PENGARUH VARIABEL RISIKO MAKRO EKONOMI TERHADAP IMBAL HASIL SAHAM PADA SUB SEKTOR OTOMOTIF DAN KOMPONEN PERIODE 2008 – 2017

HAMZAH, AMIR (2020) PENGARUH VARIABEL RISIKO MAKRO EKONOMI TERHADAP IMBAL HASIL SAHAM PADA SUB SEKTOR OTOMOTIF DAN KOMPONEN PERIODE 2008 – 2017. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Penelitian ini bertujuan untuk meguji dan menganalisis pengaruh Pengaruh Variabel Risiko Makro Ekonomi Terhadap Imbal Hasil Saham Sub Sektor Otomotif dan Komponen Periode 2008-2017 di Indonesia. Data penelitian ini menggunakan data bulanan selama 10 tahun observasi pada periode Januari 2008 sampai Desember 2017. Populasi pada penelitian ini adalah semua saham Perusahaan Subsektor Otomotif dan Komponen yang tercatat didalam Bursa Efek Indonesia. Metode analisis menggunakan regresi linear berganda (EVIEWS 9.0). Hasil penelitian menunjukkan bahwa variabel Surprise Factor IPI, Surprise Factor Inflasi dan Surprise Factor BI Rate secara simultan tidak berpengaruh terhadap return saham pada Perusahaan Sub-sektor Otomotif dan Komponen. Sedangkan variabel Surprise Factor Kurs berpengaruh terhadap return saham pada Perusahaan Sub-sektor Otomotif dan Komponen. Kata kunci: Surprise Factor IPI, Surprise Factor Inflasi, Surprise Factor Kurs, Surprise Factor BI. This study aims to examine and analyze the effect of Macroeconomic Risk Variable Effects on Stock Yields of the Automotive Sub Sector and Components of the 2008-2017 Period in Indonesia. The data of this study used monthly data for 10 years of observation in the period January 2008 to December 2017. The population in this study were all shares of the Automotive and Component Sub-sector Companies that were recorded during the observation period by the sampling method using purposive sampling. The analytical method uses multiple linear regression (EVIEWS 9.0). The results showed that the IPI Surprise Factor, Inflation Surprise Factor and BI Rate Surprise Factor simultaneously had no effect on stock returns in the Automotive and Component Sub-sector Companies. While the Exchange Rate Surprise Factor effect on stock returns in the Automotive and Component Sub-sector Companies. Keywords: IPI Surprise Factor, Inflation Surprise Factor, Exchange Rate Surprise Factor, BI Surprise Factor.

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