Analisis model tiga faktor dan pengaruh krisis terhadap return saham sektor pertanian di bursa efek indonesia

Wibowo, Ednan Setryawan (2014) Analisis model tiga faktor dan pengaruh krisis terhadap return saham sektor pertanian di bursa efek indonesia. Masters thesis, Institut Pertanian Bogor.

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Official URL: http://elibrary.mb.ipb.ac.id/

Abstract

The global financial crisis that hit the world influenced to the capital markets. At the closing of the shares transaction in the Indonesia Stock Exchange in the end of December 2008, the Jakarta Composite Index (JCI) was at the level 1,355.4, down nearly 50% from the level at the beginning of 2008 amounted 2,627.3. This condition coincides with the decline in the value of market capitalization and trading volume of the stock so that IDX authorities suspended trading (blackout) in October 2008. The global financial crisis also led to the exchange rate since October 2008 also depreciated sharply to reach a level of Rp 10,900 / USD at the end of December 2008. The sectors affected by the global financial crisis is a sector that relies on external demand (trade able), one of them is agriculture. Agriculture sector index (ISP) and JCI during 2006 through 2012 fluctuated. From 2006 to 2007, JCI and the ISP has increased (bullish) each by 52.08% and 126.09%. But in 2008, JCI and ISP decline (bearish) each by 50.64% and 66.65%. This occurs as a result of the 2008 global crisis. After the crisis of 2008, JCI bullish until 2012. While the ISP only having bullish conditions in 2009 and 2010. The development of ISP is also reflected that in the fluctuating movement of stock returns in the agriculture sector. During 2006-2008, 2010 and 2012, the average shares in the agriculture sector generate positive returns. In 2009 and 2011 shares in the agriculture sector generate a negative return. The fluctuation in the stock index and stock returns in agriculture sector is demanding investors should be cautious in making an investment. One way that can be done by investors is to use a three factor model introduced by Fama and French (1995) to estimate stock returns. This model is a model that was developed to address the limitations of the theory of Capital Asset Pricing Model (CAPM), which assumes that equilibrium conditions in the market and efficiently. Research Fama and French (1993) concluded that the size and book to market ratio has a significant effect on the rate of return of stocks in the United States. Therefore, the Fama and French 1995 introduces three factor model, which a modified CAPM model by adding two factors, size and book to market ratio. Previous studies on the ability of three-factor model in predicting returns in the Indonesia Stock Exchange (IDX) ever done, i.e. in the sectors of property and real estate industry and on all issuers JCI. But specifically for the agriculture sector, which has a fluctuating rate of return has not done the research. Therefore, the purpose of this study was (1) to analyze the variables of the three-factor model, (2) to know the effect of independent variables on the three factor model of stock returns in the agriculture sector at Indonesia Stock Exchange during the period 2006-2012. This study used secondary data from the closing price, number of shares outstanding, sectoral index, interest rate of Bank Indonesia (BI rates) at the end of each month, and book value of equity (BE). Objects in the study were 8 issuers of agriculture sector that have listed on the IDX from 2006 until 2012. Data processing consisted of descriptive analysis, the classical assumption test, and multiple regression analysis of the variables in the three factor model. This study uses two three-factor models i.e. (1) a model without a crisis dummy and (2) a model with a crisis dummy. Both the three-factor models were statistically analyzed by multiple regressions using panel data on software E-Views. During 2006 through 2012, annualized return Agriculture Sector Index (ISP) having significant fluctuations. The global economic crisis in 2008 led to an annualized return ISP more decreased than annualized return JCI. A fluctuation ISP is also evident from the results of the calculation of the level of risk (standard deviation). In general, the risk of ISP is greater than JCI during the year 2006- 2012. Development of variables on the three factor model, i.e. excess return variables (excess of returns actually happens against the normal return), ISP market (ISP return happens against the risk free) and JCI market (JCI return happens against the risk free), and the SMB (the difference between the average return of issuers that have a small market capitalization against the average return of issuers that have a market capitalization of large) in agriculture sector during 2006-2012 fluctuated and most have a negative value. HML (the difference between the average return of issuers that have high book to market ratio against the average return of issuers that have low book to market ratio) variables in agriculture sector during 2006-2012 fluctuated and most have a positive value. Multicollinearity testing with analysis of Variance Inflation Factor (VIF) showed that both models do not have problems of multicollinearity. Testing autocorrelation with Durbin-Watson showed that Model 1 had a positive autocorrelation and Model 2 had negative autocorrelation. Testing heteroscedasticity with Park Test showed that both models do not have problems of heteroscedasticity. In the testing of multiple regression processing method known that both models using a random effects model. The results of multiple regression showed variable market and SMB significant and positive effect on both models. HML variable is not significant and negative effect on both models. Crisis dummy variable is not significant and negative effect on the Model 2. The implication of this research is agriculture sector stocks could be an alternative for investors to invest in a long-term horizon. Shares in small capitalization companies may be an alternative for investors who tend to be growth-oriented investing because it will provide higher returns.

Item Type: Thesis (Masters)
Additional Information: 10(47)Wib a
Uncontrolled Keywords: Agriculture, Data Panel, Indonesia Stock Exchange, Three Factor Model Fama-French Bursa Efek Indonesia, Model Tiga Faktor Fama-French, Panel Data, Sektor Pertanian
Subjects: Manajemen Keuangan
Depositing User: Staff-8 Perpustakaan -
Date Deposited: 25 Feb 2014 08:02
Last Modified: 14 Nov 2019 04:32
URI: http://repository.sb.ipb.ac.id/id/eprint/1647

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