ANALISIS PENGARUH FAKTOR-FAKTOR FUNDAMENTAL PERUSAHAAN TERHADAP MASUK ATAU KELUARNYA PERUSAHAAN DARI INDEKS LQ45 (Studi Kasus Perusahaan yang terdapat pada Indeks LQ45 2009-2013)
Abstract: The company list
change included in LQ45 index calculation was done to make LQ45 index
adjustment to market condition. The factor of fundamental firm that can affect
added or deleted firm from LQ45 index will affect investment behavior of the
investor. This research was done to analyze the impact of fundamental firm
factors to market beta at LQ45 index in the period of 2009-2013. This research
is replication of a research done by Geppert, et al (2011) and in this research
using the LQ45 index as the object under study. Delta beta firm, delta
correlations, delta stock variation, and delta market variation were used in
the research done by Geppert, et al (2011) to analyze fundamental firm to
market beta.
The population of this research was the companies that listed in LQ45
index in the period of 2009-2013. The total samples were 108 companies that
added or deleted from LQ45 index in the period of 2009-2013. Ordinary Least
Square (OLS) was used in this research as a regression analysis.
The result of this research showed that the delta beta firm, delta
correlations, delta stock variation, and delta market variation did not have
any significant effect to market beta. The impication of this research showed
that added or deleted companies from LQ45 index were not influenced by changes
in the firm’s fundamental, but rather to the market capitalization, trading
activity, financial condition and growth prospects of the company.
Keywords: Firm Fundamental,
Market beta, delta beta firm, delta correlations, delta stock variation, delta
market variation
Penulis: Hisyam Luthfi, P.
Basuki Hadiprajitno
Kode Jurnal: jpakuntansidd141070
