DEWI KARTIKANINGSIH, - (2023) PENGARUH MAKROEKONOMI TERHADAP RETURN SAHAM DI NEGARA EMERGING MARKET DENGAN PENDAPATAN PERKAPITA DAN KRISIS SEBAGAI VARIABEL MODERASI: Studi Kasus di Negara Indonesia, Malaysia, dan Filipina Tahun 1998-2020. S3 thesis, Universitas Pendidikan Indonesia.
Abstract
Penelitian ini bertujuan untuk mengkaji faktor-faktor yang mempengaruhi return saham, penelitian ini didasari adanya artibrase pricing theory yang menyatakan bahwa asset pricing dapat diprediksi dengan mengkaji keadaan makroekonomi. Teori tersebut diujikan secara empiris menunjukkan berbagai perbedaan penelitian pola pengaruh terutama terjadi pada negara non emerging market dengan negara emerging market. Atas dasar itu, maka penting untuk melakukan penelitian terkait dengan makroekonomi terhadap return saham yang fokus di negara emerging market. Objek dalam penelitian ini adalah faktor-faktor makroekonomi yakni inflasi, nilai tukar, suku bunga, jumlah uang beredar, pendapatan perkapita, dan return saham indeks harga saham gabungan di Indonesia, Malaysia, dan Filipina. Subjek penelitian yaitu data makroekonomi dan return saham. Data penelitian ini menggunakan time series dari tahun 1998-2020. Penggunaan rentang waktu tersebut diupayakan untuk mengkaji pengaruh makroekonomi terhadap return saham dalam tempo yang lama, selain itu penelitian ini menggunakan pendapatan perkapita sebagai variabel moderasi. Penelitian ini menggunakan eviews10 sebagai alat uji statistik. Hasil penelitian menemukan, secara simultan penelitian ini menunjukkan kesesuaian dengan artibrase pricing theory, menariknya secara parsial tidak ada variabel yang memiliki pola sama antara Indonesia, Malaysia, dan Filipina. Hal ini menandakan bahwa variabel makroekonomi di negara emerging market tidak konsisten sama, realitas itu dikarenakan ekonomi di negara emerging market dikendalikan lebih dominan oleh pemerintah, seperti penentuan suku bunga, inflasi, jumlah uang beredar, bahkan nilai tukar. Kondisi tersebut membuat pola pengaruh makroekonomi menunjukkan perbedaan diantara negara nya. Menariknya, pendapatan perkapita sebagai variabel moderasi mampu memperkuat pengaruh makroekonomi terhadap return saham, secara konsisten baik di Indonesia, Malaysia, dan Filipina dan pengaruh makro ekonomi dengan moderasi pendapatan perkapita terhadap return saham lebih efektif terjadi pada masa krisis. Kata kunci: Makroekonomi; Return Saham; Pendapatan Perkapita; Krisis. This study aims to examine the factors that influence stock returns, this research is based on the artibrase pricing theory which states that asset pricing can be predicted by examining macroeconomic conditions. This theory has been tested empirically to show various differences in research patterns of influence, especially in non-emerging market countries and emerging market countries. On that basis, it is important to conduct research related to macroeconomics on stock returns that focus on emerging market countries. The objects in this study are macroeconomic factors, namely inflation, exchange rates, interest rates, money supply, per capita income, and stock returns on the composite stock price index in Indonesia, Malaysia and the Philippines. The research subjects are macroeconomic data and stock returns. The data for this study uses a time series from 1998-2020. The use of this time span is attempted to examine the effect of macroeconomics on stock returns in a long time, besides this research uses per capita income as a moderating variable. This study uses eviews10 as a statistical test tool. The results of the study found that simultaneously this study showed compatibility with the artibrase pricing theory, interestingly, partially there were no variables that had the same pattern between Indonesia, Malaysia and the Philippines. This indicates that the macroeconomic variables in emerging market countries are not consistently the same. The reality is because the economy in emerging market countries is more dominantly controlled by the government, such as determining interest rates, inflation, money supply, even the exchange rate. These conditions make the pattern of macroeconomic influences show differences between countries. Interestingly, per capita income as a moderating variable is able to strengthen the macroeconomic influence on stock returns, consistently in Indonesia, Malaysia and the Philippines and per capita income as a moderating variable is able to strengthen the macroeconomic influence on stock returns is more effective during as crisis Keywords: Income per capita; Macroeconomics; Stock returns; Crisis
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| Item Type: | Thesis (S3) |
|---|---|
| Additional Information: | https://scholar.google.com/citations?user=Drba3XYAAAAJ&hl=en&oi=ao ID SINTA Dosen Pembimbing: NUGRAHA: 5994754 DISMAN: 5991816 MAYA SARI: 5984857 |
| Uncontrolled Keywords: | :Makroekonomi; Return Saham; Pendapatan Perkapita; Krisis. Income per capita; Macroeconomics; Stock returns; Crisis |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | Fakultas Pendidikan Ekonomi dan Bisnis > S3 Manajemen |
| Depositing User: | DEWI KARTIKANINGSIH |
| Date Deposited: | 12 Jan 2024 02:53 |
| Last Modified: | 12 Jan 2024 02:53 |
| URI: | http://repository.upi.edu/id/eprint/113923 |
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