Analisis Perbedaan Pengaruh Variabel , , , Terhadap Saham di BEJ Periode Sebelum dan Sesudah Krisis

Liestyowati Liestyowati

Abstract


This study aims to identify and analyze the existence of differences in the effect of variable variables (Market Risk), DER (Debt to Equity Ratio), E / P (Earning to Price), (Ln.ME)  (Market Equity , Size) and PBV (Price to Book Value) individually or jointly against R  (Return) of the shares on the JSE before-crisis period (January-December 1995-1996) and after the crisis (January-December 1997 - 1999). Based on research by Fama and French (1992) without any distinction trials found no difference in the influence of Beta, Size and Be / Me against the return on an individual basis between the periods 1963-1976 and 1977-1990 periods, as well as the discovery of Davis observation period between January 1941 to 1962 and January-December 1940-1962. Research in Indonesia do Sulastri, 1999 that examined differences in the influence of beta (risk) of returns between the period before and during the crisis, the result was no significant difference in domistik investors.

Based on the empirical study of the hypothesis in this study is that there are differences in the influence of BETA,, .  ,    to R  shares on the BEJ between the period before and after the crisis. Research methods in several stages, the first stage is the selection of the sample that is most active stock market and has a large equity during the period observasi.Tahap second is an analysis of the influence of differences in factor BETA test, DER , E / P, Ln.ME and PBV  against R - between the period before and b after the crisis. In the second stage was also conducted on the data before and after observational data that are not normally excluded (outlier). In the analysis after outliers removed also conducted an analysis of the variable Leverage and BE / ME.

          The conclusion of this study is that there are differences in the effect of variable BETA, DER, E / P , Ln.ME, PBV to R. Between the period before and during the crisis. Found only individually significant variables BETA has a different effect between the period before and during the crisis. And the multiple regression model formed as independent variables BETA,  DER, E / P,Ln.ME, PBV found all the variables have a significant effect differed between the period before and during the crisis of the R , PBV. Being formed when the regression model with the independent variable BETA, (DER) , E / P, Ln.ME , LEV and BE / ME result is the only variable E / P significant  have different effects between the period before and after the crisis on R .

Keyword : existence of differences in the effect of variable , ,, individually or jointly against R  (Return)

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DOI: https://doi.org/10.37721/je.v17i1.267

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