LQ45 Stock Index Research Articles

Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?

There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.

REAKSI PASAR MODAL INDONESIA TERHADAP PERISTIWA PERANG DAGANG AMERIKA SERIKAT DAN CHINA

This research is an event study which aims to analyze the reaction of the Indonesian capital market, especially on LQ45 shares before and after political events that occur abroad. The event that became the object of observation was the trade war that occurred between the United States and China by using 12 events related to trade wars starting from 2014 to 2019, using the abnormal return indicator. The sample in this study are companies that are in the LQ45 stock index. The data used is secondary data in the form of the company's daily closing price and the Composite Stock Price Index (CSPI). The statistical test used to test the research hypothesis is the paired t-test which was tested on 11 events, and there was 1 event using the Wilcoxon test. The results showed that the trade war between the United States and China did not result in a significant difference in abnormal returns on LQ45 stocks with the observed period. So it can be said that the Indonesian capital market did not react to the 12 events of the trade war between the United States and China.

Pengaruh Indeks Bursa Amerika, dan Bank Indonesia – 7 Days (Reverse) Repo Rate terhadap Indeks LQ45

This study aims to determine the effect of the American stock exchange index (DJIA) and the effect of Bank Infonesia – 7 Days (Reverse) Repo Rate or known as BI7dRR on one of the stock indices in Indonesia that has comapnies with high liquidity, namely the LQ45 stock index. The period used as testing data is data derived from the publication of the movement of the Dow Jones Industrial Average and LQ45 stock index and percentage data from Bank Indonesia – 7 Days (Reverse) Repo Rate (BI7dRR) in 2016 – 2019. Data source of this study is a secondary data source obtained through the official stock movement websites (idx.com and nyse.com) as well as Bank Indonesia publications regarding BI7dRR movements. The design of this study uses a quantitative research design using multiple linier regression analysis models so that before testing the model, the data is tested first using classical assumptions. The results of this study indicate that the American Stock Exchange Index (DJIA) is significant and positive for the LQ45 stock index. Meanwhile, BI7dRR has an opposite or negative insignificant direction of influence on the LQ45. The positive influence of the American Stock Exchange Index (DJIA) on LQ45 is due to the fact that the United States is the country with the largest stock index and is the destination country for exports from Indonesia so that growth or movements that occur in America can shake growth in Indonesia. On the other side, BI7dRR is not significant and negative towards the LQ45 stock index, this is because the type of investor in Indonesia is the type who likes to make short-term investments compared to long-term invesments. BI7dRR is a monetary policy in replacing the BI Rate so that at the beginning of its implementation there was a decrese in the percentage of the BI7dRR movement, this was done in order to encourage the domestic economy in accodance with the objectives to be achieved by the government through more optimal credit distribution in the community.

Analisis Pengaruh Corporate Social Responsibility Terhadap Return Saham Dengan ROE Sebagai Variabel Moderating Pada Indeks LQ-45.

This research type is a causality with the aim of analyzing the effect of Corporate Social Responsibility on stock returns with profitability as a moderating variable on the LQ-45 Stock Index during the 2013-2017 period. The research population is all companies listed in the LQ-45 Index on the Indonesia Stock Exchange during 2013-2017. The sampling using purposive sampling method with a total sample of 23 companies. Data of this research is quantitative type with data analysis techniques consisting of descriptive analysis, testing classic assumptions, moderating regression analysis, and testing hypotheses. The results showed that there was a significant positive effect on testing the effect of Corporate Social Responsibility on Stock Returns. While the high or low profitability (Return on Equity) is considered unable to moderate the influence of Corporate Social Responsibility on Stock Returns because of the large expenditure incurred for Corporate Social Responsibility can have a negative impact on business operations that will reduce the level of profitability obtained by the investor.

THE EFFECT OF SYSTEMATIC RISK AND UNSYSTEMATIC RISK ON EXPECTED RETURN OF OPTIMAL PORTFOLIO

The purpose of this research is to search out empirical proof that the expected return of shares portfolio is influenced by the presence of systematic and unsystematic risk. The population in this study was a combination of shares portfolio of non-financial companies listed in the LQ45 stock index during the period 2015 - 2019. The technique for sampling in this research using the technique of purposive sampling with a sample of 7 companies combined into 120 samples. The results of the study were obtained from data that had been analyzed using a test of descriptive statistics, a test of classical assumption, determinant coefficients test, and analysis of multiple linear regression through the help of the SPSS application. The results of the research on the F-test showed that the simultaneous systematic risk (X1) and unsystematic risk (X2) have a significant and positive impact on the expected return of portfolio (Y). The results of the t-test showed that partially the systematic risk variable (X1) has a negative and significant impact on the optimal portfolio expected return (Y), and partially the unsystematic risk variable (X2) has a significant and positive impact on the expected return of optimal portfolio (Y). The variable probability of systematic and unsystematic risk has an impact of 53.5% on the expected return on the basis of the effects of the coefficient of determination in this analysis, while the remaining 46.5% is determined by other factors that are not tested.

