Pengaruh kepemilikan investor institusi asing pada masa krisis terhadap volatilitas harga saham di Indonesia

Farhan, Muhamad (2022) Pengaruh kepemilikan investor institusi asing pada masa krisis terhadap volatilitas harga saham di Indonesia. Masters thesis, Universitas Pelita Harapan.

Preview	Text (Title) CT_01619210005_Muhamad Farhan.pdf Available under License Creative Commons Attribution Non-commercial Share Alike. Download (24kB) | Preview
Preview	Text (Abstract) Abstract.pdf Available under License Creative Commons Attribution Non-commercial Share Alike. Download (185kB) | Preview
Preview	Text (ToC) ToC.pdf Available under License Creative Commons Attribution Non-commercial Share Alike. Download (478kB) | Preview
Preview	Text (Chapter1) Chapter1.pdf Available under License Creative Commons Attribution Non-commercial Share Alike. Download (822kB) | Preview
	Text (Chapter2) Chapter2.pdf Restricted to Registered users only Available under License Creative Commons Attribution Non-commercial Share Alike. Download (1MB)
	Text (Chapter3) Chapter3.pdf Restricted to Registered users only Available under License Creative Commons Attribution Non-commercial Share Alike. Download (852kB)
	Text (Chapter4) Chapter4.pdf Restricted to Registered users only Available under License Creative Commons Attribution Non-commercial Share Alike. Download (1MB)
	Text (Chapter5) Chapter5.pdf Restricted to Registered users only Available under License Creative Commons Attribution Non-commercial Share Alike. Download (275kB)
Preview	Text (Bibliography) Bibliography.pdf Available under License Creative Commons Attribution Non-commercial Share Alike. Download (673kB) | Preview
	Text (Appendices) Appendices.pdf Restricted to Repository staff only Available under License Creative Commons Attribution Non-commercial Share Alike. Download (12MB)

Abstract

Penelitian ini bertujuan untuk menguji pengaruh kepemilikan saham oleh investor institusi asing pada masa krisis terhadap volatilitas harga saham di Indonesia. Investigasi ini dapat menjadi saran bagi regulator pasar modal untuk meminimalkan volatilitas harga saham di Indonesia sebagai akibat dari penjualan saham oleh investor institusi asing. Selain itu perusahaan dengan kapitalisasi saham yang besar dapat menjadi salah satu investasi yang menarik bagi investor karena memiliki volatilitas harga saham yang rendah sehingga cocok sebagai alternatif investasi bagi investor individu, investor institusi baik asing maupun dalam negeri. Penelitian ini menggunakan return volatility, kepemilikan saham oleh institusi asing, kepemilikan asing pada saat krisis, kapitalisasi pasar, turnover saham, leverage, serta market to book value. Penelitian kuantitatif dengan data panel ini pada return volatility menggunakan data harian kemudian disetahunkan sedangkan untuk kapitalisasi pasar, turnover saham, leverage, serta market to book value menggunakan data per tahun. Melalui analisis menggunakan random effect model didapatkan bahwa investor institusi asing meningkatkan volatilitas harga saham di Indonesia pada saat krisis pada tahun 2008, 2020 dan 2021. Selain terdapat hubungan negatif dan signifikan antara kapitalisasi pasar dan return volatility. Sedangkan turnover saham dan return volatility memiliki hubungan yang positif dalam penelitian ini. / This study aims to examine the effect of share ownership by foreign institutional investors during the crisis on stock price volatility in Indonesia. This investigation can be a suggestion for capital market regulators to minimize stock price volatility in Indonesia because of share sales by foreign institutional investors. In addition, companies with large stock capitalization can be an attractive investment for investors because they have low stock price volatility making them suitable as an investment alternative for individual investors, institutional investors both foreign and domestic. This study uses return volatility, share ownership by foreign institutions, foreign ownership in times of crisis, market capitalization, stock turnover, leverage, and market to book value. This quantitative research with panel data on return volatility uses daily data then annualized while for market capitalization, stock turnover, leverage, and market to book value uses data per year. Through analysis using the random effect model, it is found that foreign institutional investors increase stock price volatility in Indonesia during the crisis in 2008, 2020 and 2021. In addition, there is a negative and significant relationship between market capitalization and return volatility. Meanwhile, stock turnover and return volatility have a positive relationship in this study.

Actions (login required)

View Item