ANALISIS HUBUNGAN DAN PENGARUH KINERJA KEUANGAN TERHADAP IMBAL HASIL DAN RISIKO SAHAM PADA PERUSAHAAN ASURANSI DI BURSA EFEK JAKARTA PERIODE 1999-2004
GROUP PENELITIAN VINCENTIUS ARIO B. W.
0300438673
IFFATUL MAULA
0400508075
HANDY
0400516101
PROGRAM PASCASARJANA PROGRAM STUDI MAGISTER MANAJEMEN KEUANGAN UNIVERSITAS BINA NUSANTARA JAKARTA 2006
DAFTAR ISI Halaman Judul ......................................................................................................
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Halaman Pernyataan ............................................................................................
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Persetujuan Pembimbing ......................................................................................
iii
KATA PENGANTAR .........................................................................................
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ABSTRAK ...........................................................................................................
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DAFTAR ISI ........................................................................................................
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DAFTAR GAMBAR ...........................................................................................
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DAFTAR TABEL ................................................................................................
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BAB 1 PENDAHULUAN ................................................................................. 1 1.1 Latar Belakang ......................................................................................... 1 1.2 Perumusan Masalah ................................................................................. 4 1.3 Tujuan Dan Manfaat ................................................................................ 5 1.4 Ruang Lingkup Pembahasan .................................................................... 7 1.5 Metodologi Penelitian .............................................................................. 9 1.6 Sistematika Penulisan .............................................................................. 12 BAB 2 LANDASAN TEORI ............................................................................ 14 2.1 Asuransi ................................................................................................... 14 2.1.1 Pengertian Asuransi ........................................................................... 14 2.1.2 Manfaat Asuransi ............................................................................... 15 2.1.3
Prinsip dan Jenis Usaha Asuransi ..................................................... 16
2.1.4 Istilah dan Cara Kerja Asuransi .......................................................... 19 2.1.5 Asuransi Jiwa ...................................................................................... 23 2.1.5.1 2.1.6
Bentuk Akuntansi Asuransi Jiwa ............................................... 24
Asuransi Kerugian ............................................................................. 27
2.1.6.1
Bentuk Akuntansi Asuransi Kerugian ...................................... 27
2.1.7 Risiko dan Ketidakpastian ................................................................. 31 2.1.8
Pengukuran Kinerja Keuangan Asuransi ............................................ 34 ii
2.2
Pasar Modal .............................................................................................. 38
2.3
Saham........................................................................................................ 42
2.4
Laporan Keuangan .................................................................................... 45
2.4.1 2.5
Karakterisitik Kualitatif Laporan Keuangan....................................... 49
Analisis Rasio Keuangan .......................................................................... 51
2.5.1
Risk Based Capital (RBC) .................................................................. 52
2.5.2
Return On Asset (ROA) ...................................................................... 53
2.5.3
Return On Equity (ROE)..................................................................... 55
2.5.4
Rasio Likuiditas (Current Ratio) ........................................................ 55
2.6
Keterbatasan Analisis Rasio ..................................................................... 56
2.7
Pengukuran Imbal Hasil Dan Risiko Saham............................................. 58
2.8
Pengujian Statistik .................................................................................... 60
2.8.1
Korelasi (Correlation) ........................................................................ 60
2.8.2
Regresi Sederhana (Simple Regression) ............................................. 62
2.8.3
Regresi Berganda (Multiple Regression) ............................................ 65
2.8.4
Uji Problem Regresi............................................................................ 68
2.8.4.1
Multikolinearitas (Multicollinearity) ......................................... 68
2.8.4.2
Autokorelasi (Autocorrelation).................................................. 69
2.8.4.3
Heteroskedastisitas (Heteroscedasticity) ................................... 73
BAB 3 METODE PENELITIAN....................................................................... 75 3.1
Kerangka Pikir .......................................................................................... 75
3.2
Metode Pengumpulan Data....................................................................... 79
3.3
Model dan Metode Analisis ...................................................................... 79
3.4
Variabel Penelitian.................................................................................... 82
3.5
Operasionalisasi Variabel ......................................................................... 85
3.6
Hipothesis ................................................................................................. 85
3.7
Uji Hipotesis ............................................................................................. 88
3.8
Populasi dan Sampel ................................................................................. 91
BAB 4 HASIL DAN PEMBAHASAN.............................................................. 93 4.1
Gambaran Umum Sampel Penelitian........................................................ 93
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4.1.1 PT. Asuransi Bina Dana Arta Tbk ...................................................... 93 4.1.1.1
