INTISARI Didalam literatur, terdapat banyak penelitian

INTISARI
Didalam literatur, terdapat banyak penelitian empiris yang
mengungkapkan hubungan antara variabel makro ekonomi dan harga saham.
Namun hubungan secara langsung keduanya masih belum dapat terpecahkan
didalam teori maupun studi empirisnya. Tujuan dari penelitian ini adalah
mengkaji pengaruh indikator ekonomi makro, yaitu produk domestik bruto, suku
bunga, inflasi dan nilai tukar mata uang terhadap harga saham di bursa efek
Indonesia, dan mengukur pengaruh beberapa faktor tersebut terhadap indeks harga
saham sektoral (pertanian, pertambangan, industri dasar, aneka industri, properti
dan real estate, infrastruktur, keuangan, dan perdagangan dan jasa) selama periode
2008-2012.
Metoda yang digunakan dalam penelitian ini adalah regresi linear
berganda. Data diperoleh dari Monthly Statistics Bursa Efek Indonesia (BEI),
Badan Pusat Statistik (BPS) dan Bank Indonesia.
Hasil penelitian menunjukkan bahwa variabel makro ekonomi
berpengaruh terhadap indeks harga saham pada sektor pertanian, industri dasar,
properti dan real estate, infrastruktur, dan perdagangan dan Jasa. Disisi lain, tidak
berpengaruh terhadap indeks harga saham pada sektor pertambangan, aneka
industri, industri barang konsumsi, dan keuangan apabila diuji secara bersamaan
(simultan). Apabila diuji secara parsial, variabel-variabel makro ekonomi tidak
berpengaruh terhadap masing-masing indeks sektoral.
Kata kunci: laju PDB, suku bunga, inflasi, kurs, indeks harga saham sektoral
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ABSTRACT
In the literature, there are many empirical studies to disclose the
relationship between macroeconomic variables and stock prices. However, the
direction of causality still remains unresolved in both theory and empirics. This
study aims to evaluate the impact of macroeconomic variables, i.e. gross domestic
product, interest rates, inflation factors and currency exchange rates to stock
prices at Indonesia Stock Exchange, and to measure the impact of these factors on
sectoral indices (agriculture, mining, basic industry, miscellaneous industry,
consumer goods industry, property and real estate, infrastructure, finance and
trade and service) during the period of 2008 to 2012.
The method used in this study is multiple regression analysis. Data has
been collected from the monthly statistics of The Indonesia Stock Exchange
(IDX), The Central Agency of Statistics (BPS) and Bank of Indonesia.
The result shows that the economic macro variables have significant
impact to stock prices index of agriculture, basic industry, property and real estate,
infrastructure and trade and service. On the other side, not significant impact to
stock prices index of mining, miscellaneous industry, consumer goods industry,
and finance if tested simultaneously. If it tested partially, the economic macro
variables haven’t significant impact on the index for each sector.
Keywords: GDP, interest rate, inflation, currency exchange rate, sectoral indices
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