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All Journal Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Jurnal Jamsostek
Elly Zunara
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences Other

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Pengaruh Makroekonomi, Covid-19 dan Kepemilikan SBN oleh BPJS Ketenagakerjaan terhadap Yield SBN Elly Zunara
Jurnal Jamsostek Vol. 2 No. 1 (2024): Juni
Publisher : BPJS Ketenagakerjaan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61626/jamsostek.v2i1.34

Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh variabel makroekonomi seperti yield US Treasury, suku bunga BI, nilai tukar, dan Covid-19 serta kepemilikan surat berharga negara (SBN) oleh BPJS Ketenagakerjaan terhadap pergerakan yield obligasi pemerintah tenor 10 tahun. Penelitian ini menggunakan teknik analisis data kuantitatif dengan metode VAR/VECM. Penelitian ini menghasilkan kesimpulan variabel makroekonomi dan Covid-19 serta kepemilikan SBN oleh BPJS Ketenagakerjaan berpengaruh signifikan terhadap pergerakan Yield SBN. Selain itu,dari semua variabel yang digunakan dalam penelitian ini, Yield SBN, BI Rate dan Kepemilikan BPJS Ketenagakerjaan memiliki urutan kontribusi terbesar dalam mempengaruhi Yield SBN. Pada akhirnya dari hasil penelitian ini memiliki implikasi manajerial terhadap pemerintah untuk mengantisipasi gejolak makroekonomi agar mengambil kebijakan yang tepat yang berkaitan dengan pasar obligasi Indonesia. Bagi BPJS Ketenagakerjaan sebagai salah satu investor SBN terbesar di Indonesia, hasil penelitian ini dapat dijadikan referensi untuk menyusun strategi investasi dan memitigasi risiko yang berpengaruh terhadap portofolio obligasi BPJS Ketenagakerjaan, sehingga mendapatkan return optimal untuk peserta BPJS Ketenagakerjaan yang lebih sejahtera.
The The Effect of Rational and Irrational Sentiments of Individual and Institutional Investors on Indonesia Stock Market Elly Zunara; Achsani, Noer Azam; Hakim, Dedi Budiman; Sembel, Roy
Jurnal Aplikasi Bisnis dan Manajemen Vol. 8 No. 3 (2022): JABM Vol. 8 No. 3, September 2022
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.8.3.802

Abstract

The study's goal is to explore the relationship between investor sentiment, stock return, and volatility in Indonesian markets, with a focus on the Indonesia Stock Exchange (IDX). This research looked at the Indonesia Stock Exchange's (IDX) monthly statistics on stock trading volume from January 2015 to January 2021 to infer the attitudes of both institutional and retail investors. The analysis also uses a variety of well-known and accepted factors from the literature on asset pricing, such as the Covid-19 index, a reliable indicator of Indonesia's underlying market conditions. Error Correction Model was used to analyze a regression between investor sentiment and fundamentals in the Indonesian stock market in order to determine the impact of macroeconomic and Covid-19 risk variables on sentiment (ECM). Next, it looked at how unexpected shifts in Indonesian investor sentiment affected stock returns and IDX volatility with the help of Impulse response functions (IRFs) derived from a Vector Error Correction Model (VECM) model. Individual and institutional investors' stock market returns and IDX volatility were found to be affected more by rational than by irrational attitudes, according to the empirical findings. Keywords: investor sentiment, IDX, stock returns, volatility, VECM
Co-Authors Erliza Noor Hakim, Dedi Budiman Roy Sembel