DAFTAR ISI
advertisement
DAFTAR ISI KATA PENGANTAR .................................................................................... i DAFTAR ISI ................................................................................................... iii DAFTAR TABEL ........................................................................................... vi DAFTAR GAMBAR ...................................................................................... viii DAFTAR LAMPIRAN ................................................................................... ix DAFTAR ISTILAH ........................................................................................ x I. PENDAHULUAN 1.1. Latar Belakang ................................................................................... 1.2. Rumusan Masalah .............................................................................. 1.3. Tujuan Penelitian ................................................................................ 1.4. Manfaat Penelitian .............................................................................. 1.5. Ruang Lingkup Penelitian .................................................................. 1 8 8 9 9 II. TINJAUAN PUSTAKA DAN KERANGKA PEMIKIRAN 2.1. Kerangka Teoritis ............................................................................... 2.1.1. Investasi ................................................................................... 2.1.1.1. Definisi Investasi ........................................................ 2.1.1.2. Risk ............................................................................. 2.1.1.3. Return ........................................................................ 2.1.2. Pasar Modal ............................................................................. 2.1.2.1. Pengertian Pasar Modal .............................................. 2.1.2.2. Jenis Pasar Modal ....................................................... 2.1.2.3. Instrumen di Pasar Modal ........................................... 2.1.2.4. Pasar Modal yang Efisien ........................................... 2.1.2.5. Pasar Modal yang Tidak Efisien................................. 2.1.3. Indeks Harga Saham ................................................................ 2.1.3.1. Pengertian Indeks Harga Saham .................................. 2.1.3.2. Jenis Indeks Harga Saham ........................................... 2.1.3.3. Indeks LQ45 ................................................................ 2.1.4. Variabel yang Mempengaruhi Return Saham ......................... 2.1.4.1. Variabel Makro Ekonomi .......................................... 2.1.4.1.1. Suku Bunga ............................................... 2.1.4.1.2. Nilai Tukar Uang ....................................... 2.1.4.2. Variabel Lainnya ....................................................... 2.1.4.2.1. Indeks Harga Saham Gabungan ................ 2.1.4.2.2. Volume Perdagangan ................................ 2.1.5. Event Study ............................................................................... 2.1.5.1. Abnormal Return ....................................................... 2.1.5.2. Actual Return .............................................................. 11 11 11 11 12 14 15 16 17 20 23 23 23 24 25 27 27 27 28 29 29 29 30 30 31 iii 2.1.5.3 Expected Return ................................................. 2.1.5.4. Asumsi Dasar pada Event Study........................ 2.1.6. Anomali Pasar ......................................................................... 2.1.7. January effect sebagai Salah Satu bentuk Anomali ................ 2.1.8. Hipotesis Seputar Fenomena January effect ............................ 2.2. Kajian Penelitian Terdahulu ............................................................... 2.3. Kerangka Pemikiran ........................................................................... 31 33 33 38 39 41 45 III. METODE PENELITIAN 3.1. Lokasi dan Waktu Penelitian .............................................................. 3.2. Pendekatan Penelitian ......................................................................... 3.3. Jenis dan Sumber Data ....................................................................... 3.4. Teknik Pengolahan dan Analisis Data ................................................ 3.4.1. Penentuan Event dan Periode Event ........................................ 3.4.2. Prosedur Time-series ............................................................... 3.4.3. Tahapan Empiris Event Study ................................................. 3.4.4. Uji Signifikansi ....................................................................... 3.4.5. Uji Model Regresi Berganda ................................................... 3.4.5.1. Uji Multikolinearitas .................................................. 3.4.5.2. Uji Autokorelasi ......................................................... 3.4.6. Uji Signifikansi (Uji T, Uji F, Uji R2 dan Adjusted R) ............ 47 47 47 48 50 50 51 54 55 57 57 58 IV. GAMBARAN UMUM 4.1. Sejarah Pasar Modal ........................................................................... 4.2. Pasar Modal Saat Perang Dunia II ...................................................... 4.3. Pasar Modal Saat Orde Lama .............................................................. 4.4. Pasar Modal Saat Orde Baru .............................................................. 4.5. Kebijaksanaan Pasar Modal ................................................................ 4.5.1. Pakdes 1987............................................................................... 4.5.2. Pakto 88 ..................................................................................... 4.5.3. Pakdes 88................................................................................... 4.6. Sejarah Bursa Efek ............................................................................... 4.6.1. Sejarah Bursa Efek Jakarta ......................................................... 4.6.2. Sejarah Bursa Efek Surabaya ..................................................... 