Electronic Theses and Dissertation

Penelitian ini dilakukan dengan tujuan untuk menguji keberadaan perilaku stealth
trading dan strategi perdagangan di Bursa Efek Indonesia. Penelitian
menggunakan data transaksi perdagangan intraday perusahaan Indeks LQ-45
Bulan Maret, April dan Juni Tahun 2017 bersumber dari The Indonesian Capital
Market Institute dengan teknik purposive sampling. Dari seluruh perusahaan
Indeks LQ-45 didapatkan sebanyak 35 perusahaan terpilih dengan rincian 23
perusahaan non BUMN dan 12 perusahaan BUMN. Jumlah transaksi perusahaan
BUMN 2.346.271 untuk investor domestik dan 2.751.545 bagi investor asing.
Sementara perusahaan non BUMN jumlah transaksi investor domestik sebanyak
2.201.198 dan 1.387.016 untuk investor asing (total transaksi 4.547.469 investor
domestik dan 4.138.561 investor asing). Penelitian ini menggunakan pendekatan
deskriptif kuantitatif, korelasional dan komparasi. Pertama, pendekatan deskriptif
kuantitatif untuk menganalisis keberadaan perilaku stealth trading dilakukan
kelompok investor dan kelompok perusahaan. Kedua, pendekatan korelasional
untuk menguji strategi perdagangan kelompok investor asing dan domestik dan
kelompok perusahaan BUMN dan non BUMN. Terakhir, pendekatan komparasi
untuk menguji strategi momentum sebagai strategi alternatif perdagangan
kelompok investor dan kelompok perusahaan menggunakan paired test. Hasil
penelitian menemukan adanya keberadaan perilaku stealth trading yang dilakukan
investor asing dan domestik di Bursa Efek Indonesia. Berdasarkan kelompok
perusahaan, penelitian ini menemukan keberadaan perilaku stealth trading pada
perusahaan BUMN yang dilakukan investor domestik dan asing. Tetapi, dalam
kelompok perusahaan non BUMN keberadaan perilaku stealth trading pada hanya
dilakukan investor asing. Selanjuntya, hasil pengujian korelasional penelitian ini
menemukan investor asing melakukan strategi perdagangan dengan memecakan
order perdagangan di Bursa Efek Indonesia. Namun, berdasarkan kelompok
perusahaan penelitian menemukan investor asing dan domestik melakukan
strategi perdagangan dengan pemecahan order hanya pada perusahaan BUMN
tidak perusahaan non BUMN. Selanjutnya, hasil pengujian paired test penelitian
ini menemukan abnormal return kelompok portofolio winner investor domestik
signifikan pada Indeks LQ-45, perusahaan BUMN dan non BUMN. Sementara,
abnormal return kelompok portofolio winner investor asing signifikan di Indeks
LQ-45 dan perusahaan BUMN. Oleh karena itu, dapat disimpulkan bahwa strategi
momentum merupakan strategi alternatif bertransaksi bagi investor domestik dan
asing dengan transaksi order kecil perdagangan di Bursa Efek Indonesia.
Kata kunci: perilaku, stealth trading, investor, momentum strategi, Indonesia

ABSTRACT This study was conducted with the aim of testing the existence of stealth trading behavior and trading strategies on the Indonesia Stock Exchange. This research uses intraday trading transaction data for the LQ-45 Index companies in March, April and June 2017 sourced from The Indonesian Capital Market Institute with purposive sampling technique. From all LQ-45 Index companies, 35 selected companies were obtained, with details of 23 non-SOES companies and 12 SOES companies. The number of transactions for state-owned companies is 2,346,271 for domestic investors and 2,751,545 for foreign investors. Meanwhile, for nonstate-owned companies, the number of transactions for domestic investors was 2,201,198 and 1,387,016 for foreign investors (total transactions were 4,547,469 domestic investors and 4,138,561 foreign investors). This study uses a descriptive quantitative, correlational and comparative approach. First, a quantitative descriptive approach to analyze the existence of stealth trading behavior is carried out by a group of investors and a group of companies. Second, a correlational approach to examine the trading strategies of foreign and domestic groups of investors and groups of state-owned and non-state-owned companies. Finally, a comparative approach to testing the momentum strategy as an alternative trading strategy for investor groups and groups of companies uses paired tests. The results of the study found the existence of stealth trading behavior by foreign and domestic investors on the Indonesia Stock Exchange. based on the group of companies, this study found the existence of stealth trading behavior in stateowned companies carried out by domestic and foreign investors. However, in the group of non-SOES companies, the existence of stealth trading behavior is only carried out by foreign investors. Furthermore, the results of the correlational test of this study found that foreign investors carried out trading strategies by breaking trading orders on the Indonesia Stock Exchange. However, based on the research company group, it was found that foreign and domestic investors carried out a trading strategy by splitting orders only on state-owned companies, not non-stateowned companies. Furthermore, the results of the paired test of this study found that the abnormal return of the winner portfolio group of domestic investors was significant on the LQ-45 Index, SOES and non-SOES companies. Meanwhile, the abnormal return of the foreign investor's winning portfolio group was significant in the LQ-45 Index and SOES companies. Therefore, it can be concluded that the momentum strategy is an alternative trading strategy for domestic and foreign investors with small order transactions on the Indonesia Stock Exchange. Keywords: behavior, stealth trading, investors, strategy momentum, Indonesia