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All Journal Diponegoro Journal of Management
Erman Denny Arfianto
Departemen Manajemen Fakultas Ekonomika dan Bisnis Universitas Diponegoro
Decision Sciences, Operations Research & Management

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SAFEHAVEN ATAU RISKY HAZARD? PASAR SAHAM INDONESIA VS EMAS, BITCOIN, DAN US DOLLAR MENGGUNAKAN METODE VECTOR AUTOREGRESSION (VAR) (Data Harian IHSG, Emas, Bitcoin, dan Dollar Amerika Periode Desember 2016 – Desember 2021) Arief Setyo Wicaksono; Erman Denny Arfianto
Diponegoro Journal of Management Volume 11, Nomor 4, Tahun 2022
Publisher : Faculty of Economics and Business Diponegoro University

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This study aims to analyze the role of JCI, Gold, Bitcoin, and the US Dollar. The data used in this study is daily data on JCI returns, Gold returns, Bitcoin returns, and US Dollar returns for 5 years starting on 8 December 2016 to 08 December 2021, all of the data used has been converted into Rupiah currency units. The data was then analyzed using the Vector Auto Regression (VAR) model. The findings from this study show that the JCI response to changes in the prices of Gold, Bitcoin, and the US Dollar shows the JCI moves positively, Gold responds negatively to shocks caused by the JCI and Bitcoin, Gold responds positively to shocks in the US Dollar, Bitcoin does not respond to shocks. caused by the JCI, Gold, and the US Dollar, and the US Dollar responded negatively to the shocks caused by the JCI, Gold, and Bitcoin. These results show that Gold and the US Dollar are able to become safe-haven assets and the US Dollar is a better safe-haven asset than Gold, while JCI and Bitcoin are only capable of being risky hazard assets.
PENGARUH FAMILY OWNERSHIP DAN INSTITUTIONAL OWNERSHIP TERHADAP DIVIDEND PAYOUT RATIO (Studi Pada Perusahaan Manufaktur Indonesia) Faizal Endi Wibowo; Erman Denny Arfianto
Diponegoro Journal of Management Volume 11, Nomor 6, Tahun 2022
Publisher : Faculty of Economics and Business Diponegoro University

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This Study aims to prove the effect of Family Ownership and Institutional Ownership, on the dividend payout ratio in Indonesia. According to a recent study (Mulyani, Singh, & Mishra, 2016) shows that family ownership has a negative effect on dividend payout. But in the other recent study (Setianto & Sari, 2017) says that family ownership has a positive effect on dividend payout. These are the cause of why we strive to seek the truth about the relationship between family ownership and dividend payout in Indonesia. This study's initial sample includes all the listed manufacture company in Indonesian Stock Exchange from 2013 to 2021. This study will not include firms that did not pay dividends during the 2013-2021 periods. All those sorted samples will be sorted again into family-owned firms that meet the category. Our data were collected from the Indonesian Stock Exchange's official website and from Bloomberg. The ownership data was collected manually. This study will use ordinary least square regression. This study provides proof that family ownership has no effect on the dividend payout. And in this study, we prove that Institutional Ownership has a negative and significant effect on Dividend Payout Ratio.
IMPACT OF PAST RETURN, TURNOVER, VOLATILITY, BID-ASK SPREAD ON DISPOSITION EFFECT (EVIDENCE ON SMALL CAPITAL STOCK LISTED IN INDONESIAN STOCK EXCHANGE IN 2016-2020) Ariq Khizam Shalahuddin; Erman Denny Arfianto
Diponegoro Journal of Management Volume 11, Nomor 4, Tahun 2022
Publisher : Faculty of Economics and Business Diponegoro University

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Stock return is something that moves very randomly and is influenced by many things, so it is complicated to predict. However, on the other hand, investors make stock return assessments to predict the future as the basis for asset valuation. This shows the contradiction caused by the stock return itself. Significant rise and fall of the stock prices, illustrates inefficient market conditions. Behavioral biases occur when investors make investment decisions that are inconsistent or not optimal even though they have been able to process correctly all the information available in the market so that they have the correct probability level about future rates of return. The inclination of individuals to act will then trigger a bias to develop a disposition effect, riding losers too long and winners too short, given the current research gap. As a result of this contradiction, this study aims to look at what factors affect investors behavior in a disposition effect. This research consists of empirical studies done on small - cap stocks listed on the IDX between 2016 and 2020. This study''s research design is a causal design, which recognizes the relationship between other variables or the influence of one variable on other variables. Logit regression will be the research type used in this study. Logit regression is used to analyze separately the sell versus hold decision and the sell versus buy.This research method is quantitative, with a focus on quantity and the usage of secondary data for research. Past Return has a positive and significant effect on Disposition Effect in small stocks. Turnover variable has a positive and significant effect on Disposition Effect in small stocks, because the increased gains and loss coefficients for high turnover stocks are generally double the size of the winner and losser coefficients for stocks with low relative turnover. Volatility has no effect on the disposition effect variable. This is caused by the volatility in small caps are not showing the high of volatility level, the data showed that the volatility in small caps tend to be stable. The bid-ask spread variable has no effect on the Disposition Effect variable because the bid-ask spread in small caps showed that the bid ask spread are all in negative value and no data showed the high difference in between.
Co-Authors Arief Setyo Wicaksono Ariq Khizam Shalahuddin Faizal Endi Wibowo