Luqman Hakim, . and Sri Retnaning Sampurnaningsih, . and Siti Nur’aidawati, . and Aang Aribawa, . (2023) Portfolio ownership in the excess return model at Indonesian stock exchange. JPPI (Jurnal Penelitian Pendidikan Indonesia), 9 (4). pp. 652-666. ISSN 2477-8524
|
Text
Artikel Portofolio ownership in the excess return model at Indonesian stock exchange.pdf Download (26MB) | Preview |
Abstract
This research is intended to analyze and answer the phenomenon of decreasing market return trends which are inversely proportional to Foreign Portfolio Investment (FK), Global Risk (Rwf), Small minus Big (SmB), High minus Low (HmL), Win minus Lose (WmL) as determinant of Foreign Ownership (FO)which has implications for Excess Return (ER) and is the background for this research. This type of research is descriptive quantitative with multiple regression analysis method of panel data using 9 samples from 9 business sectors. This research formula is to maximize the Excess Return value through Portfolio Ownership as an intervening variable using research objects of companies on the Indonesia Stock Exchange. Two research models are integrated into one and each goes through model selection test stages, Chow Test, Hausman Test, and Lagrange Multiplier Test. First result; An increase in FK can explain the impact of an increase in FO, these results confirm the prevailing theory. Other results are not in line with existing theory, namely a decrease in SmB can explain the impact on a decrease in FO, while other exogenous variables Rwf, HmL, and WmL cannot explain the effect on FO.Second result; The increase in HmL, WmL and FO can explain the impact of the increase on ER and apart from that, FO can also explain its function as an intervening variable, while the other exogenous variable Rwf can explain the impact but is not in line with theory because it is negatively correlated. As for the other variables, FK cannot explain their impact on ER. It is hoped that these results can help as a guide for foreign investors on the Indonesia Stock Exchange to get maximum Excess Returns.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Development, Digital Tourism, SWOT Analysis |
| Subjects: | H Social Sciences > HG Finance |
| Depositing User: | Mahlil Muhammad |
| Date Deposited: | 22 Apr 2026 05:49 |
| Last Modified: | 22 Apr 2026 05:49 |
| URI: | http://repository.unpam.ac.id/id/eprint/19407 |
Actions (login required)
 |
View Item |