Pengaruh Leverage terhadap Return Saham di Bursa Efek Indonesia Periode 2008-2017 dengan Variabel Moderasi Indeks Saham Lq45

The purpose of this research is to determine the effect of leverage on stock returns and to find out whether the LQ45 index moderates the negative influence of leverage on stock returns. The sampling technique is purposive sampling. The sample size is 2210 which consists of 221 companies from all sectors except finance for 10 years from 2008-2017. The estimation of the research model uses panel regression. The results of this study indicate that leverage has a positive effect on stock returns and the effect of leverage on stock returns is no difference between stocks that are within the LQ45 index and those that are not included in the LQ45 stock index.

Analisis Reaksi Investor di Bursa Efek Indonesia pada Pelantikan Joko Widodo

This study aimed to analyze the reaction of investors on Indonesia Stock Exchange to the inauguration of the 8th President by observing whether there were any significant differences in abnormal returns and stock trading volume activities before and after the event. The observation period used in this study was 10 days, with details of each 5 days before and after the President's inauguration event that occurred on 20 October 2019. This research was quantitative research and used daily transaction data on the market capital as a secondary data source. The samples used were companies that were included in the LQ45 stock index for the period August 2019 - January 2020. A non-parametric test in the form of Wilcoxon test was used to test the hypothesis. The results of this study showed that there were no significant difference in abnormal return and stock trading volume activity in the period before and after the event. This was evidenced by the probability value above the significance level of 5%. Thus, the results of this study were stated that there was no reaction from the investor related to the event of the inauguration of the 8th President in Indonesia.

REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN INDONESIA SEBAGAI NEGARA MAJU

The purpose of this tdudy is to analyze the differences in abnormal return before and after the announcement of Indonesia as a developed country on the LQ45 stock index. This study uses a purposive sampling method with a sample of 45 companies. The data used are secondary data taken from the official website of the Indonesia Stock Exchange, www.idx.co.id. Tests were carried out using paired sample t test with a 15 day event window period. That is, seven days before the event day and sevend days after the event day. The result of statistical analysys shows that there is no significant average abnormal return and after the announcement of Indonesia as a developed country. This means that the market reaction, is largely insignificant, result in a statistically significant difference in the average abnormal return on Indonesia’s announcement as a development country.

KAJIAN YURIDIS TRANSAKSI DERIVATIF KONTRAK BERJANGKA DALAM BURSA EFEK INDONESIA

Derivative trading is a form of trading that moves fast (fast moving), in large numbers (high volume) and with a high level of liquidity (free following liquid activity). Initially, derivative transactions attracted the interests of companies in the world because they could generate huge profits while also serving as a means of hedging. However, at present the boundary between the use of derivative transactions in Indonesia as a means of hedging and a means for speculating for huge profits has not been confirmed. This is because the use of derivative transactions to seek large profits has the potential to also get very large losses. A concrete example of the impact of derivative transactions can be seen in the collapse of Baring Bank, the oldest bank in the UK to go bankrupt due to derivative transactions carried out by a manager. Therefore in the use of derivative transactions as a means of hedging and a means of profit speculation there must be a clear and explicit distinction. From 2001 to 2009 derivative products were stopped by the Indonesia Stock Exchange (IDX), this was due to less dynamic trading. Beginning in 2016, the IDX announced the reactivation of trading in derivative products based on the Securities Index-based Futures Contract (KBIE) namely LQ-45 (LQ-45 Futures Index). There are two derivative products that will actually be present in the Indonesian stock market, namely futures contracts and stock options. But for now, the only derivative product on the Indonesian stock market is the LQ-45 stock index futures contract.

Pengaruh Ukuran Perusahaan dan Umur Perusahaan terhadap Pengungkapan Sumber Daya Manusia (Studi Empiris pada Perusahaan yang Terdaftar di LQ-45 Tahun 2017)

AbstractThis study aims to analyze the effect of company size and company age on disclosure of human resources in companies listed on the LQ45 stock index in 2017. By using a quantitative approach, the hypothesis test in this study was tested using multiple linear regression analysis. The total sample in this study were 39 companies. The results of this study indicate that the size and age of the company does not affect the disclosure of human resources. Keywords: frm size, frm age, human resources disclosure

Market Reaction to The Announcement of General Election Result of The President and Vice President of Indonesia in 2019 (Study on LQ 45 Stock Index on The Indonesia Stock Exchange)

