Pengujian Tiga Asset Pricing Model Terhadap Excess Return Portofolio Pada Negara Berkembang di ASEAN

Studi mengenai Asset Pricing Model pada pasar negara maju telah dipelajari secara ekstensif dalam 35 tahun terakhir, namun hanya sedikit yang mendalaminya di pasar negara berkembang. Tujuan penelitian ini adalah mengkonfirmasi eksistensi efek pasar (market effect), efek ukuran (size effect), efek nilai (value effect) dan efek momentum (momentum effect) dalam excess return portofolio dan menguji seberapa baik tiga Asset Pricing Model memprediksi excess return portofolio untuk negara berkembang di ASEAN. Metode Penelitian menggunakan metode ekspos fakto dengan pendekatan korelasional. Teknik analisis data yang digunakan dalam penelitian ini adalah analisis regresi berganda dengan tiga Asset Pricing Model, yakni Capital Asset Pricing Model (CAPM), Three-Factor Model, Four-Factor Model. Konstruksi portofolio dibentuk berdasarkan ukuran dan nilai (size-B/M) dan berdasarkan ukuran dan momentum (size-momentum). Hasil uji hipotesis penelitian menunjukkan: 1) Market effect terjadi di Thailand, Malaysia dan Indonesia, baik pada portofolio size-B/M maupun portofolio size-momentum; 2) Size effect hanya terjadi di Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 3) Value effect hanya terjadi di Malaysia dan hanya pada portofolio size-B/M; 4) Momentum effect terjadi di Thailand dan Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 5) Four-Factor Model adalah model estimasi yang terbaik dan paling akurat dalam menduga excess return portofolio dibanding Three Factors Model dan CAPM baik di Thailand, Malaysia maupun Indonesia pada portofolio size-B/M maupun portofolio size-momentum

PENGARUH SUKU BUNGA SERTIFIKAT BANK INDONESIA (SBI) DAN NILAI TUKAR RUPIAH TERHADAP INDEKS HARGA SAHAM LQ45 DI BURSA EFEK INDONESIA TAHUN 2005 - 2012

Tujuan penelitian ini adalah menguji pengaruh suku bunga SBI dan nilai tukar Rupiah terhadap indeks harga saham LQ45 di BEI pada tahun 2005-2012 secara parsial maupun simultan. Metode penelitian menggunakan metode ekspos fakto. Teknik analisis data yang digunakan dalam penelitian ini adalah analisis regresi berganda. Hasil regresi penelitian menunjukkan suku bunga SBI berpengaruh negatif dan signifikan terhadap indeks harga saham LQ45. Nilai tukar Rupiah berpengaruh negatif dan signifikan terhadap indeks harga saham LQ45. Secara simultan, suku bunga SBI dan nilai tukar Rupiah berpengaruh signifikan pada α = 5% terhadap indeks harga saham LQ45.ADAM NURKHOLIK. The purposes of this study is to know effect of SBI rate and exchange rate on LQ45 Stock Price index in Indonesian Stock Exchange in 2005-2012. This study research method use expose facto. This study use Ordinary Least Square. The result of the regression shows that SBI rate has a negative correlation and significant with LQ45 Stock Price index. Exchange rate has a negative correlation and significant with LQ45 Stock Price index. For the simultan test, SBI rate and exchange rate has a significant correlation on α = 5% with LQ45 Stock Price Inde

PENGUJIAN TIGA ASSET PRICING MODEL TERHADAP EXCESS RETURN PORTOFOLIO PADA NEGARA BERKEMBANG DI ASEAN

The purpose of this study is to confirm the existence of market effects, size effects, value effects and momentum effects in the portfolio excess return and test how well the three asset pricing models predict portfolio excess returns for emerging countries in ASEAN. The unit of analysis in this study is a unit of securities instruments formed into a stock portfolio of several ASEAN emerging countries. The research method uses exposfacto with a correlational approach. The data analysis technique used in this study is multiple regression analysis with three Asset Pricing Models, namely Capital Asset Pricing Model (CAPM), ThreeFactor Model (3FM), Four-Factor Model (4FM). Portfolio construction is formed based on size and value (size-B/M) and based on size and momentum (sizemomentum). The research hypothesis test results show: 1) The market excess return (RM-RF) factor has a positive and significant effect on portfolio excess returns in Thailand, Malaysia and Indonesia, both in the size-B/M portfolio and size-momentum portfolio, so that the market effect occurs in these three countries; 2) The size factor (Small Minus Big/SMB) has a positive and significant effect on portfolio excess returns only in Malaysia, both in the size-B/M portfolio and the size-momentum portfolio. Therefore, the size effect only occurs in Malaysia; 3) The value factor (High Minus Low/HML) has a positive and significant effect on portfolio excess return only in Malaysia and only on the size-B/M portfolio, the value effect only occurs in Malaysia; 4) The momentum factor (Winner Minus Losser/WML) has a positive and significant effect on portfolio excess returns in Thailand and Malaysia, both in size-B/M portfolios and size-momentum portfolios, and concluded that momentum effects occur in Thailand and Malaysia; 5) Four-Factor Model (4FM) is the best and most accurate estimation model in estimating portfolio excess returns compared to Three Factors Model (3FM) and CAPM in Thailand, Malaysia and Indonesia both in the size-B/M portfolio and size-momentum portfolio. Keywords: Asset Pricing Model, Capital Asset Pricing Model (CAPM), Three- Factor Model (3FM), Four-Factor Model (4FM), Market Excess Return (RM-RF), Size (Small Minus Big/SMB), Value (High Minus Low/HML), Momentum (Winner Minus Losser/WML), Excess Return, Portfolio

