Analysis of Macroeconomic Conditions on the Performance of Protected Mutual Funds in Indonesia in Moderated Age and Size of Mutual Funds for the period January 2018 – August 2023
Analysis of Macroeconomic Conditions on the Performance of Protected Mutual Funds in Indonesia in Moderated Age and Size of Mutual Funds for the period January 2018 – August 2023
Abstract
Penelitian ini bertujuan untuk menemukan bukti apakah Kondisi Makro Ekonomi dapat mempengaruhi Kinerja Reksa Dana Terproteksi di Indonesia yang di Moderasi Umur dan Ukuran Reksa Dana periode Januari 2018 – Agustus 2023. Motivasi untuk penelitian ini berasal bahwa dari mengidentifikasi hubungan antara kondisi makroekonomi dan kinerja reksa dana secara simultan sangat penting karena memiliki implikasi yang signifikan dalam upaya meningkatkan kinerja reksa dana terhadap kondisi makroekonomi. Namun, terdapat keterbatasan studi empiris tentang dampak reksa dana ini karena series tahun datanya terbatas hanya mencakup beberapa tahun. Dengan menggunakan pendekatan metode regresi panel Random Effect Model (REM), periode analisis dari januari tahun 2018 sampai Agustus tahun 2023 data panel pada makroekonomi dan reksa dana, ditemukan terdapat bahwa variabel makro ekonomi nilai tukar rupiah terhadap dollar AS (NT) memiliki pengaruh signifikan terhadap kinerja reksa dana terproteki yang di ukur dari rasio sharpe. Sementara variabel makro ekonomi yang tidak memiliki pengaruh signifikan terhadap kinerja reksa dana terproteksi adalah variabel suku bunga (SBI) dan inflasi (INF). Variabel umur (age) dan ukuran (size) reksa dana memiliki pengaruh signifikan terhadap kinerja reksa dana terproteksi. Selain variabel independent tersebut, dalam penelitian ini juga menggunakan variabel moderator/moderating. Variabel moderator untuk melihat hubungan interaksi antara variabel moderator dengan variabel predictor (independent). Variabel moderator merupakan variabel yang dapat memperkuat atau memperlemah hubungan antar variabel independent dengan dependen. Variabel moderator dari penelitian ini adalah umur (age) dan ukuran (size) reksa dana
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References
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Chen, Y., Ferson, W., & Peters, H. The Timing Ability of Fixed Income Mutual Fund.
Cooperation, E., & Abd, S. (2014). Assessing Performane of Mutual Funds in Indonesia. (December).
Dahlquist, M., Engström, S., & Söderlind, P. 2000. Performance and Characteristics of Swedish Mutual Funds. The Journal of Financial and Quantitative Analysis, Vol. 35, No. 3, pp. 409-423.
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Dima, B., Barna F., & Nachescu, M. 2007. Macroeconomic Determinants of the Investment Fund Market: The Romanian Case. http://mpra.ub.uni-muenchen.de/5802/ MPRA Paper No. 5802. Volume 23, 1–62. Elsevier Ltd., ISSN: 0196-3821/doi:10.1016/S0196-3821(06)23001-6.
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Leippold, M., & Rueegg, R. (2019). How rational and competitive is the market for mutual funds? ∗. 1–58.
Ma, Y., Xiao, K., & Zeng, Y. (2022). Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity. The Review of Financial Studies, 35(10), 4674–4711. https://doi.org/10.1093/rfs/hhac007
Malkiel, B. G. (1996). Returns from Investing in Equity Mutual Funds 1971 to 1991. L(2).
Mart, C. (2019). Analyzing Alternative Energy Mutual Fund Performance in the Spanish Market. 201–213.
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Pace, D., & Murray, M. (2019). Morningstar Ratings and Their Predictive Ability of Mutual Fund Performance.
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Personal, M., & Archive, R. (2010). Munich Personal RePEc Archive Performance Evaluation of Mutual Funds in Indonesia Performance Evaluation of Mutual Funds in Indonesia. (25498).
Philpot, J., Hearth, D., Rimbey, J. N., & Schulman, C. T. 1998. Active management, fund size, and bond mutual fund returns. The Financial Review 33, 115-126.
