| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 361-371 |
| Abstraksi Narasi | : | Penelitian ini menguji pengaruh krisis keuangan di Asia terhadap prilaku saham di Bursa Efek Jakarta (BEJ). Secara spesifik tujuan penelitian ini adalah, pertama melihat perubahan likuiditas, aktivitas perdagangan, dan volatilitas return saham di BEJ dari periode sebelum krisis keuangan. Kedua, menguji stabilitas variabel-variabel yang menentukan likuiditas saham di BEJ ketika terjadi krisis keuangan. Penelitian ini menggunakan paired t-tests, non-parametric sign tests, dan analisis regresi untuk menguji dampak krisis keuangan. Hasil penelitian menunjukkan bahwa bid-ask spread, depth, aktivitas perdagangan,dan volatilitas meningkat significan selama krisis. Hasil keseluruhan menunjukkan bahwa krisis keuangan meningkatkan biaya transaksi investor kecil dan investor yang mengalami panik. Hasil penelitian juga menunjukkan penentu spread dan depth adalah harga, volume, dan volatilitas. Namun variabel penentu ini tidak stabil dari periode sebelum dan selama krisis keuangan, pengecualian untuk harga saham. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 384-397 |
| Abstraksi Narasi | : | Beta sebagai pengukur resiko sistematik saham masih menjadi perdebatan hingga saat ini. Beta pasar didasarkan pada asumsi bahwa pasar adalah `frictionless`. Asumsi ini tidak relevan dengan kondisi nyata sehingga nilai beta pasar yang dihasilkan akan bias. Penelitian ini dimaksudkan untuk menguji keunggulan beta moving average (MA) dengan cara menerapkannya di salah satu anomali pasar, yaitu January Effect. Dengan memasukkan unsur `friction` yang ada di pasar ke dalam perhitungan beta, diharapkan beta moving average bisa menjadi pengukur resiko sistematik yang lebih baik. Hasil studi menunjukkan bahwa ketika diterapkan di January Effect, beta moving average lebih unggul (powerful) daripada beta model pasar karena beta moving average mempunyai nilai adjusted R Square yang signifikan, sedangkan beta model pasar tidak memiliki adjusted R Square yang signifikan. Tetapi studi ini tidak bisa menyimpulkan bahwa beta moving average lebih unggul (powerful) daripada beta model koreksi kesalahan karena nilai adjusted R Square dari beta model koreksi kesalahan negatif. Hasil ini sekaligus menunjukkan bahwa January Effect disebabkan oleh friction yang ada di pasar. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 440-459 |
| Abstraksi Narasi | : | Tujuan penelitian ini untuk melihat pengaruh strategi momentum dan volume terhadap return yang akan datang. Unit analisis penelitian sebanyak 30 perusahaan yang terdaftar di Bursa Efek Jakarta dan Bursa Efek Kualalumpur dari tahun 1996-1997. Seleksi data dengan menggunakan purposive sampling. Koleksi data dengan metoda archaival. Alat statistik untuk menguji hipotesis dengan regresi. Hasil penelitian ini adalah: 1) Hipotesis satu tidak didukung artinya tidak ada pengaruh return yang lalu terhadap return yang akan datang; 2) Hipotesis dua didukung artinya ada pengaruh volume terhadap strategi momentum; 3) Hipotesis tiga didukung artinya ada pengaruh volume dan strategi momentum terhadap return yang akan datang. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 506-519 |
| Abstraksi Narasi | : | This study is aimed to examine the prediction of pecking order hypothesis in Indonesian. The hypothesis states that there is negative relationship between dividend payout ratio and investment. In addition, this study will learn the relationship between dividend payout ratio, financial leverage and investment. The divedend payout ratio determinants are financial leverage, investment, liquidity, profitability, size and variability of earnings. The financial leverage determinants are dividend payout ratio, investment, profitability, size, assets structure and variability of earnings. The determinants of investment are dividend payout ratio, financial leverage, sales growth, profitability, Q ratio and size. The data of this study is collected from 70 manufacturing companies as listed in the Jakarta Stock Exchange for the Period of 1991 - 2000. The three stage least square simultaneous equation model is used to learn the relationship between dividend payout ratio, financial leverage and investment. In this study, it is found that there is no significant evidence that manufacturing companies in Indonesia tend to follow the pecking order hypothesis. In addition, it is found that the financial leverage gives a negative and significant influence on dividend payout ratio and vice versa; investment do not give a significant influence on dividend payout ration and vice versa; investment gives a positive and significant influence on financial leverage; and financial leverage do not give a significant influence on investment. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 496-505 |
| Abstraksi Narasi | : | Analysts use valuation model in determining and evaluating share prices. Survey evidence suggest that the dominant valuation model is the price-earnings (P/E) ratio, but that other approaches such as the dividend yield are also important. This study develops and tests a market valuation models whose main prediction is that equity value is a function of earnings, dividends and book value. This study demonstrates that growth firms relevant use P/E ratio approach, and that not growth firms more relevant use dividend yield ratio approach than P/E ratio. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 372-383 |
