PENGARUH KINERJA KEUANGAN EMITEN TERHADAP PENINGKATAN PROPORSI KEPEMILIKAN INVESTOR ASING DI BEJ SELAMA KRISIS EKONOMI

This research has three objectives. The first objective is to analyze influence of several financial performance on increasing foreign stock ownership at Jakarta Stock Exchange after issuing Keputusan Menteri Keuangan RI No. 455/KMK.01/1997 dated September 4, 1997 and Peraturan Pemerintah No. 29 dated May 7, 1999 that abandone restriction on foreign investor to own stock companies listed at Jakarta Stock Exchange up to 100% (except Banking sector up to 99%) with both partially and simultantly. The second one is to analyze the relationship between the sensitivity of stocks return to changes in returns on the market index. Finally, the last one is to analyze the beta of stocks return relative to the beta of return on the market index.

The sample was taken by using non probability random sampling (purposive sampling method). The population cover a whole companies listed at Jakarta Stock Exchange that consist of foreign stock ownership at their capital structure, while the taken sample consist of 24 companies, the research period of 18 quarterly (September 1997 up to December 2001). The data were analyzed by multiple regression through Ordinary Least Square (OLS), Pearson Correlation and Beta Coefficient.

The research result show that from the five financial ratio factors assumed to influence on increasing foreign stock ownership under investigation, there are one factor which partially show negative and one factor which partially show positive and both of them significant influence : Debt to Equity Ratio (-) and Earning Per Share (+) with degree of less than 10%, while Net Profit Margin, Growth Sales and Price Earning Ratio are not significant. 

Based on the research results, it is also discovered that financial performance which represent five financial ratio factors have weak influence in explaining increase foreign stock ownership at Jakarta Stock Exchange (September 1997 up to December 2001), in which Adjusted R2 is only 2,6%, which means that increase foreign stock ownership variation is mostly determined by speculation motive, that is other factor not included in the model. This speculation motive was known by the result show that beta coefficient of stocks return sample companies is 13,89% which bigger than beta coefficient of return on the market index is only 5,35%.

Actual speculation motive on increasing foreign stock ownership at Jakarta Stock Exchange is the same as the one happened in the previous research by Solnik, B. (1995), which concludes that international investor prefer to invest on stocks and fixed income securities in the emerging stock markets than in the developed stock markets because of gaining the higher potential return in very short term periods. 

 The research result also show that the stocks return have weak relationship to changes in returns on the market index, in which Pearson Correlation is only 0,295 less than 0,40.

by : Roni Adi & Ario Wishnu Adhikari