Premachandra, I. M., Zhu, J., Watson, J., & Galagedera, D. U. A. (2012). Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition. Journal of Banking and Finance, 36(12), 3302–3317. https://doi.org/10.1016/j.jbankfin.2012.07.018
Qureshi, F., Kutan, A. M., Ghafoor, A., & Hussain, H. (2019). Journal of Asian Economics Dynamics of mutual funds and stock markets in Asian developing economies. Journal of Asian Economics, 101135. https://doi.org/10.1016/j.asieco.2019.101135
Ramli, N. A., Latan, H., & Solovida, G. T. (2018). PT We also observe that only the Malaysian sample has a positive significant correlation between Highlights SC. Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2018.07.001
Roy, S. (2014). Performance Evaluation of Mutual Fund in India: An Empirical Study. 28–42.
Ramos, S. B., & Ramos, S. B. (2017). The Size and Structure of the World Mutual Fund Industry the Size and Structure of the World Mutual Fund Industry. (January 2009). https://doi.org/10.1111/j.1468-036X.2007.00428.x
Stambaugh, R. F. (2001). ABSTRACT. LVI(4), 1207–1239.
Wibowo, Y. A., Sulaiman, A. H., & Sulistiawan, A. (2010). The Analysis of SBI, Broad Money, Inflation and Exchange Rate’ s Impact on the Performance of Equity Mutual Fund in Indonesia for the Period of 2002 – 2010 Analisis Pengaruh SBI, Jumlah Uang Beredar, Inflasi dan Nilai Tukar Rupiah Terhadap Kinerja Reksa Dana Saham di Indonesia Periode 2002 – 2010.
Wijaya, E. (2020). Analisa Faktor-Faktor Makroekonomi Terhadap Kinerja Investasi Saham Periode 2010 – 2012. Jurnal Keuangan Dan Perbankan, 11(2), 177. https://doi.org/10.35384/jkp.v11i2.182
Yarovaya, L., & Mirza, N. (2022). The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict. The Journal of Risk Finance, 23(5), 669–676. https://doi.org/10.1108/JRF-07-2022-0174
https://www.idx.co.id/data-pasar/laporan-statistik/statistik/
https://www.ojk.go.id/id/berita-dan-kegiatan/info-terkini/Pages/-Stabilitas-Sektor-Jasa-Keuangan-Terjaga---September-2019.aspx
https://investasi.kontan.co.id/news/sekitar-10-produk-reksadana-saham-bergerak-anomali?page=all
https://swa.co.id/swa/listed-articles/tantangan-industri-reksadana-untuk-tingkatkan-jumlah-investor
https://investor.id/editorial/nab-reksa-dana
https://www.pasardana.id/fund/search
https://www.bareksa.com/id/data
https://www.ksei.co.id/files/Statistik_Publik_Agustus_2023_v2.pdf
https://reksadana.ojk.go.id/Public/StatistikKomposisiRDPerjenisPublic.aspx.
Amaral, F., Reis, P., & Pinto, P. (2019). Evaluating investment fund performance in Portugal.
American Finance Association Review Author (s): Ravi Shukla Review by: Ravi Shukla Source: The Journal of Finance, Vol. 49, No. 2 (Jun, 1994), pp. 750-754 Published by: Wiley for the American Finance Association Stable URL: http://www.jstor.org/stable/2329174 Accessed: 26-06-2019 20:43 UTC Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at. (2016). 49(2), 750–754.
Asad, M. (n.d.). Determinants of Mutual Funds Performance in Pakistan. 1–38.
Babbar, S., & Sehgal, S. (2018). Mutual Fund Characteristics and Investment Performance in India. https://doi.org/10.1177/0258042X17745183
Brown, S. J., & Goetzma, W. N. (1995). Performance Persistence. L(2).
Camb, I. (n.d.). Spanish mutual fund performance: an analysis of the determinants.
Chen, J., Hong, H., Huang, M., & Kubik, J. D. 2004. Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization. The American Economic Review. Vol. 94, No. 5.
Chen, Y., Ferson, W., & Peters, H. The Timing Ability of Fixed Income Mutual Fund.
Cooperation, E., & Abd, S. (2014). Assessing Performane of Mutual Funds in Indonesia. (December).
Dahlquist, M., Engström, S., & Söderlind, P. 2000. Performance and Characteristics of Swedish Mutual Funds. The Journal of Financial and Quantitative Analysis, Vol. 35, No. 3, pp. 409-423.
