Profil Risiko dan Imbal Hasil pada Perusahaan Pemerintah: Bukti Empiris dari Bursa Efek Indonesia
DOI:
https://doi.org/10.54259/akua.v5i3.7528Keywords:
Government Ownership, Capital Asset Pricing Model (CAPM), Systematic Risk (Beta), Alpha, Total VolatilityAbstract
This study investigates the effect of government ownership on the risk-return profile of firms listed on the Indonesia Stock Exchange (IDX). Using a comprehensive sample of 600 companies, this research employs the Capital Asset Pricing Model (CAPM) framework to examine financial performance from the perspectives of risk-adjusted return (Alpha), systematic risk (Beta), and total volatility (Standard Deviation). The sample is divided into two parts, namely government-owned companies (n=33) and non-government companies (n=567). Statistical analysis using the T-Test and Welch T-Test reveals three main findings. First, there is no significant difference in Alpha between the two groups, indicating that government ownership does not result in a systematic performance penalty or premium after risk adjustment. Second, government-related companies exhibit much higher Beta coefficients, indicating greater sensitivity to market movements than non-government companies. Third, although they have higher systematic risk, there is no significant difference in total volatility (Standard Deviation) between the two groups. This indicates a risk-sharing phenomenon where the increased market sensitivity of government companies is offset by lower idiosyncratic risk. These results indicate that on the IDX, ownership structure is a determinant of the risk borne by investors but plays a lesser role in determining risk-adjusted returns.
Downloads
References
T. A. Putri and T. H. Sitabuana, "Pengawasan pengelolaan keuangan negara terhadap badan usaha milik negara (BUMN)," Sibatik Journal: Jurnal Ilmiah Bidang Sosial, Ekonomi, Budaya, Teknologi, Dan Pendidikan, vol. 1, no. 7, pp. 1003–1018, 2022.
M. Y. Sandi, M. H. Muhjad, and A. Syaufi, "Kekayaan negara yang dipisahkan dalam Badan Usaha Milik Negara (BUMN) dalam bentuk persero," Notary Law Journal, vol. 2, no. 3, pp. 181–202, 2023.
M. A. Yusro, L. R. Sidabutar, L. D. Ticoalu, and R. S. Ariani, "Parameter Hak Monopoli Badan Usaha Milik Negara dalam Perspektif Persaingan Usaha di Indonesia," Journal of Judicial Review, vol. 23, no. 2, pp. 217–230, 2021.
A. Putri and T. Meutia, "Literature review: Pengaruh audit manajemen, sistem pengendalian internal, peran audit internal, terhadap good corporate governance badan usaha milik negara," Jurnal Riset Akuntansi, vol. 2, no. 2, pp. 236–249, 2024.
H. J. Park, J. Ju, and H. G. Park, "Policy analysis in quasi-governmental institutions in Korea," in Policy Analysis in South Korea: Policy Press, 2023, pp. 71–85.
S. Park, "Public corporations and quasi-government agencies in Korea," in Routledge Handbook of Korean Politics and Public Administration: Routledge, 2020, pp. 389–402.
L. Ren and S. Zheng, "How quasi-government policy entrepreneur promotes environmental policy innovation in China," Journal of Asian Public Policy, pp. 1–19, 2024.
M. Jensen, "C., dan W. Meckling, 1976.“Theory of the firm: Managerial behavior, agency cost and ownership structure”," Journal of finance economic, vol. 3, no. 4, pp. 305–360, 1976.
A. Firmansyah, A. Machmud, and S. Suparji, "Peran BUMN sebagai Pilar Utama Ekonomi Nasional yang Mandiri: Sebuah Kajian Hukum Korporasi," Binamulia Hukum, vol. 13, no. 2, pp. 517–528, 2024.
G. Wiatmaja and M. I. Asnawi, "Transformasi Tata Kelola BUMN dengan Pembentukan Danantara," Locus: Jurnal Konsep Ilmu Hukum, vol. 6, no. 1, pp. 259–265, 2026.