This study aims to determine the impact of political issues on market reaction when announcing the results of the 2019 Indonesian president and vice president election. The population in this study are all companies listed on the LQ45 Stock Index on the Indonesia Stock Exchange from February 2019 to July 2019. Sample taken by using the census method of 45 companies. The type of data used is quantitative and qualitative data obtained from secondary sources collected by the nonparticipant observation method. To test the information content, this study uses an event study approach. In this study there were two periods of events tested, namely the announcement of the results of the presidential and vice presidential elections in 2019 based on the quick count of the Survey Institute and the real count of the General Election Commission. To test the significance of abnormal returns the One Sample Test is used. The results of this study indicate that at the time of the announcement of the general election results based on the Survey Institute's quick count, there was a significant positive average abnormal return on the second day after the event date, while at the announcement of the general election results based on the General Election Commission's real count, there was no abnormal average significant return after the event date. The results concluded that the market must carefully search for information and be able to predict situations that are influenced by political issues to avoid risk. Keywords: event study, abnormal return, market reaction, political issues DOI : 10.7176/EJBM/12-3-15 Publication date: January 31 st 2020

PERAMALAN VOLATILITAS SAHAM MENGGUNAKAN MODEL EXPONENTIAL GARCH DAN THRESHOLD GARCH

In financial data there is asymmetric volatility, which denotes the different movements on conditional volatility of increase and decrease financial asset returns. The exponential GARCH and threshold GARCH models can be used to capture asymmetric volatility, called leverage effect. The aim of this research is to determine the best model between exponential GARCH and threshold GARCH models, and to know the results of forecasting volatility the LQ-45 stock index using the best model. The research showed that the best model to predicting volatility is EGARCH(2,1), because it has the smallest AIC value compared to other models. Then forecasting volatility of the LQ-45 stock index using EGARCH(2,1) showed that volatility increase from the first period until fourteenth period, this means that it has high volatility.

LQ45 Stock Index Prediction using k-Nearest Neighbors Regression

The capital market is an organized financial system consisting of commercial banks, intermediary institutions in the financial sector and all outstanding securities. One of the benefits of the capital market is creating opportunities for the community to participate in economic activities, especially in investing. In daily stock trading activities, stock prices tend to have fluctuated. Therefore, stock price prediction is needed to help investors make decisions when they want to buy or sell their shares. One asset for investment is shares. One of the stock price indices that attracts many investors is the LQ45 stock index on the Indonesian stock exchange. One of the algorithms that can be used to predict is the k-Nearest Neighbors (kNN) algorithm. In the previous study, kNN had a higher accuracy than the moving average method of 14.7%. This study uses kNN regression method because it predicts numerical data. The results of the research in making the LQ45 stock index prediction application have been successfully built. The highest accuracy achieved reaches 91.81% by WSKT share.

PENGARUH LIKUIDITAS, LEVERAGE DAN PROFITABILITAS, TERHADAP AGRESIVITAS PAJAK (Studi Empiris pada Perusahaan Manufaktur yang termasuk dalam LQ45 pada Bursa Efek Indonesia (BEI) Periode 2013-2017)

This study aims to examine the influence of liquidity, leverage, and profitability of tax aggressiveness either partially or simultaneously. Independent variables used in this research are liquidity, leverage and profitability. While the dependent variable in this study is the tax aggressiveness measured using the proxy effective tax rate (ETR). The data used in this study is secondary data that is in the form of data obtained from the annual financial statements of companies that have been published by the Indonesia Stock Exchange (BEI). The population in this study amounted to 9 of the Manufacturing companies included in the LQ45 stock index on the Indonesia Stock Exchange (IDX) during the period 2013-2017. The determination of the sample in the study using purposive sampling method and obtain a sample of 8 companies based on certain criteria that have been determined. Data analysis method used in this research is multiple correlation analysis and multiple regression analysis, data processing in this research using elektornik facility that is Microsoft Excel 2010 and SPSS 25.0. The results showed that partially liquidity and leverage variables significantly affect the aggressiveness of taxes. While profitability has no significant effect on tax aggressiveness. The results of research simultaneously show the result that the variable liquidity, leverage and profitability simultaneously affect the aggressiveness of taxes.Keywords : Liquidity, leverage, proftability and aggressiveness of Tax.

DAMPAK PENGUMUMAN KEMENANGAN DONALD TRUMP PADA PEMILU PRESIDEN AMERIKA SERIKAT 2016 ATAU “TRUMP EFFECT” TERHADAP ABNORMAL RETURN SAHAM LQ45 DI BEI

