PENGARUH RISIKO INFLASI, RISIKO SUKU BUNGA, RISIKO KURS VALUTA ASING, DAN LEVERAGE TERHADAP RETURN SAHAM (Studi Pada Industri Manufaktur Sub Sektor Otomotif Dan Komponen Yang Terdaftar Di Bursa Efek Indonesia Periode 2006-2016)

Abstract

Capital markets has several investment alternatives, one of them is stock investment. Stock investment contains high enough risks, hence investors must consider risks before making decision for investment. Risks which should be considered consist of macroeconomic risk and microeconomic risk that can influence the gained stock return, among them are inflation risk, interest rate risk, foreign exchange risk, and leverage. The research aims to explain the effect of inflation risk, interest rate risk, foreign exchange risk, and partially and simultaneously on stock return.Types of this research is included into explanatory research with quantitative approach. This research used multiple linear regression method. Result from this study indicate that; 1) inflation risk in partially is negatively effect on stock return; 2) interest rate risk, foreign exchange risk, and leverage in partially is not effect on stock return; 3) inflation risk, interest rate risk, foreign exchange risk, and leverage in simultaneously is positively effect on stock return.

Keyword: inflation risk, interest rate risk, foreign exchange risk, leverage, stock return.

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Pasar modal memiliki beberapa alternatif investasi, salah satunya yaitu investasi saham.Investasi saham mengandung risiko yang cukup tinggi, sehingga investor perlu memperhitungkan risiko sebelum mengambil keputusan untuk berinvestasi. Adapun risiko yang perlu diperhatikan yaitu risiko makroekonomi maupun risiko mikroekonomi yang dapat mempengaruhi return saham yang diperoleh, antara lain risiko inflasi, risiko suku bunga,risiko kurs valuta asing, dan leverage. Penelitian ini bertujuan untuk mengetahui pengaruh risiko inflasi, risiko suku bunga, risiko kurs valuta asing dan leverage secara parsial dan simultan terhadap return saham.Jenis penelitian ini termasuk dalam penelitian eksplanatif dengan pendekatan kuantitatif. Penelitian ini menggunakan metode analisis regresi linier berganda. Hasil penelitian ini menunjukkan bahwa; 1) Risiko inflasi secara parsial berpengaruh negatif terhadap return saham; 2) Risiko suku bunga, risiko kurs valuta asing, dan leverage secara parsial tidak berpengaruh terhadap return saham; 3) risiko inflasi, risiko suku bunga, risiko kurs valuta asing, dan leverage secara simultan berpengaruh positif terhadap return saham.

Kata Kunci: risiko inflasi, risiko suku bunga, risiko kurs valuta asing, leverage, return saha