PRIHATMANTI, NISSA DEWI (2019) PENGARUH INFLASI, SUKU BUNGA DAN NILAI TUKAR TERHADAP VOLATILITAS HARGA SAHAM JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA TAHUN 2014 – 2017. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aimed to find out the effects of the inflation, interest rate and exchange rate on the volatility of the stock price Jakarta Islamic Index in the Indonesia Stock Exchange in 2014-2017. This was a causal associative study using the quantitative approach. The analytical method used in this study is multiple linear regression The analytical method used in this study is multiple linear regression which is first conducted stationarity test, heteroscedasticity test, autocorrelation test and multicollinearity test. This data used are the secondary data published by Bank of Indonesia and Dunia Investasi in the periode of Januari 2014 – December 2017. The results of this research showed that inflation did not have an effect on the volatility of the stock price, meanwhile interest rate and exchange rate had a significant positive effect on the volatility of the stock price. Keywords : Inflation, Interest Rate, Exchange Rate, Stock Price Volatility Penelitian ini bertujuan untuk mengetahui pengaruh inflasi, suku bunga dan nilai tukar terhadap volatilitas harga saham Jakarta Islamic Index di Bursa Efek Indonesia tahun 2014-2017. Penelitian ini merupakan penelitian asosiatif kausal dengan pendekatan kuantitatif. Metode analisis yang digunakan dalam penelitian ini adalah regresi linear berganda yang terlebih dahulu dilakukan uji stasioneritas, uji heteroskedastisitas, uji autokorelasi dan uji multikolinearitas. Adapun data yang digunakan adalah data sekunder yang diterbitkan Bank Indonesia dan Dunia Investasi selama periode Januari 2014 – Desember 2017. Hasil penelitian ini menunjukkan bahwa inflasi tidak berpengaruh terhadap volatilitas harga saham, sedangkan suku bunga dan nilai tukar berpengaruh positif signifikan terhadap volatilitas harga saham. Kata Kunci : Inflasi, Suku Bunga, Nilai Tukar, Volatilitas Harga Saham.
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