Andre Hernowo, - (2020) DISERTASI PENGARUH VARIABEL MAKRO EKONOMI TERHADAP RETURN SAHAM : Studi Empiris Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Tahun 2007 - 2017. S3 thesis, Universitas Pendidikan Indonesia.
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Abstract
Penelitian ini mencoba menjawab fenomena terjadinya fluktuasi (volatility) dan ketidakpastian dari imbal hasil (return) saham. Dasar teori yang digunakan untuk mendukung penelitian ini adalah Multi-factor Model yang dikemukakan Roll & Ross (1980) didasari atas asumsi bahwa berbagai faktor ekonomi baik secara langsung maupun tidak langsung berpengaruh terhadap return saham. Tujuan dari penelitian ini adalah untuk menemukan risiko sistematis (inflasi, suku bunga BI rates, pertumbuhan ekonomi, harga minyak dunia, dan jumlah uang beredar) yang berpengaruh secara signifikan terhadap return saham. Data yang digunakan merupakan panel data, yaitu data cross section dan data time series, periode 2007-2017. Pengambilan sampel sejumlah 251 emiten yang terdaftar di Bursa Efek Indonesia (BEI) dilakukan dengan teknik purposive sampling. Sedangkan teknik analisis data menggunakan regresi data panel. Hasil penelitian menunjukkan bahwa return saham dipengaruhi oleh variabel makro ekonomi. Disisi lain dengan menggunakan nilai tukar sebagai variabel moderasi, menghasilkan hubungan secara signifikan antara variabel makro ekonomi dengan return saham. Rekomendasi penelitian ini menitikberatkan pada pengendalian nilai tukar rupiah terhadap dollar untuk mengoptimalkan return saham. Kata kunci: variabel makro ekonomi, return saham, nilai tukar ABSTRACT THE INFLUENCE OF MACRO ECONOMIC VARIABLES TOWARDS STOCK RETURN (The Empirical Study of Companies Listed on the Indonesia Stock Exchange in 2007 - 2017) Andre Hernowo NIM. 1603089 Team of Supervisors : Prof. Dr. H. Disman,M.S.1 , Dr. Ikaputera Waspada, M.M.2, Prof. Dr. H. Nugraha,SE.,M.Si.,Akt.,CA,CTA. 3 This study tries to answer the phenomenon of fluctuations (volatility) and uncertainty of stock returns. The theoretical basis used to support this research is the Multi-factor Model proposed by Roll & Ross (1980) based on the assumption that various economic factors both directly and indirectly affect stock returns.The purpose of this study is to find systematic risks (inflation, interest BI rates, economic growth, world oil prices, and the money supply) that have a significant effect on stock returns. The data used is panel data (cross section and time series) for the period 2007-2017. Sampling of 251 companies listed on the Indonesia Stock Exchange (IDX) was carried out using purposive sampling technique. While the data analysis technique uses panel data regression. The results showed that stock returns are influenced by macroeconomic variables. On the other hand using the exchange rate as a moderating variable, produces a significant relationship between macroeconomic variables and stock returns. The recommendations of this research to focus on controlling the exchange rate of the rupiah against the U.S dollar to optimize the stock returns. Keyword: macroeconomic variables, stock returns, exchange rate
| Item Type: | Thesis (S3) |
|---|---|
| Uncontrolled Keywords: | variabel makro ekonomi, return saham, nilai tukar |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HG Finance |
| Divisions: | Sekolah Pasca Sarjana > Ilmu Manajemen S-3 |
| Depositing User: | Andre Hernowo |
| Date Deposited: | 24 Feb 2020 02:07 |
| Last Modified: | 24 Feb 2020 02:07 |
| URI: | http://repository.upi.edu/id/eprint/44761 |
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