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The effect of commodity price changes and USD/IDR exchange rate on Indonesian mining companies’ stock return Adi Rahadi Putra; Robiyanto Robiyanto
Jurnal Keuangan dan Perbankan Vol 23, No 1 (2019): January 2019
Publisher : University of Merdeka Malang

There are many variables that will be influencing stock return. Some of those variables are come from the commodity market, such as gold, price and crude oil price changes, and also come from the exchange rate market. This study is about to test the effect of changes prices of gold, silver, crude oil, and exchange rate to the stock return of mining sector companies in Indonesia. There are 48 companies engaged in the mining sector listed on the Indonesia Stock Exchange (IDX). From 48 companies this study uses the purposive sampling method to choose a sample within the criteria, and there are 13 selected companies that will be the object of this study. This study also used an analysis tool GARCH (1,1) to avoid abnormal data. Before advancing to GARCH (1,1) analysis, the data must be tested the stationary first by using the Augmented Dickey-Fuller Test (ADF) to make sure the data stationary or not by using level, 1st difference, and two difference. The result shows that gold has a significant positive effect on stock return mining sector companies such as INCO, KKGI, PTBA, and TINS. Silver has a significant positive effect on HRUM companies and negatively on RUIS. Crude oil has a significant positive effect on HRUM and PTBA firms. Exchange rates have a significant negative impact on companies. ANTM, CTTH, DOID, ELSA, HRUM, ITMG, and KKGI.JEL Classification: E03, F31, G11, G23DOI: https://doi.org/10.26905/jkdp.v23i1.2084

The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period Alfi Syahri; Robiyanto Robiyanto
Jurnal Keuangan dan Perbankan Vol 24, No 3 (2020): July 2020
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v24i3.4621

This study aims to analyze the correlation of gold, exchange rate, and CSPI on COVID-19 pandemic periods by testing the effect of gold exchange prices and exchange rate on CSPI and stock volatility. Also, by considering the dynamic correlation of dynamic correlations between CSPI with gold and CSPI with exchange rates. The data was collected from secondary data in the form of JCI daily data, gold prices, and exchange rate during the COVID-19 pandemic period from January 2020 to June 2020. Further, the data was analyzed by using a GARCH method to examine the effect of changes in gold and USD prices for CSPI and stock volatility. Hence, DCC-GARCH method was used to see the dynamic correlation between CSPI with gold and IHSG with exchange rate. The result showed that changes of gold prices has significant effect of on stock price volatility, the presence of a positive dynamic correlation between CSPI and gold, and a negative dynamic correlation between CSPI and exchange rates. This research can be used as a reference for investors for their investments by looking at the relationship between the CSPI, gold, and the exchange rate. JEL Classification: G10, G11, G12DOI: https://doi.org/10.26905/jkdp.v24i3.4621

Kajian Conditional Beta di Bursa Efek Indonesia Yuvica Lara Rovantiane; Robiyanto Robiyanto
INOBIS: Jurnal Inovasi Bisnis dan Manajemen Indonesia Vol. 4 No. 3 (2021): INOBIS: Jurnal Inovasi Bisnis dan Manajemen Indonesia - Edisi Juni 2021
Publisher : Forum Inovasi Bisnis dan Manajemen

Penelitian ini mengkaji risiko sistematis pada dua periode pasar yang berbeda (bearish dan bullish) di Bursa Efek Indonesia (BEI), serta meneliti apakah terdapat perbedaan risiko sistematis pada kedua periode pasar tersebut. Data yang digunakan dalam penelitian ini adalah data harga saham penutupan harian saham terpilih dan penutupan harian Indeks Harga Saham Gabungan (IHSG) periode 2 Januari 2017 sampai dengan 30 Desember 2020, dengan data yang diperoleh dari Investing.com. Metode pengambilan sampel yang digunakan adalah metode purposive sampling dengan kriteria tidak pernah melakukan stock split, tidak pernah dihentikan sementara (suspensed), dan diperdagangkan secara aktif selama periode pengamatan, agar tidak terjadi bias. Sebanyak 20 saham ditemukan yang memenuhi kriteria tersebut. Hasil penelitian menunjukkan bahwa tidak ada perbedaan antara bull dan bear beta. Kemudian, tidak ada perbedaan antara periode keseluruhan dan bull atau bear beta. Temuan menyiratkan bahwa investor dan manajer portofolio dapat menggunakan semua periode beta sebagai proksi risiko sistematis mereka.

