Abstract
The purpose of this study is to analyze the impact of the presence of foreign investors on market returns on the Indonesia Stock Exchange. To see the impact of foreign investor trading activities, this study proposes three hypotheses that will be proven. The first hypothesis is that foreign investors will increase portfolio diversification or the so-called base-broadening hypothesis. The second hypothesis is that foreign investors will cause price pressures on stocks or the price pressure hypothesis. The third hypothesis is that foreign investors use certain strategies in their trading, namely the feedback trading strategy. Of the 401 companies selected 32 companies as samples. Furthermore, from the three hypotheses proposed, the only proven hypothesis is the price pressure. Thus, foreign investors can cause destabilize prices on the Indonesia Stock Exchange. The destabilize implication is that investors are possible to use negative feedback trading strategies to make a profit. Keywords: base-broadening, price pressure, feedback trading
Highlights
The purpose of this study is to analyze the impact of the presence of foreign investors on market returns on the Indonesia Stock Exchange
To see the impact of foreign investor trading activities, this study proposes three hypotheses that will be proven
Money and Finance, 14, 467-492 Wang, J., Foreign Trading and Market Volatility in Indonesia, (2000), Working Paper Warther, V.A, (1995), Aggregate Mutual Fund Flows and Security Returns, Journal of Financial Economics 39, p. 209-235
Summary
Latar Belakang Liberalisasi pasar modal di Indonesia dilakukan secara bertahap, dimulai pada tahun 1989, saat itu dikeluarkan peraturan bahwa investor asing dapat membeli dan memiliki saham dari perusahaan-perusahaan non keuangan yang terdaftar di Bursa Efek Jakarta sampai dengan maksimum 49%. Keuntungan lain dari adanya investor asing adalah mereka menuntut pasar lokal memiliki hukum dan peraturan yang lebih baik. Kajian dampak liberalisasi telah banyak dilakukan pada pasar modal yang sudah maju, dan baru belakangan ini mulai diteliti dampaknya pada pasar modal yang sedang berkembang. Jika perdagangan merupakan informasi yang akan mempengaruhi harga, maka diharapkan aliran dana investor asing yang melakukan perdagangan akan mempengaruhi harga sekuritas, dengan kata lain perilaku investor asing dalam melakukan perdagangan akan memberikan dampak bagi pasar. Dengan demikian maka yang menjadi permasalahan di dalam penelitian ini adalah dampak aliran modal asing terhadap return perusahaan. Secara lebih spesifik maka tujuan penelitian ini adalah: menganalisis apakah aliran modal investor asing mempengaruhi return saham
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