Sejarah Singkat Perseroan.......................................................... 93
4.1.1.2
Struktur Organisasi Perseroan.................................................... 94
4.1.2
PT. Asuransi Harta Aman Pratama Tbk ............................................. 95
4.1.2.1
Sejarah Singkat Perseroan.......................................................... 95
4.1.2.2
Struktur Organisasi Perseroan.................................................... 96
4.1.3
PT. Asuransi Bintang Tbk................................................................... 97
4.1.3.1
Sejarah Singkat Perseroan.......................................................... 97
4.1.3.2
Struktur Organisasi Perseroan.................................................... 98
4.1.4
PT. Asuransi Dayin Mitra Tbk............................................................ 99
4.1.4.1
Sejarah Singkat Perseroan.......................................................... 99
4.1.4.2
Struktur Organisasi Perseroan.................................................... 100
4.1.5
PT. Asuransi Ramayana Tbk .............................................................. 100
4.1.5.1
Sejarah Singkat Perseroan.......................................................... 100
4.1.5.2
Struktur Organisasi Perseroan.................................................... 101
4.1.6
PT. Lippo General Insurance Tbk....................................................... 102
4.1.6.1
Sejarah Singkat Perseroan.......................................................... 102
4.1.6.2
Struktur Organisasi Perseroan.................................................... 103
4.1.7
PT. Panin Insurance Tbk..................................................................... 104
4.1.7.1
Sejarah Singkat Perseroan.......................................................... 104
4.1.7.2
Struktur Organisasi Perseroan.................................................... 105
4..1.8 PT. Panin Life Tbk.............................................................................. 106
4.2
4.1.8.1
Sejarah Singkat Perseroan.......................................................... 106
4.1.8.2
Struktur Organisasi Perseroan.................................................... 107
Hasil Pengujian Korelasi........................................................................... 107
4.2.1 PT. Asuransi Bina Dana Arta Tbk ...................................................... 108 4.2.2
PT. Asuransi Harta Aman Pratama Tbk ............................................. 108
4.2.3
PT. Asuransi Bintang Tbk................................................................... 109
4.2.4
PT. Asuransi Dayin Mitra Tbk............................................................ 110
4.2.5
PT. Asuransi Ramayana Tbk .............................................................. 110
4.2.6
PT. Lippo General Insurance Tbk....................................................... 111
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4.2.7
PT. Panin Insurance Tbk..................................................................... 112
4.2.8
PT. Panin Life Tbk.............................................................................. 112
4.3
Pembahasan Hasil Pengujian Korelasi...................................................... 113
4.4
Hasil Pengujian Regresi Linier Berganda................................................. 115
4.5
Pembahasan Hasil Pengujian Regresi Linier Berganda............................ 116
BAB 5 KESIMPULAN DAN SARAN.............................................................. 117 5.1
Kesimpulan ............................................................................................... 117
5.1.1
Hubungan Kinerja Keuangan Perusahaan Asuransi Dengan Imbal Hasil Sahamnya.......................................................... 117
5.1.2
Hubungan Kinerja Keuangan Perusahaan Asuransi Dengan Risiko Sahamnya ................................................................... 118
5.1.3
Pengaruh Kinerja Keuangan Perusahaan Asuransi Terhadap Imbal Hasil dan Risiko Sahamnya ..................................... 119
5.1.4 5.2
Secara Umum...................................................................................... 120
Saran ......................................................................................................... 120
DAFTAR ACUAN .............................................................................................. 122 DAFTAR PUSTAKA .......................................................................................... 123 LAMPIRAN ......................................................................................................... L1 RIWAYAT HIDUP
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DAFTAR TABEL Tabel 2.1
Pengambilan keputusan berdasarkan Durbin-Watson ..................... 72
Tabel 3.1
Tabel Operasionalisasi Variabel ...................................................... 85
Tabel 3.2
Deskripsi Hipotesis Penelitian ......................................................... 88
Tabel 4.1
Hasil Uji Korelasi PT. Asuransi Asuransi Bina Dana Arta, Tbk..... 108
Tabel 4.2
Hasil Uji Korelasi PT. Asuransi Harta Aman Pratama Tbk ........... 108
Tabel 4.3
Hasil Uji Korelasi PT. Asuransi Bintang Tbk ................................. 109
Tabel 4.4
Hasil Uji Korelasi PT. Asuransi Dayin Mitra Tbk .......................... 110
Tabel 4.5
Hasil Uji Korelasi PT. Asuransi Ramayana Tbk ............................. 110
Tabel 4.6
Hasil Uji Korelasi PT. Lippo General Insurance Tbk...................... 111
Tabel 4.7
Hasil Uji Korelasi PT. Panin Insurance Tbk.................................... 112
Tabel 4.8
Hasil Uji Korelasi PT. Panin Life Tbk............................................. 112
Tabel 4.9
Pembahasan Hasil Uji Korelasi Terhadap Imbal Hasil Saham........ 113
Tabel 4.10 Pembahasan Hasil Uji Korelasi Terhadap Risiko Saham ................ 113 Tabel 4.11 Hasil Uji Regresi Linier Berganda Imbal Hasil Saham Terhadap Semua Sampel Perusahaan Asuransi ............................... 115 Tabel 4.12 Hasil Uji Regresi Linier BergandaRisiko Saham Terhadap Semua Sampel Perusahaan Asuransi ............................... 116
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DAFTAR GAMBAR Gambar 2.1
Cara Kerja Asuransi...................................................................... 22
Gambar 3.1
Tahapan Uji Korelasi .................................................................... 76
Gambar 3.2
Tahapan Uji Regresi Berganda ..................................................... 77
Gambar 3.3
Kerangka Pikir Penelitian ............................................................. 78
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