Pengujian efficient market hypothesis weak-form dan pengaruh kinerja perusahaan terhadap return saham emiten infrastuktur

Gunarso, Adi (2017) Pengujian efficient market hypothesis weak-form dan pengaruh kinerja perusahaan terhadap return saham emiten infrastuktur. Masters thesis, Institut Pertanian Bogor.

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Abstract

One of sectors in Indonesia that is interesting to study currently is infrastructure sector. Infrastructure is one of important aspects in economic growth. Government of Indonesia (GoI) continues to accelerate infrastructure development in Indonesia. Contributions from companies operating in the field of infrastructure are consideredto be on of success factors in infrastructure development. GoI has realized this matter and starts to involve various parties including private sector to jointly develop infrastructure. In line with the government policy direction, the stocks of issuers in the field of infrastructure is believed to gain positive sentiment and be anticipated. However, the movement of Infrastructure Sectoral Stock Price Index (IHSS INFRA) and most of the issuers included in the index have a downward trend in 2015. Stock movement is expected to be affected by various factors, such as company performance and macroeconomy. Many practitioners and researchers even try to predict stock movement based on its historical data. According to Efficient Market Hypothesis (EMH) developed by Eugene Fama, stock movement prediction can be carried out if the stock market is inefficient. In contrast, if the stock market is efficient, the stock movement can not be predicted and there no one will be able to defeat the market. The importance of EMH implication has made many researchers to conduct research on weak-form EMH in various stock market in the last twenty years. EMH implication is really important because it can help investor in making the right decision. Therefore, EMH test on IHSS INFRA needs to be undertaken, at least weak-form EMH test. Several researches show that company performance is proven to have a significant effect on stock return. Accordingly, an analysis of the effect of company performance on stock return of infrastructure issuers becomes another focus in this research. Company performance parameters used in this research are efficiency, liquidity, profitability, and valuation. The methods used to test weak-form EMH on IHSS INFRA are unit root test, autocorrelation test, and runs test. The method used to measure company efficiency is Data Envelopment Analysis (DEA). The method used to analyze the effect of company performance on stock return of infrastructure issuers is panel data regression with the independent variables of current ratio (liquidity), Return on Asset (profitability), price to book ratio (valuation), and efficiency score (based on DEA implementation result). The result of this research shows that IHSS INFRA tends to be inefficient in weak-form. The implication of IHSS INFRA that is proven to be inefficient in weak-form is that investors are likely to obtain abnormal return. Investors can predict infrastructure stock movement using technical analysis. In addition to technical analysis, fundamental analysis can also be used to predict stock movement. The result shows that most of the issuers in the field of infrastructure has yet work efficiently. Infrastructure issuer efficiency is proven to be significantly affected by cost of revenue, debt to equity ratio, and gross profit margin. Cost of revenue and debt to equity ratio have a negative effect, while gross profit margin has a positive effect. Cost of revenue has the strongest effect. Based on the analysis of efficiency and factors influencing infrastructure issuer efficiency, company managers need to reduce cost of revenue and debt to equity ratio to increase gross profit margin so that the company can operate more efficiently. The result shows that the stock return of infrastructure issuers is proven to be significantly affected by current ratio, Return on Asset, and price to book ratio. Based on the analysis of factors influencing stock return of infrastructure issuers, investors need to consider company liquidity, profitability, and valuation in making investment decision.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Efficient market hypothesis, kinerja perusahaan, pasar saham, sektor infrastruktur, data envelopment analysis, DEA Company performance, efficient market hypothesis, infrastructure sector, stock market
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 21 Apr 2018 07:10
Last Modified: 21 Apr 2018 07:10
URI: http://repository.sb.ipb.ac.id/id/eprint/3113

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