Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014

Authors

  • Esi Fitriani Komara Universitas Jenderal Achmad Yani (UNJANI), Indonesia
  • Erie Febrian Universitas Padjajaran (UNPAD), Indonesia
  • Mokhamad Anwar Universitas Padjajaran (UNPAD), Indonesia

DOI:

https://doi.org/10.33603/jibm.v3i2.2554

Keywords:

Three Factor Fama and French Model

Abstract

Abstract: 3FF is a better model than CAPM. But this model is still new, so it still needs empirical evidence. Then this model still needs to be proven in Indonesia. ISSI consists of all Indonesian sharia shares listed on the IDX and DES. So the purpose of this study was to analyze the three FF factors on return on ISSI. The sampling technique is purposive sampling so that 142 issuers are obtained. This research method is an associative quantitative study using panel data regression in data processing. The research results partially market returns affect the return, while firm size and BE / ME do not affect the return. However simultaneously the three FF factors can influence the return. This shows that the three FF factors can estimate return on ISSI. So that suggestions for companies that are sampled always improve the company's financial performance in order to increase the value of the company so that stock prices are high.

 

Keywords: Three Factor Fama and French Model

 

Abstrak: 3FF merupakan model yang lebih baik dibandingkan CAPM. Tetapi model ini masih baru, sehingga masih perlu bukt-bukti empiris. Kemudian model ini masih perlu dibuktikan di Indonesia. ISSI terdiri dari seluruh saham syariah Indonesia yang tercatat di BEI dan DES. Sehingga Tujuan penelitian ini adalah untuk menganalisis ketiga factor FF terhadap return pada ISSI. Teknik pengambilan sampelnya  yaitu purposive sampling sehingga diperoleh 142 emiten. Metode penelitian ini adalah penelitian kuantitatif asosiatif dengan mengunakan regresi data panel dalam pengolahan datanya. Hasil penelitian secara parsial return market berpengaruh terhadap return, sedangkan firm size dan BE/ME tidak berpengaruh terhadap return. Walaupun demikian secara simultan ketiga factor FF dapat berpengaruh terhadap return.  Hal tersebut menunjukan bahwa tiga factor FF dapat mengestimasi return di ISSI. Sehingga saran bagi perusahaan yang dijadikan sampel selalu meningkatkan kinerja keuangan perusahaan agar dapat meningkatkan nilai perusahaan sehingga harga saham tinggi.

 

Katakunci: Model Tiga Faktor Fama and French

 

Author Biographies

Esi Fitriani Komara, Universitas Jenderal Achmad Yani (UNJANI)

Dosen Fakultas Ekonomi dan Bisnis Universitas Jenderal Achmad Yani (UNJANI)

Erie Febrian, Universitas Padjajaran (UNPAD)

Dosen Fakultas Ekonomi dan Bisnis Universitas Padjajaran (UNPAD)

Mokhamad Anwar, Universitas Padjajaran (UNPAD)

Dosen Fakultas Ekonomi dan Bisnis Universitas Padjajaran (UNPAD)

References

Astuti, T. W. (2012). Pengujian Fama and French T hree Factor Model Pada Badan Usaha Sektor Manufaktur yang Terdaftar di Bursa Efek Indonesia Periode 2008 - 2010. Ubaya.

BEI. (2016). Perkembangan ISSI. Retrieved from www.idx.co.id

BI. (2016). sertifikat bank indonesia. Retrieved from www.bi.go.id

Bishop, S.R., Crapp, H.R., Faff, R.W., and White, G. . (2001). Corporate Finance. Prentice Hall Publishers.

britama. (2016). kapitalisasi pasar. Retrieved from www.britama.com

Chui, A. C. W., & Wei, K. C. . (1998). Book-to-Market, Firm Size, and the Turn-of-the-Year Effect: Evidence from Pacific Basin Emerging Markets. Pacific Basin Finance Journal, 6, 275–293.

Drew, M. ., & Veeraraghavan, M. (2002). A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from Kuala Lumpur Stock Exchange. Asian Economic Journal, 1(4), 377–351.

Eduardus, T. (2010). Portofolio dan Investasi (ke lima). Yogyakarta: Kanisius.

Fama, E. F., & French, K. R. (1993). Common Risk Factor in The Return of Stocks and Bonds. Journal of Finance Economics, 33, 3–56.

finance yahoo. (2016). data close price. Retrieved from www.finance.yahoo.com

Fitriati, I, R. (2010). Analisis Hubungan Distress Risk, Firm Size, dan Book to Market Ratio Dengan Return Saham (Pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia Periode 2005-2008). Universitas Diponegoro.

Hardianto, d., dan S. (2009). Pengujian Fama-French Three-Factor Model di Indonesia. Jurnal Keuangan Dan Perbankan, 13(2), 18–28.

idx. (2016). laporan keuangan perusahaan dan harga pasar. Retrieved from www.idx.co.id

Imam, S., & Usman, H. (2000). Asosiasi Antara Set Kesempatan Investasi dengan Kebijakan Pendanaan dan Dividen Perusahaan serta Implikasinya Pada Perubahan Harga Saham. 820–845. SNA IV, IAI.

Ismanto, H. (2011). Analisis Pengaruh Perusahaan, Book to Market Value. Jurnal Ekonomi Dan Pendidikan, 8(2), 186–205.

Malkiel, B. G. (1999). A Random Walk Down Wall Street. W.W. Norton and Company.

Nurafiyana. (2010). Kemampuan Fama and French Model dan CAPM Dalam Menjelaskan Return Saham (Studi Kasus Pada JII periode Januari 2004-Desember 2009). Universitas Islam Negeri Sunan Kalijaga.

Richard, I., & Murhadi, W. (2012). Analisis Pengaruh Three Factor Model Dan Persentase Kepemilikan Asing Terhadap Tingkat Erturn Di Bursa Efek Indonesia. Jurnal Manajemen & Bisnis, 11(2), 213–226.

Sudiyatno, B., & Irsyad, M. (2011). Study of The Three Factor Model Fama and French in Indonesia Stock Exchange. Jurnal Bisinis Dan Ekonomi (JEB), 18(2), 126–136.

Sudjana. (2000). Statistika (Kelima). Bandung: Tarsito.

Vera, P. (2013). Pengaruh Profitabilitas, Leverage dan Ukuran Perusahaan terhadap Return Saham. In Journal of Chemical Information and Modeling (Vol. 53). https://doi.org/10.1017/CBO9781107415324.004

Zulfa, I. (2013). Pengaruh Rentabilitas, Likuiditas, Kecukupan Modal dan Ukuran Perusahaan terhadap Return Saham pada Perusahaan Perbankan yang listing di Bursa Efek Indonesia. Retrieved from http://ir.obihiro.ac.jp/dspace/handle/10322/3933

Downloads

Published

2020-01-20

How to Cite

Komara, E. F., Febrian, E., & Anwar, M. (2020). Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Jurnal Inspirasi Bisnis Dan Manajemen, 3(2), 105–116. https://doi.org/10.33603/jibm.v3i2.2554

Issue

Vol. 3 No. 2 (2019): DESEMBER 2019

Section

Artikel

Citation Check

License

Copyright Notice

Copyright notice:

    1. Authors grants the copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
    2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
    3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access)
 
Jurnal Inspirasi Bisnis dan Manajemen is licensed under a Creative Commons Attribution 4.0 International License