ABSTRAK
ANALISIS PENGARUH STOCK SELECTION SKILLS, MARKET TIMING ABILITY, FUND SIZE, DAN FUND LONGEVITY TERHADAP
KINERJA REKSA DANA SAHAM DI INDONESIA
Penelitian ini dilakukan untuk mengetahui dan menganalisis pengaruh stock selection skill, market timing ability, fund size, dan fund longevity terhadap kinerja reksa dana saham di Indonesia dengan menggunakanpengukuran Sharpe
Ratio. Populasi yang digunakan dalam penelitian ini adalah seluruh reksa dana
saham yang aktif, diketahui tanggal efektifnya dan terdaftar di Badan Pengawas Pasar Modal-Lembaga Keuangan (Bapepam-LK) dimulai periode Desember 2011-Desember 2014, yaitu sebanyak 48 reksa dana saham.Data yang digunakan dalam penelitian ini adalah data sekunder. Penelitian ini menggunakan data Nilai Aktiva Bersih (NAB) bulanan reksa dana, tanggal efektif reksa dana, BI Rate, dan IHSG periode 2012-2014. Penelitian ini menggunakan model data panel dengan teknik analisis regresi linier berganda. Hasil penelitian menunjukkan, secara simultan stock selection skill, market timing ability, fund size, dan fund longevity berpengaruh signifikan terhadap kinerja reksa dana saham. Sedangkan secara parsial, diperoleh hasil bahwa stock selection skill dan market timing ability berpengaruh positif signifikan terhadap kinerja reksa dana dan fund size serta fund
longevity jugaberpengaruh positif tetapi tidak signifikan terhadap kinerja reksa
dana saham.
Kata kunci : stock selection skill, market timing ability, fund size, fund longevity, kinerja reksa dana saham
ABSTRACT
ANALYSIS THE EFFECT OF STOCK SELECTION SKILLS, MARKET TIMING ABILITY, FUND SIZE, AND FUND LONGEVITY ON THE
PERFORMANCE OF FUND SHARES IN INDONESIA
This study was conducted to determine and analyze the effect of stock selection skills, market timing ability, fund size and fund longevity on the performance of mutual fund shares in Indonesia by using Sharpe Ratio’s measure. The population and sample used in this study are all active equity funds, known to the effective date and is listed on the Badan Pengawas Pasar Modal-Lembaga Keuangan (Bapepam-LK) that began from the period December 2011 to December 2014, as many as 48 mutual fund shares. The data used in this research is secondary data. This study uses data monthly Net Asset Value (NAV) of a mutual fund, the effective date of mutual funds, BI Rate, and JCI 2012-2014. This study uses panel data model with multiple linear regression analysis. The results showed, simultaneously stock selection skills, market timing ability, fund size and fund longevity significantly effecting the performance of mutual fund shares. While partially, the result showed that stock selection skills and market timing ability significantly positive effecting the performance of mutual funds and then fund size and fund longevity also positively but not significantly effected the performance of mutual fund shares.
Keywords: stock selection skills, market timing ability, fund size, fund longevity, performance of mutual fund shares
