BETA CALCULATION ALTERNATIVES USING IHSG AND LQ45 ON AGRICULTURE, BASIC INDUSTRY, CONSUMER GOODS AND MANUFACTURE SECTORS JSX CASE: 2002-2006
By: Ardhi Agung Pradhana 19004018
Undergraduate Program School of Business and Management Institut Teknologi Bandung
ABSTRACT There are two main market indices in Indonesia, IHSG and LQ45. Each of them has a different structure. In one hand, IHSG is the index that represents all of the stocks that are listed in the stock market. On the other hand, LQ45 only contains 45 stocks that are most liquid and have a big influence to the market. In this research, the more influential index in 4 sectors: Agriculture, Basic Industry, Consumer Goods, and Manufacture will be determined, in the context of forecasting the expected return in the next period. To calculate the expected return, this research use CAPM (Capital Asset Pricing Method) method. CAPM method needs beta (β) of each sector to calculate the return. β will be calculated first, using the 5 years historical data of each sector. After the β and the expected return using each index has been calculated with the CAPM, the result of will be compared with the actual return in the next period. For example, the expected return in the January will be compared with the actual return of February. In the comparison, the gap can be seen. The gap will also be compared to see which gap is smaller, gap IHSG or gap LQ45. The gap will be compared using mean analysis and variance analysis, furthermore t-test and Ftest. From the mean analysis, the result shows that all the 4 sectors tend to follow the IHSG index. The gap IHSG is always smaller than the gap LQ45. In the variance analysis, the null hypothesis is that variance gap IHSG is smaller than the variance gap LQ45, which means that the volatility of the gap IHSG is smaller than the gap LQ45. The result shows that there is no significant evidence to reject the null hypothesis. In the mean time, the gap IHSG can be considered of having the smaller volatility than the gap LQ45. In the end, all of the 4 sectors are best use the IHSG index to calculate the expected return. The expected return has the more accurate result and the volatility is also smaller. Key Words : IHSG, LQ45, CAPM, Gap, Mean Analysis, Variance Analysis, Volatility.
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ABSTRAKSI Di Indonesia ada dua indeks pasar yang pokok, IHSG dan LQ45. Masingmasing punya struktur yang beda. Di satu sisi IHSG berisikan semua saham yang terdaftar di pasar modal, sedangkan LQ45 hanya berisikan 45 saham yang paling berpengaruh dan paling likuid. Dalam riset ini akan diketahui indeks mana yang lebih bisa dipakai di 4 sektor industri: Pertanian, Industri Dasar dan Kimia, Consumer Goods, dan Manufaktur dalam konteks untuk menghitung nilai pendapatan di periode mendatang. Untuk menghitung nilai pendapatan, riset ini menggunakan metode CAPM (Capital Assets Pricing Method), menggunakan beta (β) yang akan didapat dari data historik selama 5 tahun dari tiap- tiap sektor. Setelah β dan ekspektansi nilai pendapatan tiap sektor sudah didapatkan, hasilnya akan dibandingkan dengan nilai pendapatan sebenarnya. Setelah dibandingkan, selisihnya akan kelihatan. Selisih dari nilai pendapatan menggunakan IHSG aka dibandingkan dengan selisih dari nilai pendapatan menggunakan LQ45, mana yang lebih kecil selisihnya. Selisih ini akan dianalisis menggunakan metode rata-rata dan metode varian, lebih detilnya melewati t-test dan F-test. Dari metode rata-rata akan kelihatan selisih yang lebih kecil, dan kesemua 4 sektor lebih cenderung mengikuti IHSG, selisihnya selalu lebih kecil daripada LQ45. Lewat metode varian akan ketahuan mana yang lebih volatil, karena mungkin lewat rata-rata satu index lebih baik dari yang lain, tetapi ada kemungkinan dia lebih volatil yang menyebabkan hasilnya menjadi tidak akurat. Hipotesa awal di riset ini adalah bahwa selisih IHSG mempunyai varian yang lebih kecil dari selisih LQ45, dan hasilnya adalah bahwa tidak ada hasil yang signifikan yang dapat membuat hipotesa awal ditolak. Jadi untuk saat ini selisih IHSG dapat dikatakan mempunyai volatilitas lebih kecil daripada selisih LQ45. Pada akhirnya dari 4 sektor semua lebih baik menggunakan IHSG untuk menghitung nilai ekpektansi pendapatan di periode mendatang. Hasilnya lebih akurat dan mempunyai volatilitas yang lebih kecil
Kata Kunci : IHSG, LQ45, CAPM, Selisih, Metode Rata-Rata, Metode Varian, Volatilitas.