<p><em>This study is an event study that aims to find empirical evidence whether or not the reaction of the Indonesian capital market to one of the events abroad namely Donald Trump Victory Announcement Event as President of the United States 2016, using abnormal return indicator. This research is classified as research event study. The population in this study are all shares listed in LQ45 stock index in 2016. The sampling technique is purposive sampling, so that obtained the sample of 38 companies. Technique of collecting data using documentation method. Data analysis techniques used to answer this research hypothesis is paired-t test (paired sample t-test). The results of research at the level of significance of 5% indicates that there is a difference in average abnormal returns obtained by investors between before and after the events of Donald Trump Victory Announcement as President of the United States 2016. This is evidenced from the results of testing paired sample t test with a significance level of 0.000 Smaller than the specified significance level of 0.05. The results of this study prove that alternative hypothesis (Ha) is accepted.</em><em> </em><strong><em>Key Terms:</em></strong><em> Abnormal Return, Trump Effect</em></p>

Reaksi Pasar Terhadap Pelemahan Nilai Rupiah Pada Nilai Tukar US Dollar

The sampling method used was purposive sampling with a total sample of 39 companies from the LQ45 stock index for the period February-July 2018. The data analysis technique used paired sample t-test with a significance level of 5% on normal distributed data and the Wilcoxon test on data not normal distribution. This study produces a significant difference between the abnormal return and trading volume activity before and after the weakening of the rupiah value on the US Dollar exchange rate against the LQ45 company stock listed on the IDX. The results of this study support the theory of market efficiency where the market responds to incoming information, and how that information can further influence the movement of securities prices towards new equilibrium prices.
 Keywords: Market reaction, event study, weakening rupiah value, abnormal return, trading volume activity.

Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange

This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating. The technique used for sampling is purposive sampling. The samples in this study are 23 companies. The results show that the CAPM model is more accurate in stock credibility assessment than the APT model and the FFTFM.

ANOMALI EFEK KALENDER PADA RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA

Calendar effect anomalies indicate a return deviation in a capital market that allows investors to take advantage of a time and obtain abnormal returns. This study aims to determine the difference in the average abnormal return on the day (the day of the week effect), Monday the fourth week (week-four effect), and January with other months (January effect). The study was conducted on companies included in the LQ-45 stock group and obtained a sample of35 companies using the saturated sample method. The data source comes from secondary data, through the yahoo finance website and the method of data collection is done by non-participant observation including data collection on the development of stock prices included in the LQ-45 group during the period February 2015 to January 2018. Test results with the SPSS program through Kruskal-Wallis test and Mann Whitney Test, show that the stock’s average abnormal return at any time is not different, so the conclusion that there is no day of the week effect, week-four effect, and January effect on the LQ-45 stock index on the Stock Exchange Indonesia.
 Keywords: calendar effect anomaly, abnormal return

ANALISIS PENGARUH ECONOMIC VALUE ADDED, RETURN ON ASSETS, RETURN ON EQUITY, DAN EARNING PER SHARE TERHADAP RETURN SAHAM PERUSAHAAN SEKTOR LQ-45 YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2005-2007

<p><em>This research attempted to analyze the leverage between EVA, ROA, ROE, EPS with stock return of the 12 sample companies. The 12 sample companies are the companies that included in LQ-45 at the Indonesia Stock Exchange within period of 2005 to 2007. First, this research computes the score of EVA, ROA, ROE, EPS from each of the companies. To analyze the leverage using linear regression method with stock return as a dependent variable and EVA, ROA, ROE, EPS each as a independent variable. And then comparing the results from the linear regression which method has the greater number of R Square. Also using regression method with stock return as a dependent variable and EVA, ROA, ROE, EPS together as independent variable, then analyzing the results from the regression such as multi collinierity, autocorellation, heteroscedasticity, and normality. </em></p><p>Key Words: <em>Economic Value Added (EVA), Return on Asset (ROA), Return on Equity (ROE), Earnings pro Share (EPS), LQ-45 Stock Index.</em></p>

PEMBENTUKAN PORTOFOLIO OPTIMAL TIGA SAHAM LQ45 DAN PERBANDINGAN TERHADAP KINERJA REKSA DANA SAHAM PADA OKTOBER 2016

This study attempts to form an optimal portfolio of three stocks derived from LQ45 stock index and compared with the best stock mutual fund made by investment manager according to realized return from September 2015 to September 2016 with monthly holding period. Optimal portfolio is a portfolio that provides the highest level of expected return for a given level of risk or the lowest risk for a given level of expected return in compare to other portfolios. The method used in this research is sharpe ratio.This research use a software named PORTO which is designed for portfolio investment and created by Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake in 1995. The results of this research showed that the optimal portfolio of three stocks is better than stock mutual fund. The optimal portfolio of three stocks consist of 73.391% stock TLKM, 17.993% stock ADRO, and 8.616% stock LSIP. These combinations are expected to give 54.70% of expected return and 29.50% of risk with 1.654237 of sharpe ratio. The stock mutual fund is Treasure Fund Super Maxxi. This mutual fund are expected to give 40.52% of expected return and 75.85% of risk with 0.456417 of sharpe ratio.Keywords: optimal portfolio, mutual fund, sharpe ratio, PORTO, LQ45