RELEVANSI KEBIJAKAN DIVIDEN TERHADAP RISIKO INVESTASI DI BURSA EFEK INDONESIA

SUTANDIJO, SUTANDIJO (2014) RELEVANSI KEBIJAKAN DIVIDEN TERHADAP RISIKO INVESTASI DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

The objective of this study is to explore the relationship between dividend policy (dividend yield and dividend payout ratio) and investment risks reflected by the stock price volatility for the Indonesia stock market (IDX). According to the study of Baskin (1989) the multiple least squares regression model is applied in this paper. Also, following Baskin (1989),other four independent variables namely firm size, asset growth, leverage and earnings volatility added to the model. The sample of data is composed of 49 public firms of which are listed on the Indonesia Stock Exchange (IDX) and Index Kompas100 continuously from 2009 to 2012. The results indicate that the dividend payout ratio has significantly negative relationship with the stock price volatility. But the dividend yield doesn’t have significant influence to the stock price volatility In addition, asset growth is positively related to the stock price volatility and it is a statistically significant relationship. But, as for firm size and earnings volatility the results are not statiscally significant. For leverage, contrary with hypothesis it is negatively related to the stock price volatility and statistically significant. As a conclusion, the authority of Indonesia Stock Exchange (IDX) and managers can partly control the stocks’ risks and thus af ect investors’ investment decisions through IDX regulations and a firm’s dividend policies. Keywords : dividend policy, dividend payout ratio, dividend yield, share price volatility, firm size, asset growth, leverage, earnings volatility, Baskin. Tujuan penelitian ini adalah untuk mengetahui hubungan antara kebijakan dividen (dividend yield dan dividend payout ratio) dan risiko investasi yang tercermin dari volatilitas harga saham di Bursa Efek Indonesia (BEI). Sesuai dengan penelitian Baskin (1989) tesis ini menggunakan model regresi berganda kuadrat terkecil. Demikian juga, mengikuti Baskin (1989), empat variabel bebas lain yaitu ukuran perusahaan, pertumbuhan aset, tingkat utang dan volatilitas laba ditambahkan kedalam model. Sampel data terdiri dari 49 perusahaan publik yang terdaftar pada Bursa Efek Indonesia dan Indeks Kompas100 secara berturut-turut dari tahun 2009 sampai 2012. Hasil penelitian menunjukkan bahwa dividend payout ratio mempunyai hubungan negatif signifikan dengan volatilitas harga saham. Namun dividend yield tidak berpengaruh signifikan terhadap volatilitas harga saham. Selanjutnya, pertumbuhan aset berhubungan positif dan signifikan dengan volatilitas harga saham. Sedangkan ukuran perusahaan dan volatilitas laba menunjukkan hasil yang tidak signifikan secara statistik. Untuk tingkat utang, berlawanan dengan hipotesis, berhubungan negatif dan signifikan terhadap volatilitas harga saham. Sebagai kesimpulan, otoritas Bursa Efek Indonesia (BEI) dan manajemen, secara parsial, dapat mempengaruhi risiko investasi saham dan dengan demikian mempengaruhi keputusan investasi dari investor melalui regulasi dan kebijakan dividen perusahaan. Keywords : kebijakan dividen, dividend payout ratio, dividend yield, volatilitas harga saham,ukuran perusahaan, pertumbuhan aset, tingkat utang, volatilitas laba, Baskin.

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