Harjum Muharam
Faculty of Economic and Bussiness Faculty Diponegoro University

Published : 50 Documents
Articles

ANALISIS PENGARUH HARGA MINYAK DAN HARGA EMAS TERHADAP HUBUNGAN TIMBAL-BALIK KURS DAN INDEKS HARGA SAHAM GABUNGAN (IHSG) DI BURSA EFEK INDONESIA (BEI) 2000 -2013 Faraga, Filus; Chabachib, M.; Muharam, Harjum
JURNAL BISNIS STRATEGI Vol 21, No 1 (2012): Juli
Publisher : Magister Manajemen, Fakultas Ekonomika dan Bisnis Undip

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (384.135 KB) | DOI: 10.14710/jbs.21.1.72-94

Abstract

Pasar modal merupakan salah satu subsektor yang memainkan peran yang sangat penting dalam menggerakan roda perekonomian suatu negara. Sehingga pasar modal menjadi salah satu indikator perekonomian suatu negara. Salah satu ukuran kinerja dari pasar modal adalah indeks harga saham. Ada banyak faktor yang dapat mempengaruhi indeks harga saham di pasar modal, antara lain keadaan ekonomi global, tingkat harga energi dunia, kestabilan politik suatu negara (Blanchard, 2006); kurs valuta asing, kondisi perekonomian internasional, dan siklus ekonomi suatu negara (Samsul,2008). Selama periode amatan tahun 2000-2013 terjadi fenomena dimana hubungan antar variabel makro ekonomi dengan pergerakan indeks harga saham gabungan (IHSG) tidak sesuai dengan teori. Hal ini didukung dengan kesenjangan dari beberapa hasil penelitian terdahulu. Tujuan dari penelitian ini adalah menganalisis  pengaruh Harga Minyak Dunia dan Harga Emas Dunia terhadap hubungan timbal-balik Kurs (nilai tukar rupiah terhadap dolar AS) dan indeks harga saham gabungan (IHSG).Penelitian ini menggunakan  data bulanan Januari 2000 sampai Januari 2013. Tujuan penelitian akan dijawab dengan menggunakan  uji kointegrasi untuk melihat hubungan jangka panjang antar variabel dan model VAR/VECM untuk mengetahui apakah pergerakan harga minyak dunia, harga emas dunia, kurs mempengaruhi IHSG dan IHSG mempengaruhi kurs. Selanjutnya, alat analisis Impulse Response digunakan untuk mengetahui respon IHSG dan kurs jika terjadi guncangan harga minyak dunia dan harga emas dunia, serta menggunakan alat analisis Variance Decomposition untuk mengetahui peran variabel harga minyak dunia dan harga emas dunia dalam menjelaskan pergerakan IHSG dan kurs.Hasil analisis kointegrasi menunjukkan bahwa semua variabel, yakni harga minyak dunia, harga emas dunia, kurs dan IHSG dalam jangka panjang ada kointegrasi. Hasil analisis menunjukkan bahwa harga minyak dunia berpengaruh signifikan terhadap kurs; harga emas dunia tidak berpengaruh signifikan terhadap IHSG; harga emas dunia tidak berpengaruh signifikan terhadap kurs; kurs berpengaruh signifikan terhadap IHSG; IHSG berpengaruh signifikan terhadap kurs. Hasil analisis kausalitas menunjukkan bahwa kurs dan IHSG ada hubungan kausalitas. Hasil analisis Impulse Response menunjukkan bahwa guncangan harga minyak dunia direspon negatif oleh kurs; guncangan harga emas dunia direspon negatif oleh IHSG dan kurs; perubahan nilai kurs direspon positif oleh IHSG; dan perubahan IHSG direspon positif oleh kurs.
INTEGRASI PASAR MODAL ASEAN 6 PERIODE TAHUN 2007-2016 Ersabathari, Ruth Valencia; Muharam, Harjum
Diponegoro Journal of Management Volume 6, Nomor 3, Tahun 2017
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Capital market integration has become a central topic in international finance. ASEAN formulated a blueprint for an establishment of ASEAN Economic Community by 2015, and endorsed an Implementation Plan that was specifically written for the goal of capital market integration. This study aims to analyze integration among the ASEAN capital markets. This study investigates the selected six members of ASEAN (Indonesia, Malaysia, Phillipines, Singapore, Thailand and Vietnam) by using weekly data from 2007 to 2016. The study examines the stock market return interdependence. The Dynamic Conditional Correlation Multivariate-GARCH (DCC MGARCH) model is engaged to assess the dynamic structure of capital market co-movements. The results showed that ASEAN 6 capital markets are integrating. The dynamic correlation indicates that there is correlation of stock return between six members of ASEAN. Based on the result of integration, there is still a chance to diversify the portofolio in ASEAN region because Vietnam has a low correlational relationship with other countries.