4.6.3. Sejarah Bursa Efek Indonesia .................................................... 60 61 62 63 64 65 65 65 66 66 66 67 V. HASIL DAN PEMBAHASAN 5.1. Analisis Pengelompokkan Emiten Sampel.......................................... 5.2. Analisis Sektor Pertanian dan Sektor Barang Konsumsi .................... 5.2.1. Uji Statistik 1 atas Sektor Pertanian ......................................... 5.2.2. Uji Statistik 1 atas Sektor Industri Barang Konsumsi .............. 5.2.3. Uji Statistik 2 atas Sektor Pertanian ......................................... 5.2.4. Uji Statistik 2 atas Sektor Industri Barang Konsumsi ............. 69 70 71 73 76 76 iv 5.3. Analisis Sektor Pertambangan, Properti dan Real Estate, serta Perdagangan ...................................................................................... 5.3.1. Uji Statistik 1 atas Sektor Pertambangan .................................. 5.3.2. Uji Statistik 1 atas Sektor Properti dan Real Estate .................. 5.3.3. Uji Statistik 1 atas Sektor Perdagangan .................................... 5.3.4. Uji Statistik 2 atas Sektor Pertambangan .................................. 5.3.5. Uji Statistik 2 atas Sektor Properti dan Real Estate .................. 5.3.6. Uji Statistik 2 atas Sektor Perdagangan .................................... 5.4. Analisis Sektor Industri Dasar dan Kimia ........................................... 5.4.1. Uji Statistik 1 atas Sektor Industri Dasar dan Kimia ................ 5.4.2. Uji Statistik 2 atas Sektor Industri Dasar dan Kimia ................ 5.5. Analisis Sektor Aneka Industri (Astra International Tbk) ................. 5.5.1. Uji Statistik 1 atas Astra International Tbk ............................... 5.5.2. Uji Statistik 2 atas Astra International Tbk ............................... 5.6. Analisis Sektor Infrastruktur dan Sektor Keuangan ............................ 5.6.1. Uji Statistik 1 atas Sektor Infrastruktur ..................................... 5.6.2. Uji Statistik 1 atas Sektor Keuangan ......................................... 5.6.3. Uji Statistik 2 atas Sektor Infrastruktur ..................................... 5.6.4. Uji Statistik 2 atas Sektor Keuangan ......................................... 5.7. Analisis Tiap Tahun ............................................................................ 5.7.1. Analisis Tahun 2001, 2003, 2004 dan 2006 .............................. 5.7.2. Analisis Tahun 2002, 2005 dan 2007 ........................................ 5.7.3. Analisis Tahun 2008 dan 2009 .................................................. 5.7.4. Analisis Tahun 2010.................................................................. 5.8. Variabel yang Mempengaruhi Return Saham LQ45 periode 2001-2010............................................................................................ 5.9. Implikasi Manajerial............................................................................ 77 78 79 81 84 85 85 86 86 89 89 90 92 92 93 94 97 97 98 98 106 113 116 118 121 VI. KESIMPULAN DAN SARAN 6.1. .................................................................................................. Kesimpulan ......................................................................................... 123 6.2. .................................................................................................. Saran .................................................................................................... 124 DAFTAR PUSTAKA ..................................................................................... 125 LAMPIRAN .................................................................................................... 128 v DAFTAR TABEL Nomor Halaman 3.1. Populasi dan Sampel pada Penelitian ....................................................... 48 3.2. Sampel emiten dalam LQ45 yang melakukan perdagangan saham selama tahun 2001-2010 ..................................................................................... 49 3.3. DurbinWatson .......................................................................................... 57 5.1. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Pertanian ................................................................................................. 71 5.2. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Industri Barang Konsumsi ..................................................................... 73 5.3. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Pertanian ................................................................................................. 76 5.4. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Industri Barang Konsumsi ...................................................................... 77 5.5. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Pertambangan ......................................................................................... 78 5.6. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Properti dan Real Estate.......................................................................... 80 5.7. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Perdagangan ............................................................................................ 81 5.8. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Pertambangan ......................................................................................... 84 5.9. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Properti dan Real Estate.......................................................................... 85 5.10. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Perdagangan ............................................................................................ 86 5.11. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Industri Dasar dan Kimia ........................................................................ 87 5.12. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Industri Dasar dan Kimia ........................................................................ 89 5.13. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Astra International Tbk .................................................................................... 