Mengukur Risiko dan Atraktivitas Investasi Infrastruktur di Indonesia

Andreas Wibowo

Abstract


Abstrak. Ketersediaan infrastruktur yang andal dan memadai mempunyai peranan substansial bagi pertumbuhan ekonomi nasional. Namun demikian kebutuhan dana untuk investasi di sektor ini sangat besar yang tidak mampu sepenuhnya ditanggung oleh Pemerintah sendiri. Di sinilah peran sektor swasta sangat diharapkan untuk menutup kesenjangan finansial yang ada melalui skema kemitraan-pemerintah-swasta dalam pembangunan infrastruktur. Bagi sektor swasta, kemitraan yang ditawarkan merupakan salah satu alternatif investasi untuk diversifikasi aset. Dua isu kritis adalah tingkat risiko investasi dan besarnya kompensasi yang diberikan untuk menanggung risiko. Tulisan ini secara spesifik mendiskusikan pengukuran besaran tingkat pengembalian minimum yang diharapkan dan atraktivitas investasi infrastruktur di Indonesia dengan membandingkan minimum pengembalian yang diharapkan dan yang diterima menggunakan Capital Asset Pricing Model. Data yang digunakan adalah indeks harga saham bulanan periode Januari 2002-Desember 2005 dari Bursa Efek Jakarta. Berdasarkan perhitungan, dua subsektor infrastruktur yang mempunyai tingkat risiko tertinggi adalah telekomunikasi dan jalan tol-bandara-pelabuhan. Pengembalian minimum untuk kedua subsektor ini masing-masing adalah 21,56% dan 20,18%. Analisis menunjukkan bahwa secara umum investasi infrastruktur menarik bila dipandang dari perspektif ekuitas, tetapi tidak dari perspektif aset.

Abstract. The availability of reliable and adequate infrastructure has a pivotal role for the national economic growth. However, the investment capital requirement in this sector is substantially high, which the Government alone cannot afford. The private sector is expected to bridge the financial gap through public-private-partnership schemes for the infrastructure development. For investors, the partnership should be one of the investment alternatives for asset diversification. Two critical issues to address are investment riskiness and compensation level for willingness to assume risk. This paper specifically discusses the measurement of the expected minimum rate of return and the attractiveness of infrastructural investment in Indonesia by comparison of the expected and earned rates of return using the Capital Asset Pricing Model for analysis. Data are derived from monthly stock indices of Jakarta Stock Exchange during the period January 2002-December 2005. Based on analysis, two sub sectors with highest risk levels are telecommunication and tollroad-airport-harbor while the corresponding expected minimum returns are 21.56% and 20.18%, respectively. The analysis reveals that infrastructure investment is in a general sense attractive from the equity perspective, but not from the asset one.

Keywords


Infrastruktur; Cost of equity; Cost of capital; CAPM; Beta.

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DOI: http://dx.doi.org/10.5614%2Fjts.2006.13.3.2

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