Pengaruh Tingkat Inflasi dan Suku Bunga BI Rate Terhadap Indeks Sektor Konsumsi Kristiana Oktavia; Robiyanto Robiyanto
Jurnal Pasar Modal dan Bisnis Vol 3 No 2 (2021)
Publisher : The Indonesia Capital Market Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37194/jpmb.v3i2.85

This research is intended to analyze the effect of inflation and BI rate on the consumption sector index. This type of research data is quantitative method which is secondary data in the form of a monthly basis from 2015 to 2020 using the GARCH technique. The results showed that inflation and BI rate positive insignificant effect on the consumption sector index from 2015 to 2020. The result of this study implicated that investors can consider external factors in making investments. The results of the study have limitations only using 2 macro variables which are very commonly used, it is better if for further research to use more maro variables and add micro variables. Then can use other sector indexes in research and can conduct new research by comparing the period before the pandemic and during the Covid-19 pandemic.

AN ANALYSIS OF THE RELATIONSHIP BETWEEN EARNINGS AND CORPORATE TAXES ON DIVIDEND POLICY OF COMPANIES IN SRI-KEHATI INDEX Etheldreda Gladys Salvatori; Robiyanto Robiyanto; Harijono Harijono
Journal of Management and Entrepreneurship Research Vol. 1 No. 1 (2020)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2020.6.01.1-1

Objective: This study examines the effect of earnings and corporate taxes role on the company's dividend policy in the SRI-KEHATI Index. In this research, dividend policy means dividends paid proportion to shareholders. Earnings are estimated by four financial ratios namely contributed capital ratio, prior year-earnings, sales growth, and return on assets.Research Design & Methods: The sample is taken according to purposive sampling with the criteria of the consistency of the company listed in the SRI-KEHATI Index during 2014-2017 and routinely distributes annual dividends, finally 14 companies are taken from 33 companies. Panel data were examined with the assistance of Eviews 9.0 software. Data collected from the company's financial statements and measured using a formula adopted from earlier research. Findings: Empirical results found that capital ratio, prior year-earnings, sales growth, and corporate taxes did not significantly affect the dividend payout ratio. While return on assets has a positive effect on dividend payout ratio. Companies that grow well will need more funds to cover their financing and try to keep up their income proportion, one way is to pay a constant dividend, lower, or even zero dividends. Limitations & Recommendations: This finding recommends that investors should pay attention to company profitability by measuring return on assets. Future research can use the new stock index’s constituents such as IDX High Dividend 20 and include other factors that indicated to determine dividend policy. Contribution & Value Added: This result contributes to the financial literature, especially related to the dividend policy of public listed companies in Indonesia. Practically, investors can use this result as additional information in investment decisions.

AN ANALYSIS OF THE RELATIONSHIP BETWEEN EARNINGS AND CORPORATE TAXES ON DIVIDEND POLICY OF COMPANIES IN SRI-KEHATI INDEX Etheldreda Gladys Salvatori; Robiyanto Robiyanto; Harijono Harijono
Journal of Management and Entrepreneurship Research Vol. 1 No. 1 (2020)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2020.6.01.1-1

Objective: This study examines the effect of earnings and corporate taxes role on the company's dividend policy in the SRI-KEHATI Index. In this research, dividend policy means dividends paid proportion to shareholders. Earnings are estimated by four financial ratios namely contributed capital ratio, prior year-earnings, sales growth, and return on assets.Research Design & Methods: The sample is taken according to purposive sampling with the criteria of the consistency of the company listed in the SRI-KEHATI Index during 2014-2017 and routinely distributes annual dividends, finally 14 companies are taken from 33 companies. Panel data were examined with the assistance of Eviews 9.0 software. Data collected from the company's financial statements and measured using a formula adopted from earlier research. Findings: Empirical results found that capital ratio, prior year-earnings, sales growth, and corporate taxes did not significantly affect the dividend payout ratio. While return on assets has a positive effect on dividend payout ratio. Companies that grow well will need more funds to cover their financing and try to keep up their income proportion, one way is to pay a constant dividend, lower, or even zero dividends. Limitations & Recommendations: This finding recommends that investors should pay attention to company profitability by measuring return on assets. Future research can use the new stock index’s constituents such as IDX High Dividend 20 and include other factors that indicated to determine dividend policy. Contribution & Value Added: This result contributes to the financial literature, especially related to the dividend policy of public listed companies in Indonesia. Practically, investors can use this result as additional information in investment decisions.