PENGARUH KINERJA LINGKUNGAN TERHADAP KINERJA KEUANGAN: STUDI PADA PERUSAHAAN YANG TERDAFTAR DI KEMENTERIAN LINGKUNGAN HIDUP DAN LISTING DI BEI (PERIODE 2008-2014) Akhsan, Abdul Aziz Nurul; Muharam, Harjum
Diponegoro Journal of Management Volume 5, Nomor 3, Tahun 2016
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The aim of this study is to examine the impact of corporate environmental performance toward corporate financial performance. Corporate environmental performance is measured by the score of PROPER published by the Ministry of Environment of the Republic of Indonesia, and corporate financial performance is measured using ROA and Tobin’s q. The population in this study is all go public companies listed on Indonesia Stock Exchange (BEI) and listed on PROPER appraisal in 2008 – 2014. The sampling method used in this study is purposive sampling. By doing sampling and processing data, the final amounts of the sample are 18 firms. This study uses multivariate regression analysis technique to examine the hypotheses. The result shows that improving corporate Environmental Performance significantly influence corporate Financial Performance.
ANALISIS FAKTOR–FAKTOR YANG MEMPENGARUHI ABNORMAL RETURN SAHAM PADA KINERJA JANGKA PANJANG PENAWARAN UMUM PERDANA (IPO) (Studi Kasus pada Perusahaan Non Finansial yang Go Public di Bursa Efek Indonesia Tahun 2006-2009) Abid, Muhammad Talkhisul; Muharam, Harjum
Diponegoro Journal of Management Volume 2, Nomor 3, Tahun 2013
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The average stocks return of the initial public offering (IPO) in the U.S. stockmarket was -29.13% at the end of the third year after the IPO (Ritter, 1991). Theconclusion is that the Underperformed phenomenon is influenced by the volume of tradeand only occurs in the non-financial sector (Ritter, 1991). Underperformed is a stockreturn of initial public offerings that have lower performance compared to the marketreturn. Bessler and Thies (2007) stated that the year of going public is the time period ofthe initial public offering (IPO). There is a time variation in the pattern of benefits, itraises a question of whether companies can maximize the value and amount of fundsacquired. In investing, investors consider the return and risk, the expected results of theinvestment will be realized after a certain period of time and during this period there is arisk of the investments made. The aim of this study is to analyze the factors that affectAbnormal Return on long-term stock performance after 36 months of the IPO. Theindependent variables in this study consist of Benchmark, Money Raised, Market Value,and Magnitude of Underpricing. The dependent variable is the abnormal return on longtermstock performance after 36 months of the IPO.The samples used in this study were the nonfinancial companies on 2006-2009period as many as 54 non-financial companies using purposive sampling method. Theanalysis technique used was multiple linear regression analysis and performed classicalassumption test which include normality test, multicollinearity test, autocorrelation test,and heteroskesdasticity test.The results showed that partially the Benchmark affect significantly and negativelytoward Abnormal Return; Money Raised and Market Value does not affect significantlyand positively towards Abnormal Return; Magnitude of Underpricing affect significantlyand positively towards Abnormal Return. The ability of the four independent variables toexplain the variation on the dependent variables amounted to 45.8%, while the rest equalto 54.2% explained by other factors that are not described in the model.
ANALISIS PENGARUH KOMPETISI, SIZE, CAPITALIZATION DAN LOANS INTENSITY TERHADAP EFISIENSI BANK (Studi Kasus Bank Umum Konvensional di Indonesia Periode tahun 2008-2012) Farida A., Nabila H.N.; Muharam, Harjum
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

