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"This paper analyzes the relationship between the exchange rate and stock market in Jakarta,Singapore,malaysia,Thailand,Philippine and Hongkong using high frequency data....."

"ABSTRAKPhenomena Stock split telah menjadi teka-teki dan perdebatan di antara para analisis keuangan sampai saat ini, karena terdapat perbedaan antara teori dan praktek yang terjadi di lapangan. Secara teori, stock split hanya akan menambah jumlah saham yang beredar di pasar, tanpa adanya peningkatan keuntungan bagi investor, dan juga tidak meningkatkan kekayaan dan nilai perusahaan. Tapi pada prakteknya, beberapa bukti empiris menunjukkan pasar cenderung bereaksi terhadap pemecahan saham tersebut. Untuk membuktikan phenomena tersebut, maka dilakukan penelitian ini yang bertujuan untuk, menganalisa dan menguji pengaruh pengumuman stock split terhadap abnormal return harga saham dan likuiditas saham pada beberapa perusahaan yang listing di Bursa Efek Jakarta sehingga dapat memberikan output kepada investor dengan adanya kandungan informasi diseputar tanggal pengumuman stock split. Penelitian ini dilakukan dengan melakukan pengamatan terhadap 19 perusahaan yang melakukan stock split di BEJ pada periode 2004 dan 2005. pemilihan sampel dilakukan dengan metode purposive sampling, dengan kriteria yaitu tetap listing di BEJ selama periode penelitian, memiliki data saham dan pasar harian lengkap, tidak melakukan pembayaran dividen kas selama periode peristiwa (event windows), tidak mengumumkan right issue, bonus saham, ataupun corporate action lainnya selama peride peristiwa. Pengujian hipotesis dilakukan dengan menggunakan uji t (t-test) terhadap abnormal return dan volume perdagangan saham. Pengujian ini dilakukan untuk melihat apakah ada abnormal return dan peningkatan volume perdagangan setelah dilakukannya stock split Berdasarkan pengujian yang dilakukan diperoleh hasil bahwa adanya reaksi pasar yang ditunjukkan dengan adanya abnormal retun saham yang signifikan pada periode peristiwa pengumuman stock split yaitu pada t-7,t+1 dan t+2, dan juga hasil yang signifikan terhadap volume perdagangan yang dibandingkan pada saat sebelum dan sesudah scock split.

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ABSTRACT

Stock split phenomenon has been already riddle and debate between financial analysts until now, since there?s difference between the theory and practice. Theoritically, stock split only adds sum of the stock that?s sold at the market, without increasing gains for the investors, assets and value of the firm. But, in the practice, some empirical evidence shows that market has tedency to react it. To prove these phenomenon, the writer did this research to analyze and test the effect of stock split announcement towards stock abnormal return, and stock liqudity at some companies that are listed at BEJ, so that it could give output to the investor about the information that?s contained around the date of stock split announcement. This research is done by doing observation to 19 companies that were doing stock splits at BEJ during the period 2004 and 2005. sample selection used purposive sampling method, with criteria such as; listing at BEJ around the observation period, have complete daily data stocks, didn?t pay cash dividend event windows, didn?t announce right issue, stocks bonus or any other corporation action during stock splits period. Hypothesis testing is done by using t-test for abnormal return and trade volume activity of stocks. This testing is used to sethere are any abnormal returns and increasinng of trade volume activity after the stock split is done. The results of test above it there is market reaction that was shown by significant abnormal return around the period of stock split announcement, which is at period t-7, t+1, t+2, and also a significant for the trade volume activity between before and after stock split."