| Abstraksi Narasi | : | Underpricing in Initial Public Offerings could be explained by asymmetric information hypothesis. This theory explains that the higher the asymmetric information the bigger the underpricing will be. Financial firms usually are monitored and supervised more closely than the non-financial firms. Therefore it is expected that the ex-ante uncertainty and the underpricing of the financial firms are lower than the non-financial firms. This study found underpricing both for financial and non-financial firms. However it was found that there were no significant differences of ex-ante uncertainty between financial and non-financial firms. Similar findings were also found for differences in underpricing . It was found that there was no significant differences of underpricing,-before and after controlling the factors affecting the underpricing-, between financial and non-financial firms. This could indicate the ineffectiveness of supervision or it might be attributable to the proble of measurement of underpricing. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 473-495 |
| Abstraksi Narasi | : | This paper investigates whether ownership structures, earnings management, growth opportunities, free cash flow hyphotesis are related to firm performance as measured by economic value added. This paper use sample nonregulated companies during crisis period, 1998-2001. We find that during this period the management creates value. Our result also suggest that blockholdersand free cash flow hyphotesis have indirect effects to economic value added. These results imply that separation of management group ownership and control has significantly more negative relation to creating value in countries with low shareholders protection, as in emerging markets, whereas large blockholders have significantly more positive relation. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 347-360 |
| Abstraksi Narasi | : | Rupiah exchange rate fluctuation occured since July 1997 has risked rupiah depreciation on US Dollar and other mayor trading parther`s currencies, that are Yen (Jepang), Mark (Germany), Franch (French), Poundsterling (UK), Dollar (Singapore), and Dollar (Hongkong). The objective of this study is to examine the economic exposure differences of rupiah exchange rate before and after rupiah depreciation, and the different effect of rupiah exchange rate on stock return before and after rupiah depreciation. This study use Chow differential test to compare regression results at two different periods, period of 1994-1996 and 1998-2000 with the same sample. Two models regression equation were used and each model was differentially tested in two periods. Independent variable of the two models was average monthly rupiah real effective exchange rate (REER) during a year from December to November following year, and it was controlled by total debt (THUTANG)of the manufacture during a year. Dependent variable for the first regression model was EPS change of companies during a year, and for the second regression model was daily abnormal return accumulated during a year (CAR). Although regression analysis at the second period showed contrary or defferent result, but after tested with Chow test, it was indicated that economic exposure of rupiah exchange rate change on cash flow change at the second period was not different. It was proved, then, that the effects of exchange rate on stock return were different between period of before and after the rupiah depreciation. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 460-472 |
| Abstraksi Narasi | : | This paper investigates the impact of risk taking behavior, institution ownership and performance on bank failure. I predict that risk-taking behavior has positive impact on bank failure, institution ownership and performance have negative impact on Bank failure. Results shows that risk taking behavior and institution ownership give little support to hypothesis. Performance has result as predicted. The result suggests that the impact of risk taking behavior and institution ownership needs further investigation. |
| Nama Pengarang | : | - |
| Nama Majalah/Jurnal | : | Jurnal Ekonomi dan Bisnis Indonesia |
| Volume / Nomor Edisi | : | - |
| Nomor Halaman | : | 398-419 |
| Abstraksi Narasi | : | This study investigates initial and aftermarket performance of initial public offering (IPOs) for both short term and long term in the Jakarta Stock Exchange (JSE), from January 1990 to December 1998. This study considers market situation at the time of the issuance of IPOs. The short term performance measure of IPOs is tested using daily closing return (R^c t), opening return (R^0 t), offering price to opening price, offering price to closing price and opening price to closing price criteria. The long term aftermarket performance of IPOs is measured using cumulative abnormal returns analysis, buy and hold market adjusted compounded returns, wealth relative, offering price to closing price and opening price to closing price. Using a sample of 233 IPOs in the Jakarta Stock Exchange (JSE), this study finds an average initial (offer-to-open) return of 10.948 percent (10.912 % adjusted return). The findings reveals a lower expected return from those found in developing and several developed markets. The short term aftermarket mean return based on daily closing mean return (R^c t), opening mean return (R^0 t) and opening price to closing price, indicates that benefits of initial performance do not accrue to the secondary market traders. This result is consistent with studies of Barry and Jennings (1993) on the U.S. markets and Yong (1997) on the Malaysian market. The long run aftermarket performance of IPOs is found to be negative. This finding is supported by many IPOs results in the literature. |
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