VALUE AT RISK DAN IMBAL HASIL PADA AKTIVITAS TRADING KELOMPOK TICK SIZE TERTINGGI DI BURSA EFEK INDONESIA

Oleh : PERDANA WAHYU SANTOSA & HARRY YUSUF A. LAKSANA

(Dipublikasi : The 4th PPM National Conference on Management Research Jakarta, 25 November 2010, ISSN: 2086-0390, hal. 1-16)

Abstract
This research attemps to find how the VaR, stock’s return and some trading activity variables would inter relate when the Indonesia Stock Exchange (IDX) has liquidity. We try to analyze the affects of value at risk (VaR), market risk (Beta), stock’s size, liquidity and price-to-book value ratio to the stock’s return. One of the purposes of this reasearh specifically is to try create the model as the alternative of classic CAPM in highest tick size (Rp50). This research focuses in (1) the relationship between return, VaR and market risk (2) the relationship between return and liquidity and (3) the relationship between return and PBV. We employ panel data methodology which the combining of time series and cross section for data analysis. The purposive stratified sampling data from active stocks of various industry get 7 samples of highprice level in LQ-45 index for period 2004-2006. The findings of this research are VaR, Beta, and liquidity have positively relate to the stock returns but liquidity showed the different result. These findings indicated that investment risk measurement such as VaR and Beta in the liquid market can provide rational interrelate to stock’s return especially, on highest tick size at IDX. Furthermore, these results support the previous researches which are done by many scholars, and conclude with a systematic coverage of empirical evidence about the opportunity of VaR as an alternative factor for Capital Asset Pricing Model (CAPM).

Keywords: Value-at-Risk, return, hightick size, asset prcing, market risk, size, liquidity, price-to-book value.

I. PENDAHULUAN

Dewasa ini, praktisi pasar modal membutuhkan model yang dapat diandalkan untuk mengukur hubungan klasik risk-return. Model tersebut penting karena diperlukan untuk menghitung risk premium portofolionya pada pasar finansial yang dimasukinya. Pada umunya ini, secara teoritis, risiko investasi saham dan ekspektasi imbal hasilnya menggunakan pendekatan tradisional yaitu Capital Asset Pricing Model (CAPM). Namun pada tataran praktis, CAPM kerap dipertanyakan akurasi dan keandalannya sebagai alat pengukur risiko pasar.

Menurut Fama & French (1992) dalam pembentukan teori CAPM, terdapat variabel-variabel atau faktor-faktor penting lainnya tidak dilibatkan dalam menjelaskan hubungan expected return dengan risk market (Beta). Bahkan lebih dari 20 tahun terakhir ini, banyak peneliti keuangan dan investasi menemukan bukti-bukti signifikan bahwa variabel-variabel seperti kapitalisasi pasar (stock size), Price-to-Book Value (PBV) dan Earnings to price ratio (EPS) mempunyai pengaruh siginifikan (explanatory power) terhadap rerata imbal hasil saham [Datar et al. (1998), Chan & Pfaff (2003); Jacoby et al. (2000)].

Sebagai alternatif untuk melengkapi teori CAPM tersebut, adalah penggunaan Value at Risk (VaR) sebagai salah satu variabel untuk mengestimasi korelasi risiko dan imbal hasil. VaR dikenal luas oleh para manajer investasi dan hedge fund serta para regulator pasar finansial. Selain itu, VaR sudah diimplemantasikan oleh sebagian besar institusi keuangan ternama sebagai piranti manajemen risiko. Implementasi VaR merupakan suatu cara . . . . . . . .. . (baca selengkapnya)

Artikel Lengkap dikompilasi oleh/ HUBUNGI :

Kanaidi, SE., M.Si  (Penulis “Buku Dasar-Dasar PERIKLANAN”, Service Quality and Motivation Trainer, Dosen Marketing Management,  Praktisi Bisnis)

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