PENGARUH NILAI TUKAR, BI RATE, TINGKAT INFLASI, DAN PERTUMBUHAN EKONOMI TERHADAP INDEKS HARGA SAHAM GABUNGAN (Studi Pada Indeks Harga Saham Gabungan Di BEI Periode Juli 2005-Juni 2015)

Abstract

The aim of this study was to determine the effect of macro-economic conditions which including the exchange rate, BI rate, inflation and economic growth of the composite stock price index.Stock was one of investment in the capital market the most attractive to investors.This study had used explanatory research with quantitative approach. Determination of the sample was based on time series data quarterly period July 2005 – June 2015 by using saturation sampling method, which resulted 40 as number of samples. This study also had chosen multiple linear regression as attempts to analyze data. The simultaneous test (F test) resulted that the exchange rate, BI rate, inflation and economic growth simultaneously had given significant effect on the stock price index. Meanwhile, the partial test (t test) had indicated that the exchange rate variable and BI rate significantly influenced the stock price index. In contrast, rate of inflation and economic growth had not showed significant effect on the stock price index. The conclusion based on this research was stock investors should be more considerate on the economic conditions such as covering the exchange rate, BI rate, inflation and economic growth before finalized their investment decisions in order to reach the maximum benefit.

Keywords: Capital Markets, Investment, Macroeconomics

ABSTRAK

Penelitian ini bertujuan untuk mengetahui pengaruh kondisi ekonomi makro yang meliputi nilai tukar, BI rate, tingkat inflasi, dan pertumbuhan ekonomi terhadap indeks harga saham gabungan. Saham merupakan salah satu investasi di pasar modal yang paling diminati investor. Penelitian eksplanatori dengan pendekatan kuantitatif digunakan dalam penelitian ini. Penentuan sampel berdasarkan data time series triwulan periode Juli 2005-Juni 2015 dengan menggunakan metode sampling jenuh, yaitu sebanyak 40 sampel. Penelitian ini menggunakan metode analisis regresi linear berganda. Hasil uji simultan (uji F), menunjukkan bahwa nilai tukar, BI rate, tingkat inflasi, dan pertumbuhan ekonomi secara simultan berpengaruh signifikan terhadap indeks harga saham gabungan. Sedangkan hasil uji parsial (uji t), menunjukkan bahwa variabel nilai tukar dan BI rate berpengaruh signifikan terhadap indeks harga saham gabungan. Sebaliknya, variabel tingkat inflasi dan pertumbuhan ekonomi secara parsial berpengaruh tidak signifikan terhadap indeks harga saham gabungan. Berdasarkan hasil penelitian, investor saham selayaknya memperhatikan kondisi ekonomi seperti meliputi nilai tukar, BI rate, tingkat inflasi, dan pertumbuhan ekonomi sebelum menetapkan keputusan investasinya, sehingga investor saham mengambil keputusan yang tepat untuk mendapatkan keuntungan yang maksimal.

Kata Kunci: Pasar Modal, Investasi, Ekonomi Makro