Pengaruh Market Timing Ability dan Stock Selection Skill terhadap Kinerja Reksa Dana Saham

ABSTRAK
PENGARUH MARKET TIMING ABILITY DAN STOCK SELECTION
SKILL TERHADAP KINERJA REKSA DANA SAHAM
Penelitian ini bertujuan untuk menganalisis pengaruh market timing ability
dan stock selection skill terhadap kinerja reksa dana saham. Populasi dalam
penelitian ini adalah seluruh produk reksa dana saham yang terdaftar di periode
2010 sampai 2014 yang berjumlah 164 produk reksa dana dengan sampel
berjumlah 34 produk reksa dana saham. Penelitian ini menggunakan analisis
regresi linear berganda. Data dalam penelitian ini diperoleh dari laporan Nilai
Aktiva Bersih (NAB) yang tersedia di Bapepam, data Suku Bunga Indonesia
(SBI) yang tersedia di Bank Indonesia serta nilai Indeks IHSG yang tersedia di
finance.yahoo.com. Hasil penelitian menunjukkan bahwa market timing ability
berpengaruh negatif dan signifikan terhadap Kinerja Reksa Dana Saham periode
2010-2014. Sedangkan Stock Selection Skill berpengaruh negatif dan tidak
signifikan terhadap Kinerja Reksa Dana Saham periode 2010-2014.
Keyword: Market Timing Ability, Stock selection skill, Kinerja Reksa Dana
Saham

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ABSTRACT



IFLUENCE OF MARKET TIMING ABILITY AND STOCK
SELECTION SKILL ON EQUITY MUTUAL FUND S
PERFORMANCE.

This research was conducted to analyze the influence of market timing
ability and stock selection skill on equity mutual fund s performance. The
population of this study was equity mutual fund s product listed on BAPEPAM.
There is 164 equity mutual fund s product around 2010 to 2014 with 34 samples.
The method of this study is multiple-regression linear. The input of the research
was acquired from BAPEPAM for Net Asset Value, Indonesian Central bank for
BI rate and Jakarta Composite Index value from finance.yahoo.com. The result of
the study shows that market timing ability has negative and significant influence
toward equity mutual fund s performance around 2010 to 2014. And, stock
selection skill has negative and insignificant influence toward equity of mutual
fund s performance around 2010 to 2014.
Keyword: Market timing ability, Stock selection skill, Performance of Equity
Mutual Funds