DETERMINAN INDEKS SAHAM BERDASARKAN FAKTOR MAKRO EKONOMI
DOI:
https://doi.org/10.37932/j.e.v12i1.447Keywords:
BI rate, inflasi, nilai tukar Rupiah-USD, IHSG, Ordinary Least Square - Eviews, IDX Composite, inflation, exchange Rate Rupiah-USDAbstract
Tujuan penelitian ini adalah mengkaji pengaruh faktor makro ekonomi yang terdiri atas BI Rate, inflasi dan nilai tukar Rupiah-USD terhadap Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia periode tahun 2011 sampai 2020. Data yang diolah merupakan data sekunder dengan metode sampel menggunakan desain sample non probabilities - sampling jenuh, sejumlah 120 data. Metode analisa menggunakan Ordinary Least Square di Eviews 9 dengan hasil menunjukkan secara simultan berdasarkan hasil Uji F bahwa BI Rate (X1), inflasi (X2), nilai tukar Rupiah- USD (X3) memberikan pengaruh signifikan terhadap perubahan IHSG (Y) dengan koefisien determinasi 58,9%. Adapun berdasarkan hasil Uji T, secara partial menunjukan bahwa BI Rate dan Inflasi tidak memberikan pengaruh terhadap IHSG, sedangkan nilai tukar Rupiah-USD memberikan pengaruh signifikan dengan arah positif terhadap IHSG. Model Ordinary Least Square yang diperoleh adalah Y = 2.568,92 – 133,86, X1 – 13,20 X2 + 0,27 X3 + e Implikasi dari model tersebut untuk para investor pasar modal agar memperhatikan apabila terjadi perubahan perubahan kenaikan pada BI Rate dan inflasi akan menyebabkan nilai IHSG menurun atau nilai saham secara agregat menurun. Namun jika terjadi nilai tukar Rupiah menguat terhadap USD maka nilai saham secara agregat juga akan meningkat yang mengindikasikan investor memberikan respond positif.This study aims to analyze the effect of Indonesia's macroeconomic indicators such as the BI Rate, inflation and the Rupiah-USD exchange Rate on the Composite Stock Price Index (IDX Composite) on the Indonesia Stock Exchange for the period 2011 to 2020. Data use in this research was secondary data with the sample method using non-probability sample design - saturated sampling, a total of 120 data. The results of the study using Ordinary Least Square in Eviews 9 show that in simultant BI Rate (X1), inflation (X2), Rupiah-USD exchange Rate (X3) have a significant effect on IHSG (Y) with a coefficient of determination of 58,9%. Partially, the BI Rate and inflation has no effect on IHSG, while the Rupiah-USD exchange Rate has a positive and significant effect on IDX Composite. The Ordinary Least Square model obtained is Y = 2.568,92 – 133,86, X1 – 13,20 X2 + 0,27 X3 + e. The implication of this model is for capital market investors to pay attention to changes in the BI Rate increase and inflation will cause the JCI value to decrease or the aggregate value of shares to decline. However, if the Rupiah exchange rate strengthens against the USD, the aggregate stock value will also increase, indicating that investors will respond positively.References
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