AN ANALYSIS OF THE RELATIONSHIP BETWEEN EARNINGS AND CORPORATE TAXES ON DIVIDEND POLICY OF COMPANIES IN SRI-KEHATI INDEX Etheldreda Gladys Salvatori; Robiyanto Robiyanto; Harijono Harijono
Journal of Management and Entrepreneurship Research Vol. 1 No. 1 (2020)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2020.6.01.1-1

Objective: This study examines the effect of earnings and corporate taxes role on the company's dividend policy in the SRI-KEHATI Index. In this research, dividend policy means dividends paid proportion to shareholders. Earnings are estimated by four financial ratios namely contributed capital ratio, prior year-earnings, sales growth, and return on assets.Research Design & Methods: The sample is taken according to purposive sampling with the criteria of the consistency of the company listed in the SRI-KEHATI Index during 2014-2017 and routinely distributes annual dividends, finally 14 companies are taken from 33 companies. Panel data were examined with the assistance of Eviews 9.0 software. Data collected from the company's financial statements and measured using a formula adopted from earlier research. Findings: Empirical results found that capital ratio, prior year-earnings, sales growth, and corporate taxes did not significantly affect the dividend payout ratio. While return on assets has a positive effect on dividend payout ratio. Companies that grow well will need more funds to cover their financing and try to keep up their income proportion, one way is to pay a constant dividend, lower, or even zero dividends. Limitations & Recommendations: This finding recommends that investors should pay attention to company profitability by measuring return on assets. Future research can use the new stock index’s constituents such as IDX High Dividend 20 and include other factors that indicated to determine dividend policy. Contribution & Value Added: This result contributes to the financial literature, especially related to the dividend policy of public listed companies in Indonesia. Practically, investors can use this result as additional information in investment decisions.

PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018 Happy Catherine; Robiyanto Robiyanto
Journal of Management and Entrepreneurship Research Vol. 1 No. 1 (2020)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2020.6.01.1-4

Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio. Stocks evaluated are those that consistently listed in the LQ45 index during 2016-2018. Research Design & Methods: The number of samples used in this study was 32 stocks taken using a purposive sampling technique. The data used in this study are the monthly closing price of stocks, the composite stock price index, and the BI 7-day Repo Rate interest rate data. Findings: The results of this study show that not all stocks included in the LQ45 index have good performances. The results of this study show that BBCA stock is the best stocks based on Sharpe Index and Information Ratio. Based on the Jensen Alpha method and the Sortino Ratio, PTBA stock is the best stocks. As for the Treynor Ratio method, the best stock is INCO. Recommendations: There is a blemish in research for further research that is expanding the scope of research, not only companies included in LQ45. Future studies can analyze portfolios consisting of LQ45 stocks and updating periods because stock performance is cyclical. Contribution & Value Added: This research contributes to the analysis of LQ45 stock performance based on five methods including Sortino and Information Ratio that are rarely used and show differences in the results of the five stock performance indices.

The Influence of the Fundamental Factors on Plantation Companies’ Firm Value on the Indonesia Stock Exchange Siska Gita Pratiwi; Robiyanto Robiyanto; Harijono Harijono
Journal of Management and Entrepreneurship Research Vol. 1 No. 2 (2020)
Publisher : Universitas Islam Nahdlatul Ulama Jepara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34001/jmer.2020.12.01.2-10

Objective: Indonesia’s economic growth is mostly supported by the agricultural sector in which the plantation sub-sector has a significant contribution to the primary sector in the sectoral index of Indonesia Stock Exchange (IDX). Plantation companies have a long-term goal of maximizing shareholder prosperity by increasing company values. This study aimed to determine the influence of fundamental factors on company values of plantation companies listed on the IDX during 2015-2019. Research Design & Methods: This study used secondary data involving 8 samples of plantation companies listed on the IDX using a purposive sampling method and panel regression analysis techniques. Research data was taken from the annual reports on the IDX. Findings: The results showed that Managerial Ownership (MO), Debt to Equity Ratio (DER), Earnings per Share (EPS), and Company Age (AGE) have a positive correlation to Firm Value (FV). However, the probability of MO, EPS, AGE is not significant and only DER has a significant effect on FV. Recommendations: There is a blemish in research for further research that is expanding the scope of research, and future studies is suggested to analyze the fundamental influence on FV before and during the Covid-19 period. This cannot be done in this study because the data is still limited. Contribution & Value Added: This result contributes to the financial literature and can be a consideration for investors in investment based on company value.

Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas Robiyanto Robiyanto
Jurnal Ekonomi dan Bisnis Vol 18 No 2 (2015)
Publisher : Fakultas Ekonomika dan Bisnis Universitas Kristen Satya Wacana

One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market return during trading years. There were enormous researches, which had been done to explain this phenomenon in capital market but the results always varied. Unfortunately there was a few research to explain this phenomenon in commodities market. Based on these facts, research about this seasonality still need to be done both in capital market and commodities market. Data used in this study were several South East Asia monthly closing stock market indexes and several commodity product monthly closing prices such as gold, silver, platinum, paladium and West Texas Intermediate Crude Oil during January 1999 – March 2014 period. GARCH (1,1) was employed to analyze the data. The finding shows that month of the year effect still exist in capital market in South East Asia and commodity market during research period with various occurences. Each capital market and commodity market behaves variously during trading year. This may lead to an opportunity, which can be grabbed by active market switching strategy for sophisticated investors, and investors who have multiple access to regional capital markets and commodity markets.

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