Overconfidence and Excessive Trading Behavior: An Experimental Study

The main objective of the research is to examine the excessive trading hypothesis, investors who have higher overconfidence shown by high miscalibration levels will tend to practice aggresive and excessive trading strategy. It is an experimental research which combines both between and within subject design. The participants are undergraduate students who have already taken financial management course but have not yet invest in real capital market. The result of the research shows that high overconfidence investors have higher trading activity than low overconfidence investor. The other result shows that among high overconfidence investors, there is no trading activity differences between pre and post bad news, whereas among low overconfidence investors, the existence of bad news cause trading activity to decrease in the post bad news period. Then, the investment returns of high overconfidence investors is significantly lower than that of the low overconfidence investors

PERFORMANCE EVALUATION AND FORMATION OF OPTIMAL PORTOFOLIO USING CAPM METHOD AND SINGLE INDEX MODEL IN PROPERTY AND REAL ESTATE SUB-SECTOR COMPANIES REGISTERED IN INDONESIA STOCK EXCHANGE 2015-2019

The purpose of this study is to determine the rate of return, risk of shares in the property sector, and the proportion of funds from the optimal portfolio formed. This study uses the Capital Asset Pricing Model and the Single Index Model. The sample used is 38 stocks of property and real estate companies listed on the Indonesia Stock Exchange. The results showed that there are 9 stocks that are included in the optimal portfolio based on the CAPM model with the proportion of BAPA funds 5.32%, DUTI 3.46%, EMDE 22.18%, FMII 6.01%, GMTD 38.37%, OMRE 10, 67%, PLIN 5.66%, RBMS 3.47% and RDTX 4.85%. The portfolio return is 2.19% per month and 26.34% per year with a risk of 5.44% or 18.84% per year. For the portfolio of the Single Index Model, there are 8 companies that enter the optimal portfolio with the proportion of DILD funds 6.60%, DUTI 7.05%, PUDP 2.51%, RODA 3.97%, OMRE 43.32%, FMII 5.86% , MTLA 22.61% and BKSL 8.08%. Portfolio return of 2.48% per month and 29.85% per year with a risk of 40.24% per year. Portfolios formed based on the CAPM method and the Single Index Model have a historical performance Sharpe ratio greater than the JCI. The CAPM portfolio is 0.326874 per month and 1.132326 per year, the single index model portfolio is 0.178304 per month and 0.6176624 per year, while the JCI is -0.107174 per month and -0.059494 per year. Keyword : CAPM, MVEP, Model Indeks Tunggal, Expected Return, Deviasi Standar

Determinants and Measurement Quality of the Financial Statement of Local Government in Indonesia

This research aim is to create the measurement index of the quality of FSLG, using data from APRGE, Notes to FSLG, and ICS. APRGE has many indicators, but the relevant ones are AIS, Competence, Performance, and GGG. The measurement index sourced from APRGE is calculated from the percentage of performance achievement of every indicators. 35 main and 7 conditional indicators are taken from the Notes to FSLG. The ICS has 101 indicators. Samples are 25 Local Governments of provinces, cities, and municipals since 2015 to 2018. Software E-Views 8 is used for statistical computation. The output of the measurement index is the FSLG quality assessment category. The index can be used to measure the quality of FSLG produced by Local Governments. The results of statistical testing show that Competence and GGG affect the Quality of FSLG. Meanwhile, AIS and Performance do not. However, AIS and Performance can still be used to measure the Quality of FSLG. AIS is a primary need that cannot be left out in the process of presenting FSLG. Likewise for Performance, each Local Government already has its own KPI which will make CSA work properly following the rules, including in the preparation of the FSLG. The implication is to facilitate the internal and external parties in assessing and improving the quality of FSLG

ORMATION OF OPTIMAL STOCK PORTFOLIO USING SINGLE INDEX MODEL CUT-OFF RATE METHODE, MARKOWITZ MODEL, AND CAPITAL ASSET PRICING MODEL IN 11 INDUSTRIAL SECTORS LISTED ON THE INDONESIA STOCK EXCHANGE 2016-2020”