90 5.14. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Astra International Tbk .................................................................................... 92 vi 5.15. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Infrastruktur ............................................................................................ 5.16. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Sektor Keuangan ................................................................................................ 5.17. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Infrastruktur ........................................................................................... 5.18. Hasil Pengujian AAR Sebelum dan Sesudah Peristiwa pada Sektor Keuangan ................................................................................................ 5.19. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2001 ........................................................... 5.20. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2003 ........................................................... 5.21. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2004 ........................................................... 5.22. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2006 ........................................................... 5.23. Abnormal return, Cumulative Abnormal return, Average Abnorma return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2002 ........................................................... 5.24. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2005 ........................................................... 5.25. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2007 ........................................................... 5.26. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2008 ........................................................... 5.27. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2009 ........................................................... 5.28. Abnormal return, Cumulative Abnormal return, Average Abnormal return, Cumulative Average Abnormal return dan T-hitung Seluruh Emiten Sampel pada Tahun 2010 ........................................................... 5.29. Hasil Regresi Antara Return Saham LQ45 dengan Variabel Bebasnya.. vii 93 95 97 98 99 101 102 103 107 108 109 113 114 116 119 DAFTAR GAMBAR Nomor Halaman 1.1 Pergerakan LQ45 Bursa Efek Indonesia Periode Desember 2003 – Januari 2010 ............................................................................................. 1.2. Pergerakan LQ45 Bursa Efek Indonesia Tahun 2001 dan 2002 .............. 2.1. Kerangka Pemikiran Konseptual ............................................................ 5.1. Pola Pergerakan AR dan CAAR Sektor Pertanian dan Sektor Industri Barang Konsumsi .................................................................................... 5.2. Pola Pergerakan AR dan CAAR Sektor Pertambangan, Properti dan Real Estate, serta Perdagangan ............................................................... 5.3. Pola Pergerakan AR dan CAAR Sektor Industri Dasar dan Kimia ......... 5.4. Pola Pergerakan AR dan CAAR Astra International Tbk ....................... 5.5. Pola Pergerakan AR dan CAAR Sektor Infrastruktur dan Keuangan ..... 5.6. Pola Pergerakan AR dan CAAR Seluruh Emiten Sampel pada Tahun 2001, 2003, 2004 dan 2006 ...................................................................... 5.7. Pola Pergerakan AR dan CAAR Seluruh Emiten Sampel pada Tahun 2002, 2005 dan 2007 ................................................................................ 5.8. Pola Pergerakan AR dan CAAR Seluruh Emiten Sampel pada Tahun 2008 dan 2009 .......................................................................................... 5.9. Pola Pergerakan AR dan CAAR Seluruh Emiten Sampel pada Tahun 2010 .......................................................................................................... viii 6 7 46 75 83 88 91 96 104 111 115 117 DAFTAR LAMPIRAN Nomor Halaman 1 Perhitungan Sektor Pertanian .................................................................... 129 2 Perhitungan Sektor Pertambangan ........................................................... 131 3 Perhitungan Sektor Industri Dasar dan Kimia ......................................... 133 4 Perhitungan Sektor Aneka Industri .......................................................... 135 5 Perhitungan Sektor Industri Barang Konsumsi ........................................ 136 6 Perhitungan Sektor Properti dan Real Estate ............................................ 138 7 Perhitungan Sektor Infrastruktur ............................................................. 140 8 Perhitungan Sektor Keuangan ................................................................. 142 9 Perhitungan Sektor Perdagangan .............................................................. 144 10 Perhitungan Tahun 2001 .......................................................................... 146 11 Perhitungan Tahun 2002 .......................................................................... 148 12 Perhitungan Tahun 2003 .......................................................................... 150 13 Perhitungan Tahun 2004 .......................................................................... 152 14 Perhitungan Tahun 2005 .......................................................................... 154 15 Perhitungan Tahun 2006 .......................................................................... 156 16 Perhitungan Tahun 2007 .......................................................................... 158 17 Perhitungan Tahun 2008 .......................................................................... 160 18 Perhitungan Tahun 2009 .......................................................................... 162 19 Perhitungan Tahun 2010 .......................................................................... 164 ix DAFTAR ISTILAH AR AAR CAR CAAR IHSG LQ45 = Abnormal Return = Average Abnormal Return = Cumulative Abnormal Return = Cumulative Average Abnormal Return = Indeks Harga Saham Gabungan = 45 Saham yang LiQuid x