Tag Archives: Indonesia Stock Exchange

Effect of Government Regulation on Import Quota of Maize. Case of the Indonesian Animal Feed Companies (Published)

Animal feed industry is one of the industries in Indonesia that fulfills the food demand of the community. The demand for food will always increase as the population grows. This unidirectional relationship allows the animal feed industry to have great potential of growth. High profitability appeals to investors because the expected return may result the excess. Investors will give the positive sentiment if the average actual return generated exceeds the expected return. Three factors model is able to show that excess return is influenced by risk premium, firm size and book to market ratio. This study was carried out to analyze Three Factors Model Fama-French’s variables developed from CAPM Model by Fama-French in order to comprehend the effect of market, size and book to market ratio of stock return on animal feed industries in Indonesia Stock Exchange. The sample of this study are five firms from animal feed industries ranging from the period of January 2011 to December 2016. This study used model and analyzed by panel data regression with common effect model. On the result was found that market, SMB, HML, and dummy of Three Factors Model Fama-French in animal feed industries in Indonesia Stock Exchange are very fluctuative during the period of January 2011 to December 2016.  The model indicated that market, size, book to market ratio and government regulation have the significant effect on the excess return of five firms.

Keywords: Animal Feed Industry, Indonesia Stock Exchange, Three Factors Model Fama-French

Effect of Government Regulation on Import Quota of Maize. Case of the Indonesian Animal Feed Companies (Published)

Animal feed industry is one of the industries in Indonesia that fulfills the food demand of the community. The demand for food will always increase as the population grows. This unidirectional relationship allows the animal feed industry to have great potential of growth. High profitability appeals to investors because the expected return may result the excess. Investors will give the positive sentiment if the average actual return generated exceeds the expected return. Three factors model is able to show that excess return is influenced by risk premium, firm size and book to market ratio. This study was carried out to analyze Three Factors Model Fama-French’s variables developed from CAPM Model by Fama-French in order to comprehend the effect of market, size and book to market ratio of stock return on animal feed industries in Indonesia Stock Exchange. The sample of this study are five firms from animal feed industries ranging from the period of January 2011 to December 2016. This study used model and analyzed by panel data regression with common effect model. On the result was found that market, SMB, HML, and dummy of Three Factors Model Fama-French in animal feed industries in Indonesia Stock Exchange are very fluctuative during the period of January 2011 to December 2016.  The model indicated that market, size, book to market ratio and government regulation have the significant effect on the excess return of five firms.

Keywords: Animal Feed Industry, Indonesia Stock Exchange, Three Factors Model Fama-French

Arbitrage Pricing Theory as Investment Decision Making Tools. Case of the Indonesian Oil, Gas, and Coal Mining Firms (Published)

Fossil energy sources such as oil, gas, and coal are the primary energy sources to support global modern economy. Over the last six years, global coal and oil prices has fell to its lowest in the last decades and drove Indonesian energy mining sector performances to collapse. The dependency to global energy prices creates uncertainty among investor, thus compelling the necessity of investment tools that could advise investor to take investment decision. Arbitrage Pricing Theory (APT) has been proven to be one of the most reliable asset pricing tools utilizing macro-multifactors. This research purposes are to utilize APT model as tools to predict eleven firms in coal, oil, and gas mining prices and analyzing macro factors of global coal, oil, and gas prices, exchange rate, interest rate, and consumer price index to give investment decision-making indication. This research use Seemingly Unrelated Regression weighted pooled least square method in panel data structure. Observing 6-year period using monthly data. This reasearch found that APT model could be use as technical tools to estimate the prices and return of stock prices of eleven firms. By utilizing mispricing moment, this model could also give investment decision making indication to investor.

Keywords: Arbitrage Pricing Theory, Energy Mining Sector, Indonesia Stock Exchange, Seemingly Unrelated Regression