Abstract
The objective of investment in the capital market is to acquire dividends and capital gain. The fact proves that the advantage of investation risky assets is uncertain . This is because of the difficulty in analyzing and predicting Return and stock losses due to factors that affect the movement of the stock price , such as economic factors , political , social , and security. The model can be used by investors in predicting stock returns expected that Generalized Autoregressive Conditional Heteroscedaticity (GARCH). In this study calculations beta value of some leading stocks in Indonesia by using Generalized Autoregressive Conditional Heteroscedaticity (GARCH) are presented . The data used this search is secondary data covering daily data sampled 5 shares of PT Unilever Indonesia Tbk , PT Indosat Tbk , PT Indofood Sukses Makmur Tbk , PT Telkom Indonesia Tbk , PT Holcim Indonesia Tbk. From the results described fifth beta value of these shares using the method GARCH beta greater than the market in the period from 23 September 2013 until 24 September 2014.
Highlights
The objective of investment in the capital market is to acquire dividends and capital gain
From the results described fifth beta value of these shares using the method Generalized Autoregressive Conditional Heteroscedaticity (GARCH) beta greater than the market in the period from 23 September 2013 until 24 September 2014
Manajeman Keuangan Jilid I, Edisi Keempat, Bina AksaraJakarta
Summary
Investasi dibedakan menjadi dua yaitu investasi riil (gedung, kendaraan, mesin, tanah) dan investasi finansial (saham pada pasar modal). Tingkat pendapatan yang diharapkan dari investasi saham tergantung dari bagaimana sikap investor dalam menghadapi risiko. Pasar modal menyediakan banyak sekali informasi yang tersedia bagi para investor. Informasi merupakan kebutuhan yang mendasar bagi para investor dalam mengambil keputusan. Salah satu bentuk investasi yang dilakukan investor adalah membeli saham, dengan harapan akan memperoleh return baik berupa dividen maupun capital gain. Para pemilik modal (investor) sangat membutuhkan informasi yang jelas, wajar, dan tepat waktu sebagai dasar pertimbangan dalam proses pengambilan keputusan. Salah satu informasi yang dibutuhkan oleh investor (baik investor ritel maupun investor institusional) adalah informasi tentang tingkat pengembalian (return) dan risiko investasi. GARCH dapat digunakan untuk estimasi sensivitas pengembalian saham beta yang akan. Datang sehingga dapat digunakan oleh investor sebagai bahan pertimbangan untuk membuat keputusan investasi
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