THE IMPACT OF INFLATION RATES AND US DOLLAR EXCHANGE RATES ON INDONESIAN STOCK MARKET INDEX RETURN VOLATILITY
School of Economics and Business Telkom University Bandung
Jl. Gegerkalong Hilir No.47 Bandung, 40152.
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Riko Hendrawan: Telp. /Fax. +62 22 201 1384
This paper studied the impact of inflation rates and US Dollar exchange rates in Indonesian stock market return volatility in the period of 2002-2012. Daily data of stock market return, inflation rates and US Dollar exchange rates were used to estimate the daily volatility of the stock return. The data of stock market price, inflation rates and US Dollar exchange rates were taken from Yahoo Finance, Indonesia statistics bureau and central bank of Indonesia, respectively. The result showed that both inflation rates and US Dollar exchange rates did not have a significant impact on the Indonesian stock market return volatility. Inflation rates contributed 0.03% change in daily stock market return volatility whereas a 1% appreciation of Rupiah contributed to a 0.0000001% change in daily stock market return volatility. This research finding was different from the result in Nigeria where Yaya’s & Shittu’s (2010) research had the same variables. Inflation rates and US Dollar exchange rates were to examine the impact on Nigeria stock market index return volatility.
Key words: GARCH, inflation rates, investment, stock market return, US Dollar exchange rates
INTERDEPENDENSI ANTARA INSIDER OWNERSHIP, KEPUTUSAN INVESTASI, DAN RISIKO BISNIS
Indri Erkaningrum Florentina
ASMI Santa Maria Yogyakarta Jl. Bener No.14 Yogyakarta, 55243
Korespondensi dengan Penulis:
Indri Erkaningrum Florentina: telp. +62 274 585 836; Fax. +62 274 585 841 E-mail : firstname.lastname@example.org
Asymmetric information and agency issues made stockholders need to control business activities through optimalization insider ownership and investment decision. Optimalization of insider ownership and investment decision were expected to make business risk controlled. This research aimed at verifying empirically the influencing factors of insider ownership, investment decision, business risk, and finding the interdependency among insider ownership, investment decision, and business risk. The samples of this research were 90 real estate and property companies listed at Indonesia Stock Exchange from the year of 2006 to 2010. Simultaneous equation model of three stage least squares (3 SLS) was applied to analyze the interdependency among insider ownership, investment decision, and business risk. The analysis result of interdependency among insider ownership, investment decision, and business risk showed that: there was interdependency between insider ownership and investment; there was interdependency between insider ownership and business risk; investment influenced business risk. The empirical evidence of interdependency among insider ownership, investment decision, and business risk helped the companies make financial policies.
Key words: business risk, insider ownership, investment decision
PORTOFOLIO SAHAM OPTIMAL MENGGUNAKAN SINGLE INDEX MODEL PADA SELURUH KANTOR SEKURITAS
DI KOTA MALANG
Tarsisius Renald Suganda
Jurusan Akuntansi Fakultas Ekonomi dan Bisnis Universitas Ma Chung Malang
Villa Puncak Tidar N-01 Malang, 65151.
- Korespondensi dengan Penulis:
- Tarsisius Renald Suganda: Telp. /Faks. +62 341 550 171
- Email: email@example.com
Investment was the commitment of funds to one or more assets that would be held over some future time period. The goal of doing investment was to get the best return. Investment portfolio was one of the main considerations to achieve the goal. This study aimed to establish the optimal stock portfolio using stock mutual fund product data which was obtained from the survey results on securities office in Malang City in 2011 as a research population. Research method used was Single Index Model and data used were daily stock prices for 47 shares in 2011. The results of this study indicated that there were twelve stocks in the optimal portfolio, namely: JKON, KAEF, TSPC, BKSL, BFIN, MAPI, KKGI, BHIT, CTRA, GGRM, MYOR. Based on the calculation, the result was 76.71% for portfolio expected return and 7.23% for portfolio risk in 1 year.
Key words: investment, return portfolio, portfolio risk, optimal portfolio, single index model
INVESTMENT OPPORTUNITY, INSTITUTIONAL OWNERSHIP, CASH FLOW, COMPANY LIFE CYCLE TERHADAP
KEBIJAKAN DIVIDEN DAN RETURN SAHAM
Ni Luh Putu Wiagustini
Fakultas Ekonomi Universitas Udayana
Jl. P.B. Sudirman – Denpasar
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Ni Luh Putu Wiagustini: +Telp /Fax: +62 361 229 119
The objective of this research was to examine and to analyze the influences of investment opportunity, cash flow, company institutional ownership, and company life cycle stages to dividend policy; and the influences of dividend policy to investment opportunity, cash flow, institutional ownership, and company life cycle stages to share return. The samples used in this research were manufacturing companies registered at Indonesia Stock Exchange (ISX), who paid dividend regularly within the period of 2003 – 2006. Path Analysis was used as technical analysis in this research. The research result indicated that, the investment opportunity negatively influenced the dividend policy, while the cash flow did not influence the dividend policy determination; ownership structure did not influence dividend policy determination; the company life cycle stages influenced the dividend policy determination; dividend policy determination influenced company share return; investment opportunity did not directly influence to share return; the cash flow negatively influenced to share return; company institutional ownership negatively influenced the company share return; and company life cycle stages negatively influenced the company share return.
Key words: investment opportunity, company institutional ownership, free cash flow, company life cycle stages
MODEL PREDIKSI NILAI PERUSAHAAN MELALUI KEPEMILIKAN MANAJERIAL DAN SET KESEMPATAN INVESTASI
Fakultas Ekonomi Universitas Diponegoro
Jl. Erlangga Tengah No.17 Semarang, 50241
Fakultas Ekonomi Universitas Islam Sultan Agung
Jl. Raya Kaligawe Km.04 Semarang, 50112
Telp./Fax. +62 24 658 3584
This study empirically examined the effect of managerial ownership on corporate value of Investment Opportunity Set with mediation. Model, this research examined corporate governance measured by the shares of the corporate value with the mediation set of investment opportunities. The purpose of this study was to analyze the effect on the value of corporate governance mediation firm with an investment opportunity sets on manufacturing companies listed in Indonesia Stock Exchange. The populations in this study were all of manufacturing companies listed in Indonesia Stock Exchange and reporting financial statement in the Indonesian capital market directory during the period 2005-2007. Determination of sample used purposive sampling. The data met the characteristic of 37 firms. Statistical method used was path analysis. The results showed that managerial stock ownership (corporate governance) did not affect the corporate value with a negative direction. Managerial stock ownership (corporate governance) affected the investment opportunity set (IOS). IOS did not affect the corporate value and investment opportunity set could not significantly mediate the effect of managerial ownership (corporate governance) against the corporate value .
Key words: managerial ownership, corporate value,
investment opportunity set