“Penelitian ini bertujuan untuk mengetahui pembentukan portofolio optimal menggunakan Single Index Model metode Cut-Off Rate, Markowitz Model, serta Capital Asset Pricing Model dan untuk mengetahui apakah terdapat perbedaaan return yang signifikan dari masing-masing model. Periode penelitian yang digunakan adalah 5 tahun yaitu dari tahun 2016-2020.Jenis data yang digunakan peneliti dalam penelitian ini adalah data sekunder karena  serta jenis penelitian yang digunakan adalah penelitian kuantitatif dengan menggunakan metode pengolahan data deskriptif. Data yang digunakan berupa closing price saham bulanan, IHSG, serta risk-free rate. Metode analisis yang digunakan dalam penelitian ini menggunakan asumsi klasik meliputi uji normalitas dan uji t.Kandidat portofoio optimal yang terseleksi menggunakan Single Index Model metode Cut-Off Rate terdiri dari 26 perusahaan dan berdasarkan uji hipotesis bahwa terdapat perbedaan return antara Single Index Model dengan Capital Pricing Model, tidak terdapat perbedaan return antara Markowitz Model dengan Capital Asset Pricing Model, dan terdapat perbedaan return antara Single Index Model dengan Markowitz Model. Saran penulis dari penelitian ini yaitu supaya investor dapat melakukan investasi pada saham-saham yang telah dibentuk berdasarkan Single Index Model. Hal ini dikarenakan kedua model tersebut memiliki kinerja yang lebih baik dibandingkan dengan Capital Asset Pricing Model dan Markowitz Model serta dapat mempertimbangan asset-aset mereka yang ingin diinvestasikan agar dapat memperoleh keuntungan yang maksimal dengan risiko yang seminimal mungkin. Kata Kunci: Portofolio Optimal, Markowitz Model, Single Index Model, CAPM

Determinants of Capital Structure: Empirical Evidence from the Indonesia Stock Exchange

Capital structure strategy relates to the composition of debt and equity, which will deliver the highest profitability to the companies. To analyze the variables affecting the capital structure, this study utilized yearly financial statements from 2001 to 2015 with the exclusion of 2008, for 136 non-financial public companies listed on the Indonesia Stock Exchange. This study adopted an econometric approach of t-test, correlation coefficient, difference test and descriptive statistics analysis. The variables adopted are net debt-to-equity ratio as the dependent variable, size, profitability, asset structure, liquidity, sales growth and capital expenditure as the independent variable. This study found that for overall market, size, profitability, asset structure and sales growth have a significant relationship with capital structure. On the other hand, this study found no significant relationship between liquidity and capital structure. The findings of this study suggested that the manager should prioritize these four variables in determining the company’s capital structure. Keywords: capital structure, Indonesia, net debt to equity ratio, non-financial companie

Determinants of Credit Growth For MSME Financing in Bank DKI in Jakarta Province

This study aims to analyze the determinants that affect the growth of MSME credit at Bank DKI in DKI Jakarta Province. The independent variables used consist of ROA, NPL, CAR, Spread, Marketing Expense, GDP and Inflation. The data used is quarterly secondary data for the period January 2014 – December 2018. The analysis is carried out as a whole and economic segments (10 sectors) so as to form 11 regressions (sectors) using the EGLS panel model fixed effect model (Cross–Section SUR). The results of this study indicate that Sector 1 (One) is affected by ROA, NPL, and GDP; Sector 2 (Two) is affected by ROA, NPL, CAR, and Inflation; Sector 3 (Three) is affected by NPL, CAR and Inflation; Sector 4 (Four) is affected by NPL, CAR and inflation; Sector 5 (Five) influenced by ROA, NPL, CAR, PEX and GDP; Sector 6 (Six) affected by CAR, PEX, Spread, and GDP; Sector 7 (Seven) affected by ROA, NPL and Spread; Sector 8 (Eight) affected by ROA, NPL, CAR, PEX, Spread, GDP and Inflation; Sector 9 (Nine) affected by ROA; Sector 10 (Ten) affected by ROA, NPL, Spread and GDP; Sector 11 (Eleven) is affected by ROA, NPL, CAR, GDP and Inflation. The results of the study indicate that banks must prioritize certain financial ratios in each MSME sector to grow their credit growth. Keywords: credit growth, MSMEs, macro factors, micro factors, regional development ban

THE EFFECT OF INFLATION, INTEREST RATE, EXCHANGE RATE AND GROSS DOMESTIC PRODUCT GROWTH ON COMPOSITE STOCK PRICE INDEX (Study at Indonesia Stock Exchange Period of 2010-2019)

