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UEU » Journal » Puspen Jurnal UEU
Posted by [email protected] at 09/01/2014 18:58:07  •  947 Views


ANALISIS DETERMINAN KINERJA REKSA DANA SAHAM DI INDONESIA DENGAN ERROR CORRECTION MODEL (ECM) ENGEL GRANGER

Created by :
Septi Satriana Sumanthi ( none )
Ahmad Rodoni



SubjectREKSA DANA
SAHAM
Alt. Subject STOCKS
ERROR CORRECTION MODEL
KeywordKINERJA

Description:

Reksa Dana adalah salah satu jenis investasi yang muncul karena umumnya para investor kesulitan untuk melakukan investasi sendiri pada suratsurat berharga seperti saham dan obligasi. Salah satu diantaranya adalah Reksa Dana Saham. Reksa Dana jenis ini memberikan potensi pertumbuhan nilai investasi yang lebih besar dibandingkan Reksa Dana Pasar Uang maupun Reksa Dana Pendapatan Tetap. Penelitian ini bertujuan (1) untuk menganalisis Kinerja Reksa Dana Saham, (2) mengungkap bukti secara empiris bagaimana faktor-faktor fundamental Reksa Dana Saham yang diwakili oleh faktor makro ekonomi yaitu Return IHSG, Real Interest Rate, Nilai Kurs Rupiah terhadap Dolar Amerika Serikat, Inflasi, dan rasio-rasio keuangan seperti Expense ratio dan Income ratio terhadap kinerja Reksa Dana Saham jangka pendek dan jangka panjang periode April 2004 sampai September 2007 dan (3) mengetahui urutan faktor-faktor dominan yang mempengaruhi kinerja Reksa Dana Saham. Dalam penelitian ini digunakan 16 Reksa Dana Saham yang berasal dari berbagai Manajer Investasi dengan model ekonometrika yaitu Error Correction Model (ECM) Engel Granger. Hasil penelitian ini menunjukkan bahwa untuk jangka pendek Expense ratio, Inflasi, Income ratio, Kurs, Real Interest Rate dan Return IHSG mempengaruhi kinerja Reksa Dana Saham sebesar 98,50% sedangkan 1,50% dipengaruhi oleh variabel-variabel lainnya yang tidak terdapat dalam penelitian ini. Untuk jangka panjang, Expense ratio, Inflasi, Income ratio, Kurs, Real Interest Rate dan Return IHSG mempengaruhi kinerja Reksa Dana Saham sebesar 96% sedangkan 4% dipengaruhi oleh variabel-variabel lainnya yang tidak terdapat dalam penelitian ini. Urutan faktor-faktor dominan yang mempengaruhi kinerja Reksa Dana Saham untuk jangka pendek adalah Return IHSG, Kurs dan Income Ratio, sedangkan untuk jangka panjang faktor-faktor dominan yang mempengaruhi kinerja Reksa Dana Saham hanya Return IHSG.


Alt. Description

Mutual Fund is one of the investment type which emerge because generally investors difficult to invest themselves at securities like obligation and share, among others is equity fund. This type of mutual fund gives potency to grow larger than money market and fixed income ones. This research aim are to (1) analyze Performance of Equity Fund, (2) expressing evidence empirically how fundamental factors of Equity Fund represented by macro economics factor such as Return IHSG, Real Interest Rate, Value Rate Rupiah to Dollar of America, Inflation, and financial ratios like Expense and Income ratio to Equity Fund�s performance short and long term from April 2004 until September 2007, and (3) knowing dominant factors which influence of Equity Fund�s performance. This research used 16 equity fund which coming from various Fund Manager with econometric model. The used model is Error Correction Model (ECM) Engel Granger. The result of this research indicate that in short term, Expense ratio, Inflation, Income Ratio, Value Rate Rupiah to Dollar of America, Real Interest Rate and Return IHSG influenced Equity Fund�s performance equal to 98,50% while1,50% are influenced by other variables. For long term, Expense ratio, Inflation, Income Ratio, Value Rate Rupiah to Dollar of America, Real Interest Rate and Return IHSG influenced Equity Fund�s performance equal to 96% while 4% are influenced by other variables. The sequence of dominant factors which influence Equity Fund�s performance for short term are Return IHSG, Value Rate Rupiah to Dollar of America and Income Ratio, while in the long term, dominant factors which influence Equity Fund�s performance is only Return IHSG.

Date Create:09/01/2014
Type:Text
Format:pdf
Language:Indonesian
Identifier:UEU-Journal-AM05012009_Sum
Collection ID:AM05012009_Sum


Source :
Aktualita Manajemen Vol.5 No.1Jan 2009

Relation Collection:
Universitas Esa Unggul

Coverage :
Civitas Akademika Universitas Esa Unggul

Rights :
Copyright @2014 by UEU Library


Publication URL :
https://digilib.esaunggul.ac.id/analisis-determinan-kinerja-reksa-dana-saham-di-indonesiadengan-error-correction-model-ecm-engel-granger-1867.html




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