Keputusan Investor Institusi Dalam Situasi Krisis (Kasus Bank KBMI-4)

Abstract

The Covid-19 pandemic had a significant impact on the profitability and volatility of banking issuers' stock prices on the Indonesia Stock Exchange (BEI), particularly in 2020 and 2021. Using 720 observational data from institutional investors of Indonesia's four largest banks (known as KBMI-4), this research examines institutional investors' responses during the pandemic by focusing on their stock investment portfolios and taking into account relevant macroeconomic indicators, financial fundamentals, and stock performance that may influence their decision-making process. This study analyzes the behavior of KBMI-4 institutional investors with growth investing, value investing, and GARP investment styles, based on locations in Indonesia, Asia, and Non-Asia, in three observation phases: pre-pandemic (January 2019 to February 2020), pandemic (March 2020 to June 2021), and recovery (July 2021 to June 2022). Kruskal-Wallis test, Dunnett's Multiple Comparison Test, and panel data regression modeling were utilized. Only investors with high investment values (>IDR1,5 billion) exhibited investment dynamics, with investment values increasing from pre-pandemic levels. Concerning the investment style variants and investor location base, which are considered proxies for herding behavior and home bias, it was determined that they had no impact on the investment decisions of KBMI 4 bank institutional investors. Compared to the pre-pandemic, only non-Asian investors exhibited significant differences in investment value. This growth is attributable to this group's high investment potential. Based on KSEI data, of the total 7.49 million investors in the Indonesian capital market as of December 31 2021, only less than 1.0% came from countries outside Asia. Panel data modeling: Inflation rate, Loan at Risk (LAR) ratio, LAR coverage, Return on Equity (ROE), and loan growth (LON) have a statistically significant impact on the stock investments made by institutional investors in KBMI-4 banks. This identifies asset quality and profitability as two crucial considerations for investors during the pandemic-induced crisis. In addition, the model revealed six other variables had a significant relationship, but their coefficients did not match the direction of the relationship predicted by the hypothesis. These variables were the BI-7DRRR, Covid-19 cases, PPOP growth, Loan to Deposit Ratio (LDR), CASA ratio, and Price to Earnings Growth (PEG). In the context of optimizing institutional investor investment, these seven variables can strengthen the previous conclusion that, in the midst of a pandemic, investors are focusing on indicators that can provide an indication of the end of the pandemic and the enhancement of the fundamental performance of KBMI-4 bank. The findings of this study strengthen the behavioral finance reference in the context of institutional investors, who are less susceptible to behavioral biases and have distinct rationales compared to individual investors in general.

Pandemi Covid-19 memberikan dampak signifikan bagi emiten perbankan berupa menurunnya profitabilitas serta volatilitas harga sahamnya di Bursa Efek Indonesia (BEI) khususnya di tahun 2020 dan 2021. Menggunakan 720 data amatan dari investor institusi empat bank terbesar di Indonesia (KBMI-4), penelitian ini bertujuan untuk mengungkapkan bagaimana pandemi direspon investor institusi dalam bentuk perubahan portofolio investasi sahamnya dan menganalisis indikator-indikator terkait ekonomi makro, kinerja keuangan, dan kinerja saham yang dapat mempengaruhi proses pengambilan keputusan. Untuk memenuhi tujuan tersebut, penelitian ini menganalisis perilaku investor institusi bank KBMI-4 dengan gaya investasi growth investing, value investing, dan GARP, dengan basis lokasi di Indonesia, Asia dan non-Asia, pada tiga fase pengamatan, yaitu pra-pandemi (Januari 2019 sd Februari 2020), pandemi (Maret 2020 sd Juni 2021), dan recovery (Juli 2021 sd Juni 2022). Adapun metode yang digunakan adalah uji ragam Kruskal-Wallis sebagai omnibus test, uji lanjut Dunnet, serta permodelan regresi data panel. Hasil penelitian menemukan perbedaan investasi antar periode hanya terjadi pada klaster investor dengan nilai investasi tinggi (> Rp1,5 miliar), dengan investor semakin meningkatkan nilai investasinya dari posisi pra-pandemi. Terhadap varian gaya investasi dan basis lokasi yang dianggap sebagai proxy dari herding behavior dan home bias, disimpulkan tidak memberikan pengaruh terhadap keputusan investasi investor. Perbedaan nilai investasi hanya terlihat pada investor yang berbasis di non-Asia dengan terjadi peningkatan dibandingkan periode pra-pandemi. Peningkatan ini dapat dikaitkan dengan masih tingginya potensi investasi dari kelompok ini. Berdasarkan data KSEI, dari total 7,49 juta investor di BEI per 31 Desember 2021, yang berasal dari negara di luar Asia hanya kurang dari 1,0%. Pemodelan data panel menyimpulkan tingkat inflasi, rasio loan at risk (LAR), LAR coverage, Return on Equity (ROE), dan loan growth (LON) berpengaruh signifikan terhadap investasi saham yang dilakukan oleh investor institusi di bank KBMI-4. Hal ini menunjukkan kualitas aset dan profitabilitas sebagai dua pertimbangan penting bagi investor selama periode krisis akibat pandemi. Selain itu, terdapat 6 variabel lain yang memiliki hubungan signifikan namun dengan koefisien yang tidak sesuai dengan arah dalam hipotesis, yaitu BI-7DRRR, Covid-19 cases, PPOP growth, Loan to Deposit Ratio (LDR), CASA ratio, dan Price to Earning Growth (PEG). Dalam konteks mengoptimalkan investasi investor institusi, ketujuh variabel ini memperkuat kesimpulan sebelumnya, bahwa investor menempatkan fokus pada indikator yang dapat memberikan indikasi berakhirnya pandemi serta membaiknya fundamental kinerja Bank KBMI-4. Hasil penelitian ini memperkuat referensi behavioral finance pada konteks investor institusi yang kurang terpengaruh bias perilaku dan memiliki rasionalitas berbeda dari investor perorangan pada umumnya.