Damayanti, A., & Harahap, G. R. (2022). Analisis Risiko Dalam Berinvestasi Pada Reksadana Saham Di Bursa Efek Indonesia. Jurnal Investasi Islam, 7(1). http://journal.iainlangsa.ac.id/index.
Dana, K. R., & Dharmastuti, C. F. (n.d.). Karakteristik reksa dana dan kinerja reksa dana saham di indonesia. 13(1), 94–116.
Demirci, I., Ferreira, M. A., Matos, P., & Sialm, C. (2019). How Global is Your Mutual Fund? International Diversification from Multinationals.
Dima, B., Barna F., & Nachescu, M. 2007. Macroeconomic Determinants of the Investment Fund Market: The Romanian Case. http://mpra.ub.uni-muenchen.de/5802/ MPRA Paper No. 5802. Volume 23, 1–62. Elsevier Ltd., ISSN: 0196-3821/doi:10.1016/S0196-3821(06)23001-6.
Dwianggoro, A., & Sibarani, M. (2012). REKSA DANA SAHAM DI INDONESIA: ANALISA PERSISTENSI PERIODE APRIL 2006 – MARET 2011. 01(02), 1–15.
Directorate, I. M., & Authority, F. S. (2018). The Digitalization of Mutual Fund Distribution in Indonesia.
Ferson, W., Kisgen, D., & Henry, T. 2015. Fixed Income Fund Performance across Economic States. Research in Finance.
Figge, F., Thorpe, A. S., & Manzhynski, S. (2021). Between you and I: A portfolio theory of the circular economy. Ecological Economics, 190, 107190. https://doi.org/10.1016/j.ecolecon.2021.107190
Nanda, V., Narayanan, M. P., & Warther, V. A. (2000). Liquidity, investment ability, and mutual fund. 57, 417–443.
Frahm, G., & Huber, F. (2019). The Outperformance Probability of Mutual Funds. (Kestner 1996), 1–29. https://doi.org/10.3390/jrfm12030108
Ferreira, M. A., Keswani, A., Miguel, A. F., Ramos, S. B (2012). The Determinants of Mutual Funds Performance: A Cross-Country Study. Review of Finance Advance, 0: 1–43, doi: 10.1093/rof/rfs013, Advance Access Publication.
Hassan, H. H., & Hussin, N. (2018). Conceptual Framework for the Determinants of Mutual Fund Performance in Malaysia. 3(4), 48–53.
Jiang, J., Liao, L., Wang, Z., & Xiang, H. (2020). Financial literacy and retail investors’ financial welfare: Evidence from mutual fund investment outcomes in China. Pacific-Basin Finance Journal, 59, 101242. https://doi.org/10.1016/j.pacfin.2019.101242
Khedmatgozar, H. R. (n.d.). Mutual fund performance evaluation: a value efficiency analysis approach Abolfazl Kazemi * Payam Hanafizadeh. x(x).
Kaur, I. (2010). Effect of Fund Attributes on Efficiency: Cross-sectional evidence from Indian Equity Mutual funds.
Layuk, A. S., Achsani, N. A., & Bandono, B. (2022). Analisis Pengaruh Faktor Makroekonomi Terhadap Kinerja Reksadana Terproteksi Dalam Masa Pandemi Covid-19. Eqien-Journal of Economics and Business, 11(1).
Lemeshko, O. (2015). Performance evaluation of equity mutual funds in countries with emerging economies: Evidence from BRIC, CEE, sea and MENA regions. 30(15), 476–486. https://doi.org/10.1016/S2212-5671(15)01315-5
Leippold, M., & Rueegg, R. (2019). How rational and competitive is the market for mutual funds? ∗. 1–58.
Ma, Y., Xiao, K., & Zeng, Y. (2022). Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity. The Review of Financial Studies, 35(10), 4674–4711. https://doi.org/10.1093/rfs/hhac007
Malkiel, B. G. (1996). Returns from Investing in Equity Mutual Funds 1971 to 1991. L(2).
Mart, C. (2019). Analyzing Alternative Energy Mutual Fund Performance in the Spanish Market. 201–213.
