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COINTEGRATION BETWEEN COMPANY PERFORMANCE WITH FOREIGN EXCHANGE AND OIL PRICE IN INDONESIAN TEXTILE INDUSTRY (Case Study of PT. Panasia Indo Resources Tbk.)

COINTEGRATION BETWEEN COMPANY PERFORMANCE WITH FOREIGN EXCHANGE AND OIL PRICE IN INDONESIAN TEXTILE INDUSTRY (Case Study of PT. Panasia Indo Resources Tbk.)

2017
Master Theses from JBPTITBPP / 2017-10-02 10:59:18
Oleh : DICKY HARDIYANTO SINATA-29115090, S2 - MBA-ITB
Dibuat : 2017-09-29, dengan file

Keyword : Currency Risk
Subjek : Currency Risk
Kepala Subjek : Currency Risk

Industri tekstil dan produk tekstil (TPT) merupakan salah satu produk ekspor andalan Indonesia yang


telah berkembang pesat sejak tahun 1980-an, meskipun saat ini industri TPT Indonesia tengah


menghadapi beberapa kesulitan. Melemahnya nilai tukar Rupiah (IDR) terhadap mata uang Dollar


Amerika Serikat (USD) diduga menjadi penyebab utama, disamping kebijakan Bank Indonesia (BI)


yang mewajibkan penggunaan IDR untuk setiap transaksi di pasar domestik dengan menerbitkan Surat


Edaran Bank Indonesia No.17/11/DKSP, yang berlaku mulai awal Juni 2015. PT. Panasia Indo


Resources Tbk. adalah salah satu perusahaan tekstil di Indonesia yang menghadapi tantangan tersebut.


Tantangan lainnya adalah fluktuasi harga minyak yang juga diduga berpengaruh pada kinerja


perusahaan. Penelitian ini bertujuan untuk menganalisis adanya hubungan antara buruknya kinerja PT.


Panasia Indo Resources Tbk. yang diwakili oleh harga sahamnya (HDTX) dengan fluktuasi nilai kurs


valuta asing USD / IDR dan harga komoditas minyak.


Untuk mengetahui adanya hubungan jangka panjang antara kinerja perusahaan (harga saham) dan


devisa USD / IDR, juga dengan harga komoditas minyak digunakan analisis dengan menggunakan uji


kointegrasi Johansen. Analisis ini didahului dengan uji akar unit dengan metode uji Augmented


Dickey Fuller untuk memeriksa stasioneritas variabel. Analisis menggunakan data time series dari data


publik selama periode September 2015 sampai Maret 2017, tepat setelah kebijakan dari Bank


Indonesia berlaku. Faktor lain yang mungkin berpengaruh pada buruknya kinerja perusahaan juga


telah diperiksa menggunakan analisis rasio keuangan dan DuPont analisis. Analisis kointegrasi


menemukan adanya hubungan antara harga saham perusahaan dan nilai tukar USD / IDR, sementara


harga minyak tidak memiliki kointegrasi. Namun penelitian ini menemukan bahwa kinerja perusahaan


yang buruk pada tahun 2016 lebih dipengaruhi oleh kenaikan biaya operasional perusahaan pada tahun


2016.


Temuan penelitian ini merekomendasikan PT. Panasia Indo Resources Tbk. untuk mempertimbangkan


strategi keuangan termasuk penerapan strategi lindung nilai, yang didahului dengan membuat divisi


manajemen risiko di perusahaan. Manajemen juga tidak perlu khawatir dengan fluktuasi harga minyak


karena tidak ada kointegrasi antara kinerja perusahaan dan harga minyak. Terakhir manajemen


direkomendasikan untuk melakukan analisis lebih lanjut mengenai alasan kenaikan biaya operasional


dan disarankan untuk menerapkan program efisiensi, karena masalah ini telah memberikan kontribusi


besar pada buruknya kinerja perusahaan di tahun 2016.

Deskripsi Alternatif :

Textile and textile product industry (TPT) is one of Indonesia's flagship export products and it had


grown rapidly since the 1980‟s, but currently the Indonesian TPT industry had faced some difficulties.


The weakening of the Indonesian Rupiah (IDR) exchange rate to the US Dollar (USD) is suspected to


be main cause, beside the Indonesian central bank (Bank Indonesia) policy which obliged to use IDR


for every transaction in the local market by issuing Surat Edaran Bank Indonesia No.17/11/DKSP,


starting from the beginning of June 2015. PT. Panasia Indo Resources Tbk is one of the textile


company which faces challenge through the issues. Another issue is the fluctuation of the oil price


which suspected had an effect to the company performance. This research purposes to analyze the


existing of relationships of the poor performance of PT. Panasia Indo Resources Tbk. which is


represented by its stock price (HDTX) with the fluctuation of foreign exchange of USD/IDR and the


commodity oil price.


The existing of long run relationships between the company performance (stock price) and the foreign


exchange of USD/IDR, also with commodity oil price analyzed by using Johansen cointegration test.


The analysis preceded by unit root test with Augmented Dickey Fuller test to check the stationarity


of the variables. The analysis used the time series data from public sources during the periods of


September 2015 to March 2017, right after the central bank policy is enacted. Other factor that might


be affected to the poor performance of the company also been checked through the financial ratio


analysis and DuPont analysis. The cointegration analysis found a relationship between the stock price


of the company and the USD/IDR exchange rate, while the oil price does not cointegrated. Even


though the research found that the poor performance of the company in 2016 was more influenced by


increases of operation expense of the company in 2016.


Due to the findings of this research, PT. Panasia Indo Resources Tbk. recommended to consider


financial strategy which is applying hedging strategy, which is preceded by creating risk management


division in the company. The management also does not have to worry with the fluctuation of the oil


price because of the no cointegration between company performance and the oil price. Last the


management is recommended to do further analysis about the reasons of increases in the operating


expense and suggested to do an efficiency, because of this issue had contribute in the poor


performance of the company in 2016.

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