PENGARUH SUKU BUNGA SERTIFIKAT BANK INDONESIA(SBI) DAN NILAI TUKAR RUPIAH TERHADAP INDEKS HARGA SAHAM LQ45 DI BURSA EFEK INDONESIA TAHUN 2005 - 2012

ABSTRACT ADAM NURKHOLIK. The Effect of Bank Indonesia Certificates (SBI) Rate and Exchange Rate on LQ45 Stock Price Index in Indonesian Stock Exchange Year 2005 - 2012. Faculty of Economic State University of Jakarta. 2013. The purposes of this study is to know effect of SBI rate and exchange rate on LQ45 Stock Price index in Indonesian Stock Exchange in 2005-2012. This study research method use expose facto. This study use Ordinary Least Square. The result of the regression shows that SBI rate has a negative correlation and significant with LQ45 Stock Price index. Exchange rate has a negative correlation and significant with LQ45 Stock Price index. For the simultan test, SBI rate and exchange rate has a significant correlation on a = 5% with LQ45 Stock Price Index

R Approach in Digital Financial Literacy Influence Subjective Financial Well-Being

Millennial workers' financial well-being in the digital financial era is nonetheless anxious and insecure.This quantitative study aims to explore the factors driving the well-being of millennial workers' financial conditions, which they subjectively think in the form of anxiety or a sense of security when utilizing digital finance. This study collected data by distributing questionnaires to four hundred twenty-five millennial workers born between 1981 and 2005 and actively working in Greater Jakarta as a research sample. Utilizing PLS-SEM and the free software R Studio, the collected data was analyzed using descriptive statistics to determine the demographics of the respondents. The study's findings show that millennial workers in Greater Jakarta can improve their financial well-being by developing good digital financial literacy and practicing effective digital financial management behavior in using digital financial products. These workers believe this will alleviate their financial worries or provide security for the future.Following this study's findings, millennial workers must master the management of various digital financial service products early on to make financial decisions safely without worrying about financial well-being in their behavior

POLA RANTAI PASOK (SUPPLY CHAIN) DAN MARJIN PEMASARAN DOMBA DI KECAMATAN KERTAJATI KABUPATEN MAJALENGKA

Tujuan dari penelitian ini untuk mengetahui alur rantai pasok dan mengetahuimarjin pemasaran. Penelitian ini menggunakan metode analisis deskriptifkuantitatif dan sumber pengumpulan sumber pengumpulan data adalah data primer,teknik pengumpulan data yang digunakan dengan cara survey. Penentuan sampelpada penelitian ini menggunakan teknik sampling snowball sebanyak 20 orangyang terlibat dalam rantai domba di Kecamatan Kertajati, Hasil penelitian inimenenjukan bahwa rantai nilai pemasaran di Kecamatan Kertajati memiliki nilaitertinggi pada Peternak domba Petet dan Dara. Karena itu hasil penjualan dombapetet dan dara dianggap sebagai keuntungan. Keuntungan rata-rata dari Peternakdomba petet Rp 1.000.000/ekor, dan untuk domba dara Rp 1.300.000/ekor.Sedangkan dari keseluruhan pelaku rantai pasok terletak pada pedagang dombasebesar Rp 500.000/ekor, karena pedagang tidak memerlukan biaya yang terlalutinggi, sedangkan harga di pengaruhi oleh permintaan di tingkat konsumen. Untukpelaku rantai pasok Bandar memiliki keuntungan sekitar Rp 100.000 s/d Rp200.000/ekor. Dan pelaku rantai Pasar memiliki keuntungan sekitar Rp 50.00 s/dRp 100.000/ekor. Dan untuk pelaku rantai Rumah Potong sebesar Rp 100.000/ekor