ANALISIS PENGARUH FAKTOR MIKRO DAN MAKRO EKONOMI TERHADAP RETURN SAHAM DALAM JAKARTA ISLAMIC INDEX (JII)

MAYFI, FATHIMAH FATIHATUL FITHRI (2014) ANALISIS PENGARUH FAKTOR MIKRO DAN MAKRO EKONOMI TERHADAP RETURN SAHAM DALAM JAKARTA ISLAMIC INDEX (JII). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

This study aims to reveal how the influence of micro factors ( Total Assets Turnover / TATO, Return On Assets / ROA, Debt to Equity Ratio / DER, Current Assets / CR and Earning Per Share / EPS ), and macro factors ( inflation, exchange rate, BI Rate , Reserves and Gross Domestic Product / GDP ) on stock returns in the Jakarta Islamic Index ( JII ). Object of this study is the stock in the Jakarta Islamic Index ( JII ) in Indonesia Stock Exchange the period 2009 – 2013. Determination of the sample in this study using Shapes Multi Purpose Sampling, as for the method of analysis used is multiple linear regression model . These results indicate that the micro and macro factors together have a significant influence on stock returns. While partially different effect, TATO, ROA, EPS and Exchange respectively have significant positive effect, a positive effect of foreign exchange reserves is not significant, CR and inflation has a significant negative influence, while DER, BI rate, and GDP does not have influence on stock returns JII . Key Words : Stock Return, micro factor, macroeconomic factor, Jakarta Islamic Index (JII). Penelitian ini bertujuan mengungkapkan bagaimana pengaruh faktor mikro (Total Assets Turnover / TATO, Return On Assets / ROA, Debt to Equity Ratio / DER, Current Assets / CR dan Earning Per Share / EPS), dan faktor makro (Inflasi, Kurs, BI Rate, Cadangan Devisa dan Product Domestic Bruto / PDB) terhadap return saham dalam Jakarta Islamic Index (JII). Obyek penelitian ini adalah saham dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia periode 2009 – 2013. Penentuan sample dalam penelitian ini menggunakan Multy Shapes Purpose Sampling, adapun metode analisa yang digunakan adalah model regresi liner berganda. Hasil penelitian ini menunjukan bahwa faktor mikro maupun faktor makro secara bersama-sama memberikan pengaruh yang signifikan terhadap return saham. Sedangkan secara parsial pengaruhnya berbeda-beda, TATO, ROA, EPS dan Kurs masing-masing mempunyai pengaruh positif yang signifikan, Cadangan Devisa berpengaruh positif tidak signifikan, CR dan Inflasi mempunyai pengaruh negatif yang signifikan, sementara DER, BI Rate, dan PDB tidak mempunyai pengaruh terhadap return saham JII. Kata Kunci : Return saham, faktor mikro, faktor makro, Jakarta Islamic Index (JII).

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