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BETA CALCULATION ALTERNATIVES USING IHSG AND LQ45 ON AGRICULTURE, BASIC INDUSTRY, CONSUMER GOODS AND MANUFACTURE SECTORS JSX CASE: 2002-2006
By: Ardhi Agung Pradhana 19004018
Undergraduate Program School of Business and Management Institut Teknologi Bandung v
VALIDATION PAGE
BETA CALCULATION ALTERNATIVES USING IHSG AND LQ45 ON AGRICULTURE, BASIC INDUSTRY, CONSUMER GOODS AND MANUFACTURE SECTORS JSX CASE: 2002-2006
By: Ardhi Agung Pradhana 19004018
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Validated By
Deddy P. Koesrindartoto Ph.D NIP: 999 059 102 vii
FOREWORD Praise the Lord for His never-ending blesses. He is the only reason that the writer can finish this research. The writer would also like to thank the people that are involved in finishing this research: 1. Mr. Deddy P. Koesrindartoto Ph.D as the supervisor of this research. Thank you for the guidance, motivation, and knowledge. 2. Mr. Hanif from Jakarta Stock Exchange for the 5 years historical data of IHSG, LQ45, Agriculture, Basic Industry, Consumer Goods, and Manufacture indexes. 3. My family that always supports me. 4. Ms. Widita Rarasati for her guidance in calculating the F-test. 5. Mr. Aryo F. Syaifulloh whom I shared a lot in finishing this research. 6. Ms. Yoan Eldilian for lending her house as the base camp in finishing this research. 7. All of my friends in SBM-ITB that cannot be mentioned one by one. I aware that this research is far from perfect and needs a following research that can complement this research.
Bandung, July 2007
Ardhi Agung Pradhana
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LIST OF CONTENTS ABSTRACT……………………………………………………….... i VALIDATION PAGE………………………………………………
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FOREWORD………………………………………………………..
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LIST OF CONTENTS………………………………………………
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LIST OF FIGURES…………………………………………………
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LIST OF TABLES…………………………………………………..
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LIST OF SYMBOLS………………………………………………..
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LIST OF EQUATION………………………………………………
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LIST OF APPENDICES…………………………………………….
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CHAPTER 1 INTRODUCTION……………………………………
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1.1 Background……………………………………………
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1.2 Problem Identification………………………………… 2 1.3 The Importance of Problem Solving………………….. 2 1.4 Problem Limitation……………………………………
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1.5 Report Outline………………………………………… 3 CHAPTER 2 THEORITICAL FOUNDATIONS…………………..
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CHAPTER 3 METHODOLOGY…………………………………...
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3.1 Preliminary Study……………………………………..
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3.2 Problem Identification………………………………… 10 3.3 Hypothesis…………………………………………….
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3.4 Literature Study……………………………………….
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3.5 Data Collection………………………….…………….
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3.6 Data Analysis……………………………….…………
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3.7 Test Hypothesis………………………….……………. 12 3.8 Conclusion………………………….…………………
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CHAPTER 4 DATA COLLECTION AND ANALYSIS…………..
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4.1 Data Collection………………….…………………….
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4.1.1 IHSG…………………….………………………
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4.1.2 LQ45……………………….……………………
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4.1.3 Agriculture……………………….……………...
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4.1.4 Basic Industry…………………….……………..
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4.1.5 Consumer Goods……………………….……….. 22 4.1.6 Manufacture………………….………………….
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4.2 Data Analysis……………………………….…………
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4.2.1 Mean Analysis………………………….……….. 25 4.2.1.1 Agricultural…………………….………..
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4.2.1.2 Basic Industry…………………….……..