The purpose of this study is to determine the effect of inflation, interest rate, exchange rate, and gross domestic product growth on composite stock price index. The research design used in this study is multiple linear regression. Pearson correlation test, F-test and t-test are used in hypotesis testing. To have a more reliable result, these data undergone several tests, which are descriptive statistics, boxplot statistics, normality, heteroscedasticity, multicollinearity, and autocorrelation. The results of this study showed that exchange rate and gross domestic product growth significantly affect composite stock price index. Inflation and interest rate were insignificant in explaining composite stock price index. Coefficient of determination is 37.2%. It shows that 37.2% variation of dependent variable can explained by variation of four independent variables in this research, while the rest of 62.8% explained by the other variables which are not scrutinized in this study. Keywords:composite stock price index, inflation, interest rate, exchange rate, growth gross domestic product

The Roles of Organizational Politics and Procedural Fairness in the Relationship between Performance Evaluation Systems and Budget Gaming Behavior

This study investigates the relationship between performance evaluation systems and budget gaming behavior. Specifically, it examines the mediating role of organizational politics and procedural fairness. Data collection was conducted by a questionnaire survey of managers of go-public manufacturing companies in Indonesia. Based on a sample of 128 responses, the partial least squares results indicate that general political behavior, the politics of pay and promotion policies, and procedural fairness significantly mediate the non-financial measures and budget gaming relationship. In contrast, the results indicate that the mediating effects of organizational politics and procedural fairness on the relationship between relative performance measures and budget gaming behavior are generally insignificant. This study supports the goal setting theory and the organizational justice theory, and contributes to the management control system literature by recognizing the importance of performance evaluation systems, the importance of understanding political behavior and the perception of fairness to overcome budget gaming behavior. This study provides assurance that organizations can reduce budget gaming behavior through using non-financial measures or incentives

Equity Market Timing and Capital Structure: Evidence from Indonesia Stock Exchange

Abstract. It is commonly known that companies issue equity when the market values are high and repurchase when the market values are low. Using the yearly financial statements from 2001 until 2015, with the exclusion of 2008, for 136 non-financial companies listed on the Indonesia Stock Exchange (IDX), this study analyzed the existence of equity market timing with the consideration of equity and debt market variables using an econometric approach of panel data regression. This study adopted net equity issues as dependent variable. For the independent variables, this study adopted variables that reflect equity market condition: price-to-book value, market, profitability, and debt market variable that is interest rate. This study found that the variable affecting the net equity issues is profitability, while price-to-book value, market, and interest are not found to have a significant relationship with net equity issues. This shall imply that the companies issue external equity when the companies' profitability is good regardless of the valuation, and high interest rate. The findings of this study supported the existence of equity market timing shown by the significant relationship between variable profitability and net equity issues. Keywords: Capital structure, equity market timing, Indonesia, net equity issues, non-financial companies.Abstrak. Perusahaan menerbitkan ekuitas ketika nilai pasar tinggi dan dibeli kembali ketika nilai pasar rendah. Dengan menggunakan data laporan keuangan tahunan perusahaan dari tahun 2001 sampai dengan 2015, dengan pengecualian tahun 2008, untuk 136 perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia (BEI), penelitian ini menganalisis adanya equity market timing dengan mempertimbangkan variabel pasar ekuitas dan hutang dengan menggunakan model ekonometrik, yakni regresi data panel. Untuk peubah respon (dependent variable), penelitian ini menggunakan net equity issues, sedangkan untuk peubah penjelas (independent variables), penelitian ini menggunakan variabel yang mencerminkan kondisi pasar ekuitas: price-to-book value, market, profitability, dan variabel pasar utang yaitu interest. Hasil penelitian menunjukkan bahwa variabel yang mempengaruhi net equity issues adalah profitability, sedangkan price-to-book value, market dan interest tidak memiliki hubungan yang signifikan dengan net equity issues. Hal ini menunjukkan bahwa perusahaan menerbitkan ekuitas eksternal pada saat kondisi profitabilitas perusahaan dalam keadaan baik, terlepas dari nilai valuasi, dan tingkat bunga yang tinggi. Hasil penelitian ini mendukung adanya equity market timing yang dibuktikan oleh hubungan signifikan antara variabel profitability terhadap net equity issues.Kata kunci: Equity market timing, Indonesia, Net equity issues, Perusahaan non-keuangan, Struktur modal