Portfolio ownership in the excess return model at Indonesian stock exchange

This research is to analyze and answer the phenomena of Foreign Portfolio Investment (FK), Global Risk (Rwf), Small minus Big (SmB), High minus Low (HmL), Win minus Lose (WmL) as determinants of Foreign Ownership (FO) which have implications for Excess Return (ER). The formula is to maximize the val...

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Main Authors: Luqman Hakim, Sri Retnaning Sampurnaningsih, Siti Nuraidawati, Aang Aribawa
Format: Article
Language:English
Published: Indonesian Institute for Counseling, Education and Therapy (IICET) 2023-12-01
Series:JPPI (Jurnal Penelitian Pendidikan Indonesia)
Subjects:
Online Access:https://jurnal.iicet.org/index.php/jppi/article/view/3186
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author Luqman Hakim
Sri Retnaning Sampurnaningsih
Siti Nuraidawati
Aang Aribawa
author_facet Luqman Hakim
Sri Retnaning Sampurnaningsih
Siti Nuraidawati
Aang Aribawa
author_sort Luqman Hakim
collection DOAJ
description This research is to analyze and answer the phenomena of Foreign Portfolio Investment (FK), Global Risk (Rwf), Small minus Big (SmB), High minus Low (HmL), Win minus Lose (WmL) as determinants of Foreign Ownership (FO) which have implications for Excess Return (ER). The formula is to maximize the value of Excess Return through Portfolio Ownership, the object of research for companies on the Indonesia Stock Exchange. First results; an increase in FK can explain the impact on an increase in FO, these results confirm the prevailing theory. Other results are not like the existing theory, namely a decrease in SmB can explain the impact on a decrease in FO, while Rwf, HmL, and WmL cannot explain its effect on FO. Second result; the increase in HmL, WmL and FO can explain the impact of the increase in ER. Another thing FO can also explain its function as an intervening variable. Rwf can also explain the impact but it is not in line with the negative correlation theory. The FK has no impact on ER. These results are expected to help as a guide for foreign investors in the Indonesia Stock Exchange to obtain maximum excess returns.
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id doaj-art-01a3962650e24e8aaa35dd705bea15d4
institution Kabale University
issn 2477-8524
2502-8103
language English
publishDate 2023-12-01
publisher Indonesian Institute for Counseling, Education and Therapy (IICET)
record_format Article
series JPPI (Jurnal Penelitian Pendidikan Indonesia)
spelling doaj-art-01a3962650e24e8aaa35dd705bea15d42025-01-27T12:24:50ZengIndonesian Institute for Counseling, Education and Therapy (IICET)JPPI (Jurnal Penelitian Pendidikan Indonesia)2477-85242502-81032023-12-019465266610.29210/0202331861761Portfolio ownership in the excess return model at Indonesian stock exchangeLuqman Hakim0Sri Retnaning Sampurnaningsih1Siti Nuraidawati2Aang Aribawa3Universitas Persada Indonesia Y.A.IUniversitas PamulangUniversitas PamulangUniversitas Persada Indonesia Y.A.IThis research is to analyze and answer the phenomena of Foreign Portfolio Investment (FK), Global Risk (Rwf), Small minus Big (SmB), High minus Low (HmL), Win minus Lose (WmL) as determinants of Foreign Ownership (FO) which have implications for Excess Return (ER). The formula is to maximize the value of Excess Return through Portfolio Ownership, the object of research for companies on the Indonesia Stock Exchange. First results; an increase in FK can explain the impact on an increase in FO, these results confirm the prevailing theory. Other results are not like the existing theory, namely a decrease in SmB can explain the impact on a decrease in FO, while Rwf, HmL, and WmL cannot explain its effect on FO. Second result; the increase in HmL, WmL and FO can explain the impact of the increase in ER. Another thing FO can also explain its function as an intervening variable. Rwf can also explain the impact but it is not in line with the negative correlation theory. The FK has no impact on ER. These results are expected to help as a guide for foreign investors in the Indonesia Stock Exchange to obtain maximum excess returns.https://jurnal.iicet.org/index.php/jppi/article/view/3186foreign portfolio investment, global risk, win minus lose, foreign ownership, excess return.
spellingShingle Luqman Hakim
Sri Retnaning Sampurnaningsih
Siti Nuraidawati
Aang Aribawa
Portfolio ownership in the excess return model at Indonesian stock exchange
JPPI (Jurnal Penelitian Pendidikan Indonesia)
foreign portfolio investment, global risk, win minus lose, foreign ownership, excess return.
title Portfolio ownership in the excess return model at Indonesian stock exchange
title_full Portfolio ownership in the excess return model at Indonesian stock exchange
title_fullStr Portfolio ownership in the excess return model at Indonesian stock exchange
title_full_unstemmed Portfolio ownership in the excess return model at Indonesian stock exchange
title_short Portfolio ownership in the excess return model at Indonesian stock exchange
title_sort portfolio ownership in the excess return model at indonesian stock exchange
topic foreign portfolio investment, global risk, win minus lose, foreign ownership, excess return.
url https://jurnal.iicet.org/index.php/jppi/article/view/3186
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AT sriretnaningsampurnaningsih portfolioownershipintheexcessreturnmodelatindonesianstockexchange
AT sitinuraidawati portfolioownershipintheexcessreturnmodelatindonesianstockexchange
AT aangaribawa portfolioownershipintheexcessreturnmodelatindonesianstockexchange