STUDI PERILAKU INVESTOR DI INDONESIA : ANALISIS RISK AVERSION PADA PERIODE RAMADHAN DAN NON-RAMADHAN

• Main Authors: , ARDHI HIANG SAWAK, , Kusdhianto Setiawan, S.E., Sivilokonom., Ph.D.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2014
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/131633/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=72131
• Institution: Universitas Gadjah Mada

This study is based on a review of the literature on risk preference level measuring individuals / households by Kusdhianto Setiawan for case analysis in Japan and the United States by using the theory of CCAPM (Consumption Capital Asset Pricing Model). The study was then replicated to apply for a case study in Indonesia for a given level of risk preferences of individuals / households in a particular period, the period of Ramadan and non-Ramadan. This study uses the GMM estimation to find the value of the level of risk aversion of individual / household which is used as a parameter to measure risk preferences of individuals / households. The estimation results are then used as the comparison to find out if there is a difference or not between the degree of preference individuals / households to risk during the period of Ramadan and non-Ramadan. This study uses a data sample IHSG and stock index prices every industrial sector and the level of real consumption of non-food good for Indonesian society during the sample period Q1 2001 to Q4 2012 to determine the value of the risk aversion parameter of individual / household. The results of this study indicate that the risk aversion parameters of the individual / household are higher during Ramadan than non-Ramadan period, so these results indicate at the period of Ramadan, individuals / households become more risk averse or tend to avoid risk than non-Ramadan period.