Relasi Rating Obligasi dan Market Indeks Pasar Modal Indonesia

Amirah -(1),


(1) Jl. Halmahera KM 1, Kota Tegal

Abstract

Tujuan dari penelitian ini adalah untuk menguji pengaruh perubahan rating obligasi baik saat di upgrade dan downgrade pada kepekaan hubungan antara return saham dan return pasar. Selain itu, penelitian ini menguji pengaruh perubahan rating obligasi terhadap intercept dan koefisien dalam model. Purposive sampling digunakan sebagai metode sampling dengan persyaratan semua penerbitan saham dan obligasi diambil dari Bursa Efek Indonesia pada 2000-2007 dan regresi linier sederhana dengan variabel dummy digunakan sebagai metode statistik. Hasil penelitian ini menunjukkan perubahan rating obligasi yang telah diupgrade yang menurunkan sensitivitas hubungan antara return saham dan return pasar. Sebaliknya, perubahan rating downgrade obligasi meningkatkan sensitivitas hubungan antara return saham dan return pasar. Dampak dari perubahan rating obligasi yang tidak signifikan karena perubahan rating obligasi telah diantisipasi oleh para investor.

 


The purpose of this research is to examine the effect of obligation rating change both in upgrade and downgrade on the sensitivity of relationship between stock return and return market. In addition, this study examine the effect of obligation rating change to the intercept and coefficient in the model. Purposive sampling is used as sampling method with the requirement of all publishing stock and obligation taken from Indonesian Stock Exchange in 2000-2007 and simple linier regression with dummy variable is used as statistic method.  The result of this research shows that upgraded obligation rating change which decreases the sensitivity of relationship between stock return and market return. On the opposite, the downgrade obligation rating change increases the sensitivity of relationship between stock return and return market. The effect of obligation rating change which is not significant since the obligation rating change has been anticipated by the investors.

Keywords

Obligation rating change; Single index model; Stock return; Market return

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