"Industri Reksa Dana relatif baru bagi Industri Indonesia. Pertama kali diperkenalkan pada tahun 1996 oleh PT. BDNI Reksa Dana dengan aset kelolaan Rp 300 miliar. Produk reksa dana yang pertama adalah reksa dana tertutup artinya hanya dapat dimiliki dengan membeli melalui bursa. Dengan kata lain, mekanismenya sama dengan surat berharga yang dijual di pasar seperti saham, yang memiliki permintaan dan penawaran dan dinilai sesuai dengan harga pasar. Pada Juli tahun yang sama, Bapepam (Badan Pemerintah Pengatur Pasar Modal) mengeluarkan izin agar perusahaan yang terdaftar dapat meluncurkan dan mengelola produk reksa dana kepada publik. Dengan adanya pengetahuan tentang reksa dana, masyarakat kini memiliki alternatif investasi selain pasar uang dan instrumen investasi lainnya. Pemerintah juga memberikan insentif bagi industri new born dengan memberikan kupon obligasi bebas pajak yang dialokasikan pada reksa dana yang bertenor di bawah lima tahun. Hasilnya positif. Nilai Aktiva Bersih dari total aset kelolaan dan jumlah produk reksa dana tumbuh signifikan. Pada tahun 2000, dana kelolaan dan total produk reksa dana masing-masing mencapai Rp 5,5 triliun dan 94. Orang-orang tampaknya mempercayakan dananya kepada manajer investasi yang lebih ahli dalam menciptakan portofolio dengan ekspektasi pengembalian yang lebih tinggi. Tujuan penelitian ini adalah untuk mengukur kinerja kemampuan manajer investasi dalam mengelola portofolio. Manajemen portofolio dikategorikan oleh 2 strategi: manajemen portofolio aktif dan manajemen portofolio pasif. Pra-asumsi penulisan ini adalah bahwa semua manajer investasi menggunakan strategi manajemen portofolio aktif strategi pasif diasumsikan hanya mengindeks dana ke pasar, maka kinerjanya akan sama dengan pasar itu sendiri. Di sisi lain, strategi aktif memerlukan penelitian saham yang mendalam dan memprediksi perubahan indikator ekonomi makro, yang dikenal sebagai kemampuan pemilihan saham dan market timing.

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Mutual Fund industry is relatively new to Indonesian Industry. It was first introduced in 1996 by PT. BDNI Reksa Dana with asset under management of IDR 300 billion. The first mutual fund product was an closed-end fund meaning that it only could be owned by purchasing through bourse. In other words, the mechanism was same as securities sold in market such as stocks, which had demand and supply and valued as market price. In July of the same year, Bapepam (Capital Market Regulatory Government Agency) issued permits that registered companies could launch and manage mutual fund products to public. Given knowledge about mutual fund, public now have alternative for investment besides money market and other investment instrument. The government also gave incentive for the new born industry by giving tax-free coupon bond allocated in mutual fund that has tenor below five year. The result was positive. The Net Asset Value of total asset under management and the number of mutual fund products grew significantly. By year of 2000, the asset under management and total mutual fund product reached IDR 5.5 trillion and 94 respectively. People seemed to trust their fund to investment manager who had more expertise in creating portfolios with higher expected of return. The purpose of this dissertation is to measure the performance of investment manager ability in managing the portfolios. Portfolio management is categorized by 2 strategies: active portfolio management and passive portfolio management. Pre-assumption this writing is that all investment managers are using active portoflio management strategy the passive strategy assumed only indexing the fund to the market, hence the performance would be the same as the market itself. On the other hand, the active strategies require deep research of stocks and predicting the change in marco-economics indicator, known as the ability of stock selection and market timing."

"This thesis wants to explore the effectiveness of momentum or contrarian strategy in Indonesian Stock Exchange using different methods in measuring the performance. The point of momentum or contrarian strategy is selecting winner (stocks with highest gain) or loser stock (stocks with highest loss) and then buy or sell it depend on the research result. This research using three methods in measuring performance used to select winner and loser stock. The first method is using cross section relative return, the second method is using cross section relative return plus risk component (return divided by standard deviation), and the third method is using historical relative return instead of cross section. The result is that, all of those three methods prove that momentum strategy is effectively applicable for winner stock, so in the next period winner stock will continue to make profit, while for loser stock, it is more effective to use contrarian strategy because in the next period, loser stock will rebound and make profit after suffering from high loss."