KUSUMO, ARIEK SULISTYO (2010) ANALISIS RISIKO DAN TINGKAT KEUNTUNGAN SAHAM DI BURSA EFEK INDONESIA SEBELUM DAN SELAMA KRISIS FINANSIAL GLOBAL. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
The global financial crisis marked by declining stock prices and stock indexes in the United States stock exchange and then extending to global stock exchange including Indonesia stock exchange. Stock market performance experience a sharp decline. In addition to external factors influenced by the macroeconomic conditions, stock market performance is also influenced by corporate internal factors. During the crisis many companies are experiencing financial difficulties and declining sales levels that affect the company's performance. Descent of corporate performance affects its stock price in the stock market and finally affects the level of return and risk of the stock. How does the global financial crisis affect the level of return and risk of the stock needs to be researched. This research objective is to analyse: 1 ) How is the level of risk and return of the stock before the global financial crisis (January 2006 - Decembers 2006) and during the global financial crisis (January 2008 - Decembers 2008), 2 ) Is there any correlation between risk and return both before and during the global financial crisis, 3 ) Are there any differences in the level of risk and return both before and during the global financial crisis. The method of analysis used is Single Index Model to determine level of risk and return, the correlation test used to determine the strength of the relationship between the level of risk and return and also two different test average to determine the differences in the level of risk and return both before and during the global financial crisis. The research result shows that the level of unsystematic risk before the global financial crisis is greater than during the global financial crisis but the level of total risk during the crisis period is greater than before the global financial crisis. Correlation test shows that for the period before the crisis occurs correlation between the level of risk and return is about 62.1% while during the crisis period correlation between the level of risk and return is about 39.1% which means supporting the theory of high risk high return. Difference test of two average shows that the level of risk and return before the crisis period is greater than during the crisis period.Krisis finansial global ditandai dengan menurunnya harga-harga saham dan indeks saham di bursa efek amerika serikat dan kemudian meluas ke bursa efek global termasuk bursa efek indonesia. Kinerja bursa saham mengalami penurunan cukup tajam. Selain dipengaruhi oleh faktor eksternal yaitu kondisi makro ekonomi, kinerja pasar saham juga dipengaruhi oleh faktor internal perusahaan. Selama terjadinya krisis banyak perusahaan yang mengalami kesulitan keuangan dan menurunnya tingkat penjualan yang mempengaruhi kinerja perusahaan. Turunnya kinerja perusahaan mempengaruhi penurunan harga saham perusahaan tersebut di bursa saham dan pada akhirnya mempengaruhi tingkat keuntungan dan risiko saham. Bagaimana pengaruh terjadinya krisis finansial global terhadap tingkat keuntungan dan risiko saham di bursa efek indonesia perlu untuk diteliti. Tujuan penelitian ini adalah untuk menganalisis: 1) Bagaimana perkembangan risiko dan tingkat keuntungan saham sebelum terjadinya krisis finansial global (Januari 2006 - Desember 2006) dan selama krisis finansial global (Januari 2008 - Desember 2008), 2) Apakah terdapat korelasi antara risiko dan tingkat keuntungan saham baik sebelum dan selama krisis finansial global, 3) Apakah terdapat perbedaan tingkat risiko dan tingkat keuntungan sebelum dan selama krisis finansial global. Metode analisis yang digunakan adalah Single Index Model untuk menentukan tingkat risiko dan tingkat keuntungan, uji korelasi digunakan untuk menentukan kekuatan hubungan antara tingkat risiko dan tingkat keuntungan serta uji beda dua rata-rata untuk menentukan perbedaan tingkat risiko dan tingkat keuntungan saham sebelum dan selama krisis finansial global. Hasil penelitian menunjukkan bahwa tingkat unsystematic risk sebelum krisis finansial global lebih besar dibandingkan dengan selama krisis finansial global tetapi tingkat risiko total periode selama krisis lebih besar dibandingkan sebelum krisis finansial global. Uji kekuatan hubungan menunjukkan, untuk periode sebelum krisis terjadi hubungan korelasi antara tingkat risiko dan tingkat keuntungan sebesar 62,1% sedangkan periode selama krisis terjadi hubungan korelasi antara tingkat risiko dan tingkat keuntungan sebesar 39,1% yang berarti mendukung teori high risk high return. Uji beda dua rata-rata menunjukkan bahwa tingkat risiko dan tingkat keuntungan periode sebelum krisis lebih besar dibandingkan periode selama krisis.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-10-202 |
| NIM/NIDN Creators: | 55106120148 |
| Uncontrolled Keywords: | MKU, Manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 12 May 2022 07:49 |
| Last Modified: | 08 Feb 2023 03:03 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/61088 |
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