Pengaruh Market Timing dan Stock Selection Terhadap Kinerja Reksa Dana Saham

Lusiana Desy Ariswati; Margareth Henrika; Muhammad Ramadhani Kesuma

doi:10.31004/riggs.v4i1.401

Authors

Lusiana Desy Ariswati Universitas Mulawarman
Margareth Henrika Universitas Mulawarman
Muhammad Ramadhani Kesuma Universitas Mulawarman

DOI:

https://doi.org/10.31004/riggs.v4i1.401

Keywords:

Stock Selection, Market Timing, Kinerja Reksa Dana, Treynor Mazuy, Unconditional Model

Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh kemampuan market timing dan stock selection terhadap kinerja reksa dana saham di Indonesia selama pandemi COVID-19. Menggunakan model Treynor-Mazuy unconditional, penelitian ini menguji dua faktor utama yang memengaruhi kinerja reksa dana saham: market timing (kemampuan untuk memilih waktu yang tepat untuk membeli atau menjual saham) dan stock selection (kemampuan untuk memilih saham yang menguntungkan). Data yang digunakan mencakup 55 produk reksa dana saham dengan AUM lebih dari 500 miliar rupiah selama periode Pandemi Covid-19. Hasil penelitian menunjukkan bahwa kemampuan market timing dan stock selection memiliki pengaruh signifikan terhadap kinerja reksa dana saham. Dalam studi ini, manajer investasi reksa dana lebih banyak memiliki kemampuan stock selection daripada kemampuan market timingnya Hal ini pun mengindikasikan bahwa dalam kondisi pasar yang penuh ketidakpastian, seperti pandemi COVID-19, manajer investasi mampu memilih saham yang tepat cenderung menghasilkan kinerja yang lebih baik. Penelitian ini berkontribusi pada literatur mengenai pengelolaan reksa dana, khususnya dalam konteks pasar yang sangat volatile akibat pandemi. Implikasi praktisnya menunjukkan bahwa manajer investasi sebaiknya lebih memprioritaskan stock selection ketimbang market timing dalam periode ketidakpastian ekonomi.

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