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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 784 Documents

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PENGGUNAAN PARTIAL DURATION DALAM IMUNISASI PORTOFOLIO OBLIGASI KORPORASI Ali Wardhana; Apriani Dorkas Rambu Atahau
Jurnal Keuangan dan Perbankan Vol 13, No 1 (2009): January 2009
Publisher : University of Merdeka Malang

Bond investment had been popular recently in Indonesian capital market by theissuance of government retail bond known as Obligasi Ritel Indonesia(ORI). The emergence ofORI in Indonesian bond market had brought into account the need to disseminate many aspectsof bond trading included duration concept that was central in the discussion of bond investment.Previous research done by Widayanti (2007) towards corporate bond traded in Surabaya StockExchange could not immunize the bond portfolio because of the unparallel movement ofinterest rate during the research period. This research aimed at continuing the previous researchby applying different tools of analysis, known as partial duration which was suitable forunparallel movement of interest rate. The result obtained indicated that partial durationcould not be used for the immunization both single and portfolio of bonds. However, it wasfound that by using partial duration to immunize single and portfolio of bonds, the deviationbetween expected and obtained result was somewhat lower compared to Modified duration.

INFLASI DAN TINGKAT BUNGA TERHADAP HARGA OBLIGASI NEGARA RITEL YANG DITERBITKAN PEMERINTAH Asih Widajati
Jurnal Keuangan dan Perbankan Vol 13, No 1 (2009): January 2009
Publisher : University of Merdeka Malang

The purpose of this research was to analyze the influence of the Inflation andinterest rate to bond price, and that research was important for obligation holder. The IndonesianGovernment Bonds used in this research were ORI 001, ORI 002, and ORI 003. The data wascollected from Indonesian Stock Exchange using documentation data collecting techniqueand data pooling. The analysis method used in this research was Path Analysis method. Theresult from t-test showed that statistically inflation did not significantly influence interest rateand SBI interest rate had significantly influenced bond price. The result of f-test inflation andinterest rate had significant effect to bond price at 50.60%. This research gave importantinformation for obligation holder even in stable economy. The increase of inflation rate andthe decrease of interest rate that were followed by the increase of bond price gave positiveinfluence to stock marketer especially for bond investor. For that purpose the bond holdershould keep the bond until it was due.

INTERDEPENDENSI ANTARA KEPUTUSAN INVESTASI, KEPUTUSAN PENDANAAN DAN KEPUTUSAN DIVIDEN Linda Purnamasari; Sri Lestari Kurniawati; Melliza Silvi
Jurnal Keuangan dan Perbankan Vol 13, No 1 (2009): January 2009
Publisher : University of Merdeka Malang

This paper examined a comprehensive test of the interdependencies amonginvestment decisions, financing decisions and dividend decisions. Three simultaneous equationmodels were used. By applying Two Stage Least Square (2-SLS) technique to 122 firms listed onIndonesian Stock Exchange, it was found out that there was no significant interdepenciesamong firms investment decisions, financing decisions and dividend decisions. Our resultsuggested the causality flow between firms investment decisions and dividend decisions wasbidirectional and positive, the causality flow between investment and financing decisions wasbidirectional and positive, while the causality flow between financing and dividend decisionswas bidirectional and negative.

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.

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