Title: ANALYSIS OF SOME VARIABLES THAT INFLUENCE THE RATE OF RETURN ON STOCK INVESTMENTS IN INDONESIA FOR THE PERIOD OF FEBRUARY 1995-MAY 1997

Author: Rustam Hidayat

Item Type : Thesis (Thesis)

Affiliations: Master of Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

 

Abstract

Since the reactivation of the capital market in Indonesia on 10 August 1977, the role of this institution in financing national development through collecting public funds has shown an increasingly improving trend. This increasing role is an indicator of the increasing number of companies going public and also shows the increasing participation of the investor community. Investors' expectations from their activities in the capital market (stock exchange) are to increase wealth, where this increase in wealth can be achieved only if there is a tendency for share prices to improve so that they can obtain a positive rate of return on their investment. Price movements in an efficient capital market tend to fluctuate randomly, meaning that changes in share prices cannot be predicted. based on past price movements. Therefore, this research aims to find out how price changes that reflect the rate of return on stock investment are influenced by fundamental economic and market variables. Which variables dominate the rate of return on stock investment, and do these independent variables cause differences in the rate of return on investment between industry groups? The reason for using fundamental economic and market variables as variables that determine the rate of return on stock investment is because no company can be free from the influence of these variables. The independent variables in this research are; market return rate (X1), GNP growth (X2), inflation rate (X3), deposit interest rate (X4), Rp/US $ exchange rate (X5), and gold price (X6). The contribution of the joint influence of the independent variables to the dependent variable of return on stock investment is 21.13 percent (R2= 0.2113), P< 0.01. This shows that the role of exogenous variables not included in the model is 78.87 percent. The dominant variable influencing the rate of return on stock investment is the market rate of return (X1). One-way ANOVA statistical testing shows that the variance of investment return rates (Y) between groups and within the Industry group does not show any significant differences. Based on the significant weakness of the coefficient of determination, this research has succeeded in conjecturing that the capital market in Indonesia has not yet reached a moderate or strong pattern of efficiency. In addition to the analysis of the comparison of the rate of return on stock investment with the level of risk as measured by standard deviation, this research found that the concept of trade off between risk and rate of return on investment does not apply. The results of this research also show that stock investment in the secondary market during the period February 1995 May 1997 will only reduce the value of investors' wealth.

 

Keywords: INVESTMENTS

 

Sources: http://repository.unair.ac.id/34922/