of both internal and external factors that determine the dividend payout ratio of non-financial companies listed in the IDX High dividend 20 during the period of 2015-2019. The independent variables of the company's internal factors are return on assets, earnings per share, and debt to equity ratio. The independent variables of the company's external factors are interest rates and inflation. The control variable used in this study is firm size. There were 13 companies listed in IDX High Dividend 20 by using the purposive sampling method. Data analysis used panel data regression which was analyzed three times by grouping the dividend payout ratio, low dividend, and high dividend. The results showed that the return on assets had a significant negative effect on the combined dividend payout ratio with a probability value (0.0309) and high dividend with a probability value (0.0067) smaller than the significance level (5%), but had no significant effect on the low dividend with a probability value (0.3283) greater than the significance level (5%). Earnings per share has no significant effect on the combined dividend payout ratio with a probability value (0.4151), low dividend with a probability value (0.1164), and high dividend with a probability value (0.3835) greater than the significance level (5%). It can be concluded that return on assets earning per share, firm size, and debt to equity ratio have an effect on dividend payout ratio.

Determinants of Dividend Payout Ratio in Non-Financial Companies Listed Anggraeny, Wafa; Robiyanto, Robiyanto; Sakti, Imanuel Madea
International Journal of Social Science and Business Vol 4, No 4 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i4.29583

This study aims to analyze the effect of both internal and external factors that determine the dividend payout ratio of non-financial companies listed in the IDX High dividend 20 during the period of 2015-2019. The independent variables of the company's internal factors are return on assets, earnings per share, and debt to equity ratio. The independent variables of the company's external factors are interest rates and inflation. The control variable used in this study is firm size. There were 13 companies listed in IDX High Dividend 20 by using the purposive sampling method. Data analysis used panel data regression which was analyzed three times by grouping the dividend payout ratio, low dividend, and high dividend. The results showed that the return on assets had a significant negative effect on the combined dividend payout ratio with a probability value (0.0309) and high dividend with a probability value (0.0067) smaller than the significance level (5%), but had no significant effect on the low dividend with a probability value (0.3283) greater than the significance level (5%). Earnings per share has no significant effect on the combined dividend payout ratio with a probability value (0.4151), low dividend with a probability value (0.1164), and high dividend with a probability value (0.3835) greater than the significance level (5%). It can be concluded that return on assets earning per share, firm size, and debt to equity ratio have an effect on dividend payout ratio.

Performance Evaluation of Exchange Traded Fund in The Indonesia Stock Exchange Stefanus, Adi Cahya; Robiyanto, Robiyanto
International Journal of Social Science and Business Vol 4, No 4 (2020)
Publisher : Universitas Pendidikan Ganesha

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23887/ijssb.v4i4.29422

This study aims to evaluate the performance of the Exchange Traded Fund (ETF) index in the Indonesia Stock Exchange by using the Treynor Ratio, Sharpe Ratio, Sortino Ratio, Jensen Alpha, Information Ratio, and Omega Ratio. This research uses a quantitative descriptive approach, and the data source to be applied in this research is secondary data, where the data to be used is the ETF listed on the IDX. The data collection technique will be carried out with a documentation study. There are 12 ETFs to be evaluated. The data used in this study are the weekly closing price and risk-free investment that is represented by the BI rate from January 2018 to December 2019. The result of this study shows that there are only two of the Exchange Traded Fund that has better performance than risk-free investment if it is calculated by using the Sharpe Ratio, Sortino Ratio, Information Ratio, and Omega Ratio. In contrast, the Treynor Ratio and Jensen Alpha show negative value or worse than risk-free investment.

The Formulation of a Dynamic Portfolio between Gold and Stocks on the Indonesia Stock Exchange during the COVID-19 Pandemic Suryani, Cyndi; Robiyanto, Robiyanto
Jurnal Organisasi dan Manajemen Vol. 17 No. 1 (2021): January - June
Publisher : LPPM Universitas Terbuka

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33830/jom.v17i1.1048.2021

COVID-19 pandemic made investor to be careful to choose the portfolio instrument. A portfolio that is formed by the right instrument certainly can minimize risks and maximize the return. This research analyzes the dynamic portfolio formed by gold and leading stocks in COVID-19 period, which is better than the the portfolio formed by stocks alone. The data used is secondary data, which is the LQ-45 index daily closing price data and world gold prices. This research also uses risk free rate data taken from bi.go.id. The analysis technique in this research is DCC-GARCH. Findings. This research concludes that stock portfolios with gold showing a good performance result with variability-based measurement.

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