THE INFLUENCE OF STOCK RETURN, INFLATION, AND OWNERSHIP STRUCTURE TO THE INVESTMENT RISK (The studied on manufacture industry which listed at Indonesian Stock Market 2003-2009 Period)
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Date
2011-06-16
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Society Interdisciplinary Business and Economy Research Conference (SIBR) 2011, FE Tammasat University Bangkok
Abstract
Economic development in Indonesia is currently facing the risk increases even during the
global financial crisis. The global financial crisis affects the economy of a country including
Indonesia. The economic crisis in Indonesia have an impact on the declining performance of the
company's fundamentals on the stock market. This degradation caused by a failure in risk
management, especially the unsistematic risk. Many companies can’t manage they debt policy,
investment decisions, earnings management, liquidity and ownership structure that has
implications for the risk. The objective of this research is to investigate the effect of stock return,
inflation and ownersip stucture to investment risk of Manufacturer Industries in 2003-2009. This
research used fourmultiple regression model, and the models are: 1st model to investigate effect of the
stock return factors to stock return ; 2nd model used to investigate effect of the inflation factors to the
inflation ; 3rd model used to investigate effect of the ownership structure factors to the ownership
structure ; 4th model used to investigate effect of the stock return factor, inflation as the regional
monetary factor, and ownership structure factors to investment risk.
Population of this research is manufacturing companies listed in BEI. The sampling method
used in this research is purposive sampling and the results are 126 companies according to the
criteria of the sample. Pooling data method and judgment sampling is used to collect the data and two
stage least squares (2 SLS) as the analysis method.
Base on the hypothesis test it can be summarized that all predictor have significant effect
simultaneously. Result of the 1st Model, Only Investment and Profitability Effect to stock return
partially ; 2nd model, SBI, KURS, and M2 effect to the inflation partially; 3rd model only Diividend
Payout Ratio and Debt to Equaity Ratio Effected to Ownership Structure partially ; 4th model, only
return variable significantly influence to Investment Risk partially.
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Keywords
Stock Return, Inflation, Ownership Structure, Investment Risk