The Effect of Stock Return, Inflation, and the Ownership Structure to Investment Risk
13 Pages Posted: 21 Jun 2011
Date Written: June 20, 2011
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 unsystematic 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 ownership structure to investment risk of Manufacturer Industries in 2003-2009. This research used four multiple 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.
Based 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 Dividend Payout Ratio and Debt to Equity Ratio Effected to Ownership Structure partially; 4th model, only return variable significantly influence to Investment Risk partially.
Keywords: Stock Return, Inflation, Ownership Structure, Investment Risk
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