Deregulation in banking industry, which is started with API policy and its derivatives in 2004, makes the industry change a lot, whether in its structure or interaction. This will affect banks performance in Indonesia banking industry. One of the most noted indicator is bank efficiency.  This study is analyzing the effect of competition, size, capitalization and loans intensity to conventional bank efficiency in 2008 to 2012 period. Banking efficiency will be measured with stochastic frontier approach (SFA) and banking competition will be measured with Lerner Index. Analysis of the the effect of competition, size, capitalization and loans intensity to conventional bank efficiency will be conducted using ordinary least square (OLS) data panel method.The result of this study shows that competition level that occurred in conventional banks gives negative effect to bank efficiency, while bank size gives positive effect to bank efficiency. Capitalization gives negative effect, but insignificant, while loans intensity, though insignificant,  gives positive effect to the efficiency.
ANALISA FAKTOR-FAKTOR YANG MEMPENGARUHI CREDIT SPREADS OBLIGASI DI INDONESIA PERIODE 2008-2011 Andriana, Putri; Muharam, Harjum
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

This study aims to analyze the influence of stock market return volatility, GDP, default probability, and liquidity on credit spreads in Indonesia during period quarter I 2008 to quarter IV 2011. Credit spreads is the result of the difference between the yield to maturity on corporate bonds and the yield to maturity on government bonds with the same marurities.This study uses secondary data from Indonesia Stock Exchange, Indonesia Bond Market Directory, and Statistics Indonesia which involves 14 samples of non-finance corporate bonds traded during 2008-2011. This study uses panel regression method with random effect model selected by the result of Chow test and Hausman test.The result of this study showed that stock market return volatility and GDP have negatively effect on credit spreds in Indonesia. At the same time, default probability and liquidiy did not influences on credit spreads in Indonesia. From the results of panel regression showed that stock market return volatility, GDP, default probability, and liquidity can explain credit spreads in Indonesia by  2.5949% and the rest is explained by other variables outside the model.
ANALISIS PENGARUH KINERJA ENVIRONMENTAL, SOCIAL, DAN GOVERNANCE (ESG) TERHADAP ABNORMAL RETURN (Studi pada Perusahaan Indonesia dan Malaysia yang mengungkapkan ESG score dan terdaftar pada Bursa Efek Indonesia dan Bursa Malaysia Tahun 2010-2015) Syafrullah, Saddek; Muharam, Harjum
Diponegoro Journal of Management Volume 6, Nomor 2, Tahun 2017
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

The purpose of this study is to analyze the influence of environmental performance, social performance, and corporate governance to abnormal return as measured by environmental, social, and governance (ESG) disclosure score.The populations of this study are companies in Indonesia and Malaysia listed on the Indonesia Stock Exchange and Kuala Lumpur Stock Exchange (KLSE) that revealed the Environmental, social, and governance (ESG) disclosure score in the year 2010-2015. This study used secondary data with total sampel is 192 data as determined by purposive sampling method. Test analysis using data panel eviews with fixed effect model that has been tested by Chow test (F test) and Hausman test.The result of this study show that environmental performance did not has significant but positive influence to the abnormal return. Social performance and corporate governance have significantly and positively influence to the abnormal return. These results correspond with the legitimacy and stakeholders theory.
Dampak Pelepasan Batas Kepemilikan Asing terhadap Terintegrasinya Bursa Efek Jakarta dengan Bursa Efek Internasional (Studi Literatur) Muharam, Harjum
JURNAL BISNIS STRATEGI Vol 4, No 1 (1999): Juli
Publisher : Magister Manajemen, Fakultas Ekonomika dan Bisnis Undip

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (432.829 KB) | DOI: 10.14710/jbs.4.1.1-7

Abstract

Tulisan ini merupakon hasil kajian terhadap penelitian-penelitian yang dilakukan oleh berbagai pihak tentang integrasi dan segmentasi pasar modal internasional. Dari penelitian-penelitian  tersebut ditemukan  bahwa  dari waktu ke  waktu pasar  modal internasional semakin terintegrasi.  Terintegrasinya suatu pasar modal domistik dengan pasar modal internasional sangat dipengaruhi oleh kebijakan pemerintah dalam mengaturr investasi lokal dan asing di pasar modal tersebut. Berdasarkan hasil penelitian-penelitian pada pasar modal yang telah terintegrasi secara internasional tersebut dan adanya kebijakan pemerintah melepaskan batas kepemilikan asing di pasar modal Indonesia (BEJ),  maka penulis mengambil hipotesis bahwa pasar modal Indonesia telah terintegrasi dengan pasar modal internasional. 
ANALISIS KINERJA KEUANGAN BANK MUAMALAT INDONESIA (BMI) TAHUN 1994-1998 DAN TAHUN 1999-2003 Muharam, Harjum; Handayani, Suyati
JURNAL BISNIS STRATEGI Vol 14, No 1 (2005): Juli
Publisher : Magister Manajemen, Fakultas Ekonomika dan Bisnis Undip

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1183.737 KB) | DOI: 10.14710/jbs.14.1.16-29

Abstract

Using paired sample t-test this research analyze financial performance of Bank Muamalat Indonesia between 1994-1998 and 1999-2003. Profitability ratios, liquidity tsuos, solvability ratios, and commitment to economy and Moslem community ratio are used as financial performance. The results show there are no significance different financial performance during 1994-1998 and 1999-2003 period except  commitment to economy and Moslem community ratio.
ANALISIS PENGARUH VOLATILITAS HARGA, LIKUIDITAS SAHAM, EPS, SIZE FIRM, MOMENTUM OVERNIGHT TERHADAP RETURN SAHAM (Studi kasus perusahaan yang terdaftar dalam Indeks LQ45 Periode 2009-2013) Situmeang, Santa; Muharam, Harjum
Diponegoro Journal of Management Volume 4, Nomor 3, Tahun 2015
Publisher : Faculty of Economics and Business Diponegoro University

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Abstract

This study aims to examine the influence of price volatility, earning per share, stock liquidity, firm size, and momentum overnight on  stock return. Independent variable used in this study were price volatility,earning per share, stock liquidity, firm size, and momentum overnight, while dependent variable was stock return.Research sample in this study were the company on Indeks LQ 45 and listed on the Indonesia Stock Exchange. Time range used in this research  from  2009 until 2013. Sample were taken by purposive sampling method so that obtained 105 samples. Pooled data analysis with random effect model used as analysis method in this research.Pooled data regression analysis results showed that price volatility, earning per share, and momentum overnight had a positive significant effect on stock return. Whereas stock liquidity and size had insignificant effect on stock return. In this research, variance of stock return had been a explained by variance of independen variables as big as 27% and 73% explained by the other variables outside this research.