Analisis return dan risiko saham-saham dalam sebsektor perbankan

Nadila, Bangarani Masah (2016) Analisis return dan risiko saham-saham dalam sebsektor perbankan. Masters thesis, Institut Pertanian Bogor.

[img]
Preview
Text
R53-01-Nadila-Cover.pdf - Published Version

Download (1MB) | Preview
[img]
Preview
Text
R53-02-Nadila-Ringkasan.pdf - Published Version

Download (967kB) | Preview
[img]
Preview
Text
R53-04-Nadila-Daftarisi.pdf - Published Version

Download (1MB) | Preview
[img]
Preview
Text
R53-03-Nadila-Summary.pdf - Published Version

Download (969kB) | Preview
[img]
Preview
Text
R53-05-Nadila-Pendahuluan.pdf - Published Version

Download (2MB) | Preview
[img] Text
Tesis.pdf
Restricted to Registered users only

Download (2MB)

Abstract

Banking stocks are quite attractive for investors, as seen from large market capitalization and prospects of the banking market in the future. Good prospect in banking market is reflected from the needs of the community to help improve the standard of living and boost the economy, and banking institution as a formal financial institution can help them. Good prospect in banking subsector indicates rise in profit, thus causing an increase in stock return. Investors who are interested in investing in banking sector has to know the level of return generated, and needs to know what the risks faced. This study aimed to analyze the factors that influence the risk and return volatility of stocks in the banking subsector. Based on the results of the data plot, the average return of banking stocks rose for three or four periods, and decreased after for the same period or shorter. The smaller the market cap, the higher the return generated, either in the positive or negative form. Just return of Jakarta Composite Index (IHSG) and return of the exchange rate (IDR/USD) that produce an uniform effect (return JCI made positive effect and return of the exchange rate made negative effect), while four other variables, namely the return of BI-Rate, return of Customer Price Index (IHK), as well as the dummy of Europe crisis and dummy of subprime mortgage crisis resulted in influences as diverse. Each of these variables will produce a different effect on each sample. After testing several models, ARCH model and its variations were selected as the best method for modelling risk and return volatility. Variables of the previous period, either in the form of squared-error, logarithm squared-error, or/and variance of the previous period is the most influential variable to explain the volatility in the present. Volatility is divided into two, that are symmetrical volatility and asymmetrical volatility. Asymmetric volatility generates different effect when there are bad news and good news. BBNI, BDMN, BMRI, BNLI, BVIC, BBKP and BBTN stock have symmetrical volatility, and the other stock have asymmetric volatility. BBCA, BBRI, BNGA and INPC has a leverage effect, which the bad news generates greater volatility than the good news (leverage effect). BABP and PNBN reveal opposite effect of the leverage effect.

Item Type: Thesis (Masters)
Additional Information: 5(53)Nad a
Uncontrolled Keywords: ARCH/GARCH/TGARCH/EGARCH, return saham, risiko volatilitas, saham perbankan,Efficient Market Hypothesis (EMH), Capital Assets Pricing Method (CAPM), Arbitrage Pricing Theory (APT), ARCH /GARCH/TGARCH/EGARCH, banking stocks, stock return, volatility risk.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 11 Apr 2017 03:56
Last Modified: 23 Oct 2019 02:29
URI: http://repository.sb.ipb.ac.id/id/eprint/2904

Actions (login required)

View Item View Item