1.1 Latar Belakang Penelitian .......................................... 1 1.2

DAFTAR ISI
ABSTRAK .......................................................................................................
i
KATA PENGANTAR .......................................................................................
ii
UCAPAN TERIMA KASIH
....
iv
DAFTAR ISI .....................................................................................................
v
DAFTAR TABEL .............................................................................................
ix
DAFTAR GAMBAR .........................................................................................
x
DAFTAR LAMPIRAN ......................................................................................
xi
BAB
I
PENDAHULUAN
1.1 Latar Belakang Penelitian ..........................................
1
1.2 Identifikasi Masalah ...................................................
5
1.3 Maksud dan Tujuan Penelitian ..................................
5
1.4 Kegunaan Penelitian ..................................................
5
1.5 Kerangka Pemikiran ...................................................
6
1.6 Hipotesis .................................................................... 10
1.7 Metode Penelitian ...................................................... 10
1.8 Lokasi dan Waktu Penelitian ..................................... 11
BAB
II
TINJAUAN PUSTAKA
2.1
Pasar Keuangan ................................................................ 12
2.1.1
2.2
Pasar Uang ....................................................................... 12
2.2.1
2.3
2.4
Pengertian Pasar Keuangan ................................ 12
Pengertian Pasar Uang ......................................... 12
Investasi ............................................................................ 13
2.3.1
Pengertian Investasi .............................................. 13
2.3.2
Jenis-Jenis Investasi ............................................. 14
2.3.3
Tujuan Investasi...................................................... 14
2.3.4
Risiko Investasi......................................... .............. 14
Pasar Modal ....................................................................... 16
2.4
Pengertian Pasar Modal ....................................... 16
2.4.1
Peran dan Manfaat Pasar Modal .......................... 17
2.5
2.6
Saham ............................................................................... 19
2.5.1
Pengertian Saham ................................................. 19
2.5.2
Jenis Nilai Saham .................................................. 19
2.5.3
Harga Saham ........................................................ 21
2.5.4
Analisis Harga Saham ........................................... 21
Analisis Fundamental ............................ 21
2.5.4.2
Analisis Teknikal ................................... 22
Pasar Valuta Asing ............................................................. 22
2.6.1
2.7
2.5.4.1
Pengertian Pasar Valuta Asing .............................. 22
Faktor-Faktor Eksternal Perusahaan ................................. 24
2.7.1
Nilai Tukar (Kurs) ................................................... 24
2.7.1.1
Jenis Kurs .............................................. 25
2.7.1.2
Faktor-faktor
Yang
Memengaruhi
Pergerakan Nilai Tukar ......................... 26
2.7.2
Tingkat suku bunga .............................................. 26
2.7.2.1
Pengertian Sertifikat Bank Indonesia
(SBI) ...................................................... 27
2.7.2.2
Karakteristik SBI .................................... 27
2.7.2.3
Tata Cara Transaksi Penjualan SBI ....... 28
2.7.2.4
Mekanisme Pembentukan Suku Bunga
SBI ........................................................ 28
2.7.2.5
Faktor-Faktor
Yang
Memengaruhi
Tingkat Suku Bunga ............................... 29
2.8
Indeks Harga Saham ......................................................... 30
2.8.1
2.9
Indeks Harga Saham Sektoral ............................... 32
Pengaruh Faktor-Faktor Eksternal Ekonomi Terhadap
Harga Saham .................................................................... 32
2.9.1
Pengaruh Nilai Tukar Rupiah Per Dollar As
Terhadap Harga Saham ....................................... 32
2.9.2
Pengaruh Tingkat Suku Bunga Terhadap Harga
Saham .................................................................. 33
BAB
III
OBJEK DAN METODE PENELITIAN
3.1
Objek Penelitian ................................................................ 35
3.1.1
Perusahaan Yang Tergabung Dalam Sektor
Otomotif ................................................................. 36
3.1.1.1
Profil Perusahaan Yang Tergabung
Dalam Sektor Otomotif .......................... 36
3.2
Metode Penelitian ............................................................. 42
3.2.1
Desain Penelitian .................................................. 42
3.2.2
Operasionalisasi Variabel ...................................... 43
3.2.3
Jenis dan Sumber Data ........................................ 44
3.2.4
Teknik Pengumpulan Data ................................... 44
3.2.5
