ANALISIS PENGARUH EKONOMI MAKRO TERHADAP IMBAL HASIL SAHAM SEKTOR PERBANKAN PERIODE 2008-2017 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY

RAHMADHANI, SUCI (2019) ANALISIS PENGARUH EKONOMI MAKRO TERHADAP IMBAL HASIL SAHAM SEKTOR PERBANKAN PERIODE 2008-2017 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to examine the accuracy of Arbitrage Pricing Theory (APT) model in predicting banking sector stock returns for the period of 2008-2017. The APT model emerged as a response to the weakness of the Capital Asset Pricing Model (CAPM). The APT model accommodates a more variable source of risk, ie systematic risk in the form of macroeconomic conditions in a country. The macroeconomic variables used in this research are economic growth, inflation rate, rupiah exchange rate against US dollar, and BI rate. The analytical tool used to measure the expected level of macroeconomic variables is Average method. The results of the study show that inflation has no effect on banking sector stock returns, IPI and BI rate have a negative and significant effect on the returns on banking shares. While the Exchange rate has a positive and significant effect on the returns on banking stocks. Keywords: APT, economic growth, Inflation rate, exchange rate Rupiah to US dollar, BI interest rate, stock yield, banking sector. Penelitian ini bertujuan untuk menguji tingkat keakuratan model Arbitrage Pricing Theory (APT) dalam memprediksi imbal hasil saham sektor perbankan periode 2008-2017. Model APT muncul sebagai respon terhadap kelemahan Capital Asset Pricing Model (CAPM). Model APT mengakomodir sumber risiko yang lebih bervariasi, yaitu systematic risk yang berupa kondisi ekonomi makro di suatu negara. Variabel ekonomi makro yang digunakan dalam penelitian ini adalah pertumbuhan ekonomi, laju inflasi, nilai tukar rupiah terhadap dollar Amerika, dan BI rate. Alat analisis yang digunakan untuk mengukur tingkat variabel ekonomi makro yang diharapkan adalah metode rata-rata. Hasil dari penelitian menunjukkan bahwa inflasi tidak berpengaruh terhadap imbal hasil saham perbankan, IPI dan BI rate berpengaruh negatif dan signifikan terhadap imbal hasil saham perbankan sedangkan Kurs berpengaruh positif dan signifikan terhadap imbal hasil saham perbankan. Kata kunci: APT, pertumbuhan ekonomi, laju Inflasi, kurs Rupiah terhadap US dollar, BI rate, imbal hasil saham, sektor perbankan.

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