PENGARUH KURS RUPIAH, INFLASI DAN BI RATE TERHADAP HARGA SAHAM (Studi pada Indeks Sektoral Bursa Efek Indonesia Periode 2005-2013)

Authors

  • Deny Rohmanda

Abstract

This research was conducted by differences in sensitivity between industries sector in Indonesia Stock Exchange (IDX) and the debate about the influence of some domestic macroeconomic data on stock price. The independent variables were used are exchange rate for rupiah to US dollar, inflation, and BI rate, while the dependent variable that used is stock price of Sectoral Indices of IDX. This research uses quartile data from 2005 to 2013 with a sample of 36 time series data for each industry sector. The analysis technique which used is multiple regression analysis. There are four findings in this research. First, exchange rate, inflation and BI rate have a simultaneous effect on stock prices for each Sectoral Indices of IDX. Second, exchange rate has a partial effect on stock price for each Sectoral Indices of IDX. Third, inflation has no partial effect for each Sectoral Indices of IDX. Fourth, BI rate has a partial effect on stock price for six Sectoral Indices of IDX. They are Sectoral Index of Properties and Real Estate, Sectoral Index of Miscellaneous Industry, Sectoral Index of Manufacturing, Sectoral Index of Trade, Services and Investment, Sectoral Index of Mining, and Sectoral Index of Finance. Keywords: Exchange Rate, Inflation, BI Rate, Stock Price, Sectoral Indices.ABSTRAK Penelitian ini dilakukan atas dasar perbedaan sensitivitas antar sektor industri di Bursa Efek Indonesia (BEI) dan perdebatan mengenai pengaruh beberapa data makroekonomi domestik terhadap harga saham. Variabel bebas yang digunakan dalam penelitian yaitu kurs rupiah terhadap dolar AS, inflasi dan BI rate, sedangkan variabel terikat yang digunakan yaitu harga saham Indeks Sektoral BEI. Penelitian ini menggunakan data kuartal tahun 2005 hingga tahun 2013 dengan jumlah sampel 36 data time series untuk setiap sektor industri. Teknik analisis yang digunakan adalah analisis regresi berganda. Terdapat empat temuan dalam penelitian ini. Pertama, kurs rupiah, inflasi dan BI rate berpengaruh secara simultan terhadap harga saham pada masing-masing Indeks Sektoral BEI. Kedua, kurs rupiah berpengaruh secara parsial terhadap harga saham pada masing-masing Indeks Sektoral BEI. Ketiga, inflasi tidak berpengaruh secara parsial terhadap harga saham pada masing-masing Indeks Sektoral BEI. Keempat, BI rate hanya berpengaruh secara parsial terhadap harga saham di enam Indeks Sektoral BEI, yaitu Indeks Sektor Properti dan Real Estate, Indeks Sektor Aneka Industri, Indeks Sektor Manufaktur, Indeks Sektor Perdagangan, Jasa dan Investasi, Indeks Sektor Pertambangan, serta Indeks Sektor Keuangan. Kata kunci: Kurs, Inflasi, BI rate, Harga Saham, Indeks Sektoral.

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Published

2014-08-22

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