KARTIKA, CINTIA AYU (2012) ANALISIS PENGARUH RISIKO SISTEMATIS DAN VARIABEL MAKRO TERHADAP INDEKS HARGA SAHAM GABUNGAN DI BEI (Studi Kasus Pada IHSG di Bei Selama Periode Januari 2007 - Desember 2011. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Capital market has developed very rapidly. One way to measure the performance of capital market is a stock index. Many factors can effect the stock index, such as domestic interest rates, foreign exchange rates, international economic conditions, the country's economic cycle, inflation rates, tax regulations, the amount of money in circulation. This research uses systematic risk ( beta ) and some macroeconomic factors include the oil price , exchange rate , interest rate and systematic risk. During the Observation period between the years 2007 – 2011. The analytical method used in this study is multiple regression analysis performed with SPSS 16. In addition to assessing the goodness of fit from a model, we use coefficient of determination test, F test and t test. Results from this research indicate that the Sistematic risk, Exchange rate, and SBI Interest Rates had a negative effect on IHSG. While the variables of Oil Prices had a positive effect on IHSG. The value of adjusted R square is 97.0%. This means that 97.0% IHSG , and the rest 3% was depend by other factor movement can be predicted from the movement of the four independent variables. Keywords: IHSG, macro economy, Systematic Risk, Capital market. Pasar modal dewasa ini yang mengalami perkembangan sangat pesat. Salah satu ukuran kinerja dari pasar modal adalah indeks harga saham. Ada banyak faktor yang dapat mempengaruhi Indeks Harga Saham, antara lain tingkat suku bunga domestik, kurs valuta asing, kondisi perekonomian internasional, siklus ekonomi suatu negara, tingkat inflasi, peraturan perpajakan, jumlah uang yang beredar. Penelitian ini menggunakan risiko sistematik (beta) dan beberapa faktor ekonomi makro yang mempengaruhi IHSG di BEI, dengan periode pengamatan antara tahun 2007-2011. Faktor ekonomi makro yang diteliti dalam penelitian ini adalah harga minyak dunia, tingkat suku bunga, dan kurs valuta asing. Metode penelitian menggunakan metode kausal, data dianalisis dengan analisis regresi berganda. Pengolahan data menggunakan SPSS 16. Untuk menilai goodness of fit dilakukan uji koefisien determinasi, uji F, dan uji t. Hasil penelitian menunjukkan bahwa variabel Risiko Sistematis, Kurs Valuta Asing dan Tingkat Suku Bunga SBI berpengaruh negatif terhadap IHSG. Sementara variabel Harga Minyak Dunia berpengaruh positif terhadap IHSG. Selain itu diperoleh nilai adjusted R square sebesar 97,0%. Ini berarti 97,0% pergerakan IHSG dapat diprediksi dari pergerakan keempat variabel independen tersebut, dan sisanya sebesar 3% dipengaruhi oleh faktor lain. Kata kunci : IHSG, Variabel Makro Ekonomi, Risiko Sistematis, Pasar Modal.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-555-12-009 |
| Call Number: | TA/55/13/022 |
| NIM/NIDN Creators: | 55510110018 |
| Uncontrolled Keywords: | IHSG, Variable Makro Ekonomi, Risiko Sistematis, Pasar Modal, akuntansi keberlanjutan, tesis akuntansi |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi |
| Divisions: | Pascasarjana > Magister Akuntansi |
| Depositing User: | Admin Perpus UMB |
| Date Deposited: | 15 Jan 2013 10:50 |
| Last Modified: | 27 Jul 2022 06:20 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/14998 |
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