Populasi dan Sampel Penelitian ........................... 44
3.2.6
Rancangan Pengujian Hipotesis .......................... 45
3.2.6.1
3.2.7
BAB
IV
Hipotesis dan Alternatif Hipotesis ......... 45
Teknik Analisis Data ............................................. 46
HASIL PENELITIAN DAN PEMBAHASAN
4.1
Perkembangan Nilai Tukar Rupiah per Dolar AS, Suku
Bunga SBI dan Harga Saham Pada Sektor Otomotif di
Bursa Efek Indonesia Periode Januari 2008
Juli 2009 .. 52
4.1.1
Perusahaan Sektor Otomotif ................................ 53
4.1.2
Analisis Perkembangan Nilai Tukar Rupiah per
Dolar AS ............................................................... 54
4.2
4.1.3
Analisis Perkembangan Suku Bunga SBI ............ 56
4.1.5
Analisis Perkembangan Harga Saham ................. 59
Pengaruh Nilai Tukar Rupiah per Dolar AS dan Suku
Bunga Secara Simultan Terhadap Harga Saham Pada
Sektor Otomotif di Bursa Efek Indonesia Periode Januari
2008
Juli 2009 ................................................................. 62
4.2.1
Perusahaan Sektor Otomotif ................................ 62
4.2.2
Hasil Pengujian Terhadap Model Regresi ............ 63
4.2.2.1
Uji Normalitas Data ................................ 64
4.2.2.2
Uji Autokorelasi ..................................... 65
4.2.2.3
4.3
Uji Multikolinearitas ............................... 65
4.2.3
Analisis Regresi Berganda ................................... 66
4.2.4
Analisis Korelasi Berganda ................................... 68
4.2.5
Analisis Koefisien Determinasi ............................. 68
4.2.5
Pengujian Hipotesis Simult an ............................... 68
Pengaruh Nilai Tukar Rupiah per Dolar AS dan Suku
Bunga Secara Parsial Terhadap Harga Saham Pada
Sektor Otomotif di Bursa Efek Indonesia Periode Januari
2008
Juli 2009 ................................................................ 69
4.3.1
Pengaruh Nilai tukar Rupiah Terhadap Harga
Saham .................................................................... 69
4.3.1.1 Analisis Koefisien Korelasi
70
4.3.1.2 Koefisien Determinasi
70
4.3.1.3 Pengujian Hipotesis
4.3.2
Pengaruh Suku Bunga SBI Terhadap Saham ....... 72
4.3.2.1 Analisis Koefisien Korelasi
4.3.2.2 Koefisien Determinasi
4.3.2.3 Pengujian Hipotesis
BAB
V
.. 71
... 72
72
.. 72
SIMPULAN DAN SARAN
5.1
Simpulan ........................................................................... 74
5.2
Saran ................................................................................. 75
DAFTAR PUSTAKA
LAMPIRAN-LAMPIRAN
DAFTAR TABEL
TABEL 3.1
Nama-nama Perusahaan Yang Tergabung Dalam Sektor
Otomotif ...................................................................................... 35
TABEL 3.2
Operasional Variabel ................................................................. 43
TABEL 3.3
Tingkat Hubungan Korelasi ....................................................... 49
TABEL 4.1
Perusahaan Otomotif ................................................................ 53
TABEL 4.2
Perubahan Nilai Tukar Rupiah per Dolar A S Periode Januari
2008 Juli 2009 ........................................................................ 54
TABEL 4.3
Perubahan Suku Bunga SBI Satu Bulan Periode Januari 2008
Juli 2009 ................................................................................. 57
TABEL 4.4
Pertumbuhan Harga Saham Sektor Otomotif Periode Januar
2008
Juli 2009 ....................................................................... 59
TABEL 4.5
Seleksi Sampel ......................................................................... 62
TABEL 4.6
Sampel Perusahaan .................................................................. 63
TABEL 4.7
Hasil Pengujian Autokorelasi .................................................... 65
TABEL 4.8
Hasil Pengujian Multikolinearitas .............................................. 66
TABEL 4.9 Analisis Korelasi Berganda ............................................... 67
TABEL 4.10 Uji Hipotesis Secara Simultan .................................................... 69
TABEL 4.11 Pearson Correlations .............................................................. 70
TABEL 4.12 Uji Hipotesis Secara Parsial ............................................... 71
DAFTAR GAMBAR
GAMBAR 1.1
Model Kerangka Pemikiran .................................................
9
GAMBAR 4.1
Perkembangan Nilai Tukar Rupiah per Dolar AS Periode
Januari 2008 Juli 2009 ..................................................... 55
GAMBAR 4.2
Perkembangan Suku Bunga SBI Periode Januari 2008
Juli 2009 .............................................................................. 58
GAMBAR 4.3
Pertumbuhan Harga Saham Sektor Otomotif Periode
Januari 2008
GAMBAR 4.4
Juli 2009 ..................................................... 61
Output Kurva Normal ........................................................... 64
DAFTAR LAMPIRAN
Lampiran 1
: 1. Data Nilai Tukar Rupiah per Dolar AS
2. Data Suku Bunga SBI
3. Data Harga Saham Sektor Otomotif
4. Output SPSS
5. Data Perusahaan Sektor Otomotif Yang Menerbitkan Laporan
Keuangan Tahunan Secara Periodik Selama Periode 2008
2009
Lampiran 2
: 1. Fotocopy Kartu Bimbingan
2. Daftar Riwayat Hidup