Mittal, S., Bhattacharya, S., & Mandal, S. (2022). Characteristics analysis of behavioural portfolio theory in the Markowitz portfolio theory framework. Managerial Finance, 48(2), 277–288. https://doi.org/10.1108/MF-05-2021-0208
Jensen, M. C. (1964). The Performance of Mutual Funds In The Period 1945-1964 The Performance Of Mutual Funds In The Period 1945-1964 *. 23(2), 389–416.
Pace, D., & Murray, M. (2019). Morningstar Ratings and Their Predictive Ability of Mutual Fund Performance.
Pengaruh_Ukuran_Reksadana_dan_Umur_Reksa-1. (n.d.).
Personal, M., & Archive, R. (2010). Munich Personal RePEc Archive Performance Evaluation of Mutual Funds in Indonesia Performance Evaluation of Mutual Funds in Indonesia. (25498).
Philpot, J., Hearth, D., Rimbey, J. N., & Schulman, C. T. 1998. Active management, fund size, and bond mutual fund returns. The Financial Review 33, 115-126.
Premachandra, I. M., Zhu, J., Watson, J., & Galagedera, D. U. A. (2012). Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition. Journal of Banking and Finance, 36(12), 3302–3317. https://doi.org/10.1016/j.jbankfin.2012.07.018
Qureshi, F., Kutan, A. M., Ghafoor, A., & Hussain, H. (2019). Journal of Asian Economics Dynamics of mutual funds and stock markets in Asian developing economies. Journal of Asian Economics, 101135. https://doi.org/10.1016/j.asieco.2019.101135
Ramli, N. A., Latan, H., & Solovida, G. T. (2018). PT We also observe that only the Malaysian sample has a positive significant correlation between Highlights SC. Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2018.07.001
Roy, S. (2014). Performance Evaluation of Mutual Fund in India: An Empirical Study. 28–42.
Ramos, S. B., & Ramos, S. B. (2017). The Size and Structure of the World Mutual Fund Industry the Size and Structure of the World Mutual Fund Industry. (January 2009). https://doi.org/10.1111/j.1468-036X.2007.00428.x
Stambaugh, R. F. (2001). ABSTRACT. LVI(4), 1207–1239.
Wibowo, Y. A., Sulaiman, A. H., & Sulistiawan, A. (2010). The Analysis of SBI, Broad Money, Inflation and Exchange Rate’ s Impact on the Performance of Equity Mutual Fund in Indonesia for the Period of 2002 – 2010 Analisis Pengaruh SBI, Jumlah Uang Beredar, Inflasi dan Nilai Tukar Rupiah Terhadap Kinerja Reksa Dana Saham di Indonesia Periode 2002 – 2010.
Wijaya, E. (2020). Analisa Faktor-Faktor Makroekonomi Terhadap Kinerja Investasi Saham Periode 2010 – 2012. Jurnal Keuangan Dan Perbankan, 11(2), 177. https://doi.org/10.35384/jkp.v11i2.182
Yarovaya, L., & Mirza, N. (2022). The price reaction and investment exposure of equity funds: evidence from the Russia–Ukraine military conflict. The Journal of Risk Finance, 23(5), 669–676. https://doi.org/10.1108/JRF-07-2022-0174
https://www.idx.co.id/data-pasar/laporan-statistik/statistik/
https://www.ojk.go.id/id/berita-dan-kegiatan/info-terkini/Pages/-Stabilitas-Sektor-Jasa-Keuangan-Terjaga---September-2019.aspx
https://investasi.kontan.co.id/news/sekitar-10-produk-reksadana-saham-bergerak-anomali?page=all
https://swa.co.id/swa/listed-articles/tantangan-industri-reksadana-untuk-tingkatkan-jumlah-investor
https://investor.id/editorial/nab-reksa-dana
https://www.pasardana.id/fund/search
https://www.bareksa.com/id/data
https://www.ksei.co.id/files/Statistik_Publik_Agustus_2023_v2.pdf
https://reksadana.ojk.go.id/Public/StatistikKomposisiRDPerjenisPublic.aspx.
Published
2024-08-28
How to Cite
NURSANTI, Tinjung Desy et al.
Analysis of Macroeconomic Conditions on the Performance of Protected Mutual Funds in Indonesia in Moderated Age and Size of Mutual Funds for the period January 2018 – August 2023.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], v. 17, n. 2, p. 311-337, aug. 2024.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/115187>. Date accessed: 28 oct. 2024.
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