K. Andriani and G. Lie, "Regulatory Disharmony of Corporate Social Responsibility (CSR) between State-Owned and Private Enterprises and Its Implications for Sustainable Development Indicators in Indonesia: Disharmoni Pengaturan Corporate Social Responsibility (CSR) antara Badan Usaha Milik Negara dan Perusahaan Swasta serta Implikasinya terhadap Tolok Ukur Pembangunan Berkelanjutan di Indonesia," Indonesian Journal of Law and Economics Review, vol. 20, no. 4, pp. 10.21070/ijler. v20i4. 1389–10.21070/ijler. v20i4. 1389, 2025.
S. S. Sitorus, G. Y. Arinda, and A. W. Zein, "Kinerja BUMN dalam menyediakan barang dan jasa publik: Antara fungsi sosial dan komersial," Socius: Jurnal Penelitian Ilmu-Ilmu Sosial, vol. 2, no. 11, 2025.
M. U. K. Yewang, "Ciri ganda koperasi dan permasalahannya," Journal Economic Education, Business and Accounting, vol. 1, no. 1, pp. 32–39, 2022.
R. Fathurrahman, "Analisis perbandingan struktural dan karakteristik badan usaha milik negara Indonesia dengan Malaysia," Jurnal Hukum & Pembangunan, vol. 54, no. 3, pp. 479–498, 2024.
G. Febrianti, K. Silaban, N. H. U. Sitanggang, and A. R. Nasution, "Ekonomi Politik BUMN: Reformasi, Kepemimpinan Negara, dan Peran BUMN dalam Agenda Pembangunan Nasional," RIGGS: Journal of Artificial Intelligence and Digital Business, vol. 4, no. 4, pp. 2180–2185, 2026.
R. V. Marbun, A. M. Putra, and A. Wijayanti, "Koneksi Politik dan Manajemen Skandal: Sebuah Temuan Empiris Perusahaan BUMN," Jurnal Riset dan Aplikasi: Akuntansi dan Manajemen, vol. 5, no. 2, pp. 145–158, 2021.
I. Qurratulaini, M. Muhajir, A. Saqrani, and F. Afwa, "Keterkaitan Hukum Privatisasi BUMN Terhadap Kewenangan Negara," Glossary: Jurnal Ekonomi Syariah, vol. 1, no. 2, pp. 100–120, 2023.
E. Yuliani, "Analisis Reaksi Pasar Modal Sebelum dan Sesudah Pembentukan Danantara: Studi Pada Perusahan BUMN Terindeks Kompas100 di Bursa Efek Indonesia," Jurnal Penelitian Ilmiah Multidisipliner, vol. 2, no. 03, pp. 2510–2524, 2025.
J. M. Sitinjak, B. G. Xenoglosi, J. Y. Parhusip, I. Y. Agusman, and G. S. Manda, "Pengaruh Volatilitas Pasar Saham Terhadap Kinerja Saham Perbankan: Studi Pada Bank BRI Di Bursa Efek Indonesia," Jurnal Administrasi dan Manajemen, vol. 16, no. 1, pp. 214–223, 2026.
R. Zulfaidah and A. A. Oganta, "Intervensi Pemerintah dalam Saham BUMN (Golden Share) dan Relevansinya dengan Pasal 33 UUD 1945," Indonesian Journal of Islamic Jurisprudence, Economic and Legal Theory, vol. 4, no. 1, pp. 886–900, 2026.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Ringkot P. Nainggolan, Rexon Nainggolan
This work is licensed under a Creative Commons Attribution 4.0 International License.
Hak cipta pada setiap artikel adalah milik penulis.
Penulis mengakui bahwa AKUA (Jurnal Akuntansi dan Keuangan) sebagai publisher yang mempublikasikan pertama kali dengan lisensi Creative Commons Attribution 4.0 International License.
Penulis dapat memasukan tulisan secara terpisah, mengatur distribusi non-ekskulif dari naskah yang telah terbit di jurnal ini kedalam versi yang lain, seperti: dikirim ke respository institusi penulis, publikasi kedalam buku, dan lain-lain. Dengan mengakui bahwa naskah telah terbit pertama kali pada AKUA (Jurnal Akuntansi dan Keuangan).