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4.2.1.3 Consumer Goods…………………….….
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4.2.1.4 Manufacture……………….…………….
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4.2.2 Variance Analysis……………………….………
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4.2.2.1 Agriculture…………….………………...
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4.2.2.2 Basic Industry………………….………..
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4.2.2.3 Consumer Goods…………………..……. 36 4.2.2.4 Manufacture…………………….……….
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CHAPTER 5 CONCLUSIONS AND RECOMMENDATIONS…...
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5.1 Conclusion……………………….……………………
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5.1.1 Agriculture…………………….………………...
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5.1.2 Basic Industry………………………….………..
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5.1.3 Consumer Goods………………………….…….
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5.1.4 Manufacture………………….………………….
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5.2 Recommendation…………………….………………..
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REFERENCES………………………………….…………………..
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APPENDIX……………………………………….…………………
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LIST OF FIGURES Figure 2.1 Markowitz Efficient Frontier Model………………….....
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Figure 3.1 Flow Diagram Methodologies…………………………...
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Figure 4.1 IHSG Trend from Year 2002 to 2006…………………… 15 Figure 4.2 LQ45 Trend from Year 2002 to 2006…………………… 16 Figure 4.3 Agriculture Index Trend from Year 2002 to 2006……..... 20 Figure 4.4 Basic Industry Index Trend from Year 2002 to 2006…… 21 Figure 4.5 Consumer Goods Index Trend from Year 2002 to 2006...
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Figure 4.6 Manufacture Index Trend from Year 2002 to 2006……... 23 Figure 4.7 Agriculture Gap IHSG and Gap LQ45 Trend…………...
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Figure 4.8 Basic Industry Gap IHSG and Gap LQ45 Trend………... 30 Figure 4.9 Consumer Goods Gap IHSG and Gap LQ45 Trend……..
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Figure 4.10 Manufacture Gap IHSG and Gap LQ45 Trend………….. 34
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LIST OF TABLES Table 4.1 LQ45 List from February 2004 to January 2005…………
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Table 4.2 LQ45 List from February 2005 to January 2006…………
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Table 4.3 LQ45 List from February 2006 to January 2007…………
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Table 4.4 Agriculture Expected Return Calculation………………... 24 Table 4.5 Agriculture Sector Gap IHSG and Gap LQ45……………
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Table 4.6 Agriculture Sector t-test Result…………………………... 27 Table 4.7 Basic Industry Sector Gap IHSG and Gap LQ45………...
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Table 4.8 Basic Industry Sector t-test Result……………………….. 29 Table 4.9 Consumer Goods Sector Gap IHSG and Gap LQ45……... 30 Table 4.10 Consumer Goods Sector t-test Result………………….....
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Table 4.11 Manufacture Sector Gap IHSG and Gap LQ45……..........
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Table 4.12 Manufacture Sector t-test Result………………………..... 34 Table 5.1 Research Result…………………………………………... 39
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LIST OF SYMBOLS β
: Beta, level of risk in a portfolio.
E ( Ri )
: The expected return of the portfolio, in this research it is the each sector index’s return.
Rf
: The risk-free rate of interest (SBI rate)
E ( Rm )
: The expected return of the market
Covar
: Covariance, a measure of common movement (Grinold, Richard C, 1993:28).
μ
: Mean, a measure of central tendency (Levine, Krehbiel, Berenson, 2003:101).
σ2
: Variance
df
: Degree of freedom
FU
: Upper-tail critical value
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LIST OF EQUATION Equation 2.1 Calculation Formula for IHSG………………………….
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Equation 2.2 Formula for Adjusting the Base Value………………….
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Equation 2.3 Capital Asset Pricing Model Formula…………………..
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Equation 2.4 Beta Calculation Formula……………………………….
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Equation 2.5 t-test Calculation Formula ……………………………...
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Equation 2.6 F-test Calculation Formula……………………………...
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LIST OF APPENDICES Appendix A Agriculture Expected Return Calculation……………….
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Appendix B Basic Industry Expected Return Calculation……………
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Appendix C Consumer Goods Expected Return Calculation…………
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Appendix D Manufacture Expected Return Calculation……………...
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