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Jurnal Keuangan dan Perbankan

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Published by Universitas Merdeka Malang

ISSN : - EISSN : - DOI : -

Core Subject : Economy,

Economics, Econometrics & Finance

Arjuna Subject : -

Articles 15 Documents

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Search results for , issue "Vol 13, No 2 (2009): May 2009" : 15 Documents clear

REAKSI PASAR DI SEKITAR TANGGAL PENGUMUMAN LABA: PENGUJIAN ANALISIS TEKNIKAL MODERN Dedhy Sulistiawan
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

The purpose of this research was to test the profitability of technical analysisindicators around annual earnings announcements date. Offering new technique to test marketreaction, this research preferred modern technical analysis to classical indicators because of theobjectivity of measurement. This research used Indonesian Stock Exchange data in year 2008.There were two technical indicators selected, they were RSI (5) and RSI (5)-SMA (5). Using onesample t-test, the results showed that this trading strategy was profitable around earningsannouncement date. It meant that signal could be used before announcement date. The datashowed that selling signal was statistically significant producing profit but not buying signal.Supplementary analysis results showed that there was no correlation between technical analysisreturn and earnings change. This phenomenon described that technical analysis was profitablebut data showed that there was evidence about the pattern of buying signal (selling signal)before good news (bad news).

PENGUJIAN FAMA-FRENCH THREE-FACTOR MODEL DI INDONESIA Damar Hardianto; Suherman Suherman
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

This study empirically examined the Fama-French three factor model of stock returnsfor Indonesia over the period 2000-2004. We found evidence for pervasive market, size, andbook-to-market factors in Indonesian stock returns. We found that cross-sectional mean returnswere explained by exposures to these three factors, and not by the market factor alone. Theempirical results were reasonably consistent with the Fama-French three factor model.

PERBANDINGAN KAPITALISASI PASAR PORTOFOLIO SAHAM WINNER DAN LOSER SAAT TERJADI ANOMALI WINNER-LOSER Hadioetomo, Hadioetomo; Sukarno, Agus
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

Capital market anomaly showed that there was an anomaly in efficient capitalmarket hypothesis. One of its types was price reversal phenomenon, which showed that previouswinner portfolio became loser portfolio and vice versa. Price reversal phenomenon was alsoknown as overreaction market hypothesis (OMH). The hypothesis stated that if stock priceswere systematically valued overly as a consequence of investors over pessimism or optimism,price reversal certainly came from previous stock price performance. In this research, theresearcher analyzed price reversal phenomenon on Indonesia Stock Exchange (ISX) by consideringabnormal return. The result of this research indicated that overreaction occur separate in itsmove. Winners and losers were not constant overtime. Analysis independent sample t test didnot show the different average abnormal return significantly so there was anomaly incapitalization market winner and loser.

PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA Tendi Haruman; Riko Hendrawan
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

The purpose of this research was to test the accuracy of GARCH Option Model forpricing stock option contracted on Astra International, BCA, Indofood and Telkom when barrierexisted at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock optioncontract data, simulation was conducted using actual data. To test the accuracy of GARCH OptionModel, average percentage mean squared error was used to compare simulated premiumwith its payoff at its maturity date. The findings from this research were one month optionaverage percentage mean squared error of GARCH Option Model was three point fifty onepercent (3.51%), two month option was six point sixty one (6.61%) and three month optionwas seven point seventy nine percent (7.79%).

KEBIJAKAN PENDANAAN DAN DIVIDEN DENGAN PENDEKATAN INVESTMENT OPPORTUNITY SET Christian Herdinata
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

This research aimed to identify policy difference of debt and dividend policy amongcompanies having potency high and low growth with approach of investment opportunity setin Indonesia Stock Exchange (BEI). To classify company growth, it was applied five proxiesInvestment Opportunity Set (IOS) that was market to book of asset ratio (MVE/BE), price earningratio (PER), value book of plant, property, and equipment to asset ratio ( PPE/BVA) and capitaladdition to book of asset ratio (CAP/BVA). The variables were analyzed using common factoranalysis. In identifying debt policy to apply proxy debt equity ratio and dividend policy, proxydividend yield was applied, then it was analyzed using difference test mean and test u mannwhitney. The empirical results showed that company having potency to grow high had higherdebt and lower dividend payment than companies having potency to grow low.

KEBIJAKAN DIVIDEN DAN STRUKTUR KEPEMILIKAN TERHADAP KEBIJAKAN UTANG: SEBUAH PERSPEKTIF AGENCY THEORY Abdullah W. Djabid
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

Abstract: This study aimed to analyze whether the dividend policy, managerial and institutionalownership had impact toward debt policy. The populations of this study were the go publicmanufacturers in BEI. The sample technique used was purposive sampling, and the analysismethod used was multiple regression method. The result showed that the dividend policy hadno impact toward the debt policy. This study failed to support statement that one of thealternatives could be chosen to reduce the agency conflict by increasing the dividend payoutratio. It was because there might be another factor influenced it, for example, the companyimplemented a stable dividend sharing policy which meant that the company should still paythe dividend although it was losing out or had debts. The managerial and institutional ownershiphad no impact toward the debt policy. Thus, this study failed to support a statement thatalternatives that could be chosen to reduce the agency conflict by increasing the managementsstockholding, and by increasing the institutional partys stockholding.

DIVIDEND POLICY IN AUSTRALIA Lukas Setia Atmaja
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

This study examined the determinants of dividends in an environment where taxwas supposedly a main reason for paying dividends. The imputation tax system in Australiahad led to the expectation that firms should pay the maximum possible franked dividends.Using panel data from January 1994 to December 2004, I found strong evidence that dividendpayout ratio and likelihood of paying dividends were positively related to ownershipconcentration, profitability, firm size, the presence of dividend reinvestment scheme and taxpaid, and were negatively related to leverage, growth opportunity, business risks and investment.My findings supported the conjecture that dividend policy could be explained by tax reasons,residual theory and agency relationship simultaneously.

INFORMASI LABA AKUNTANSI DAN ARUS KAS SERTA PENGARUHNYA PADA HARGA SAHAM Susan, Marcellia
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

The purpose of this research was to investigate whether publication andannouncement of accounting profit and cash flow could be considered as drivers of stockprice. The result of this research showed that accounting profit announcement could influencethe stock price of telecommunication companies. The result also indicated that stock price wasinfluenced by the interaction between accounting profit and cash flow from investment.

STRATEGI DIVERSIFIKASI TERHADAP KINERJA PERUSAHAAN Shinta Heru Satoto
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

The purposes of this research were to provide an empirical evidence of the influenceof diversification to the firm performance. This research used 75 manufacturer firms thatdiversified their business. It also used control variable that describe firms characteristic, such asfirm size, debt ratio, current ratio, and firm age. The empirical result showed that thediversification strategy negatively influenced firm performance. It could be because the firmin Indonesia was under the conditions of unstable economics.

KARAKTERISTIK PERUSAHAAN TERHADAP KUALITAS IMPLEMENTASI CORPORATE GOVERNANCE Asrudin Hormati
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

This study aimed to provide empirical evidence that investment opportunities,ownership concentration, leverage, firm size and quality of external audit influenced the qualityof corporate governance. The study also observed companies that listing in BEI and participatinga survey which was conducted by IICG. The observation period range was 2006-2008. Thesample selection was using purposive sampling method. The companies matched the criteriawere 53 companies, and the analysis method used was multiple regression. The results of thestudy showed that investment opportunities, ownership concentration, and leverage did notinfluence the quality of corporate governance whereas the firm size and the quality of externalaudit influenced the quality of corporate governance.

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