DAUD, IRWAN (2022) ANALISA DETERMINAN PENGARUH MAKROEKONOMI TERHADAP RETURN SAHAM BANK BUKU 4 DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This research aims to analyze and evaluate macroeconomics, namely inflation, BI 7 days repo rate, exchange rate, money supply, gross domestic product, foreign exchange reserves and fed fund rate interest rates, as independent variables, as well as return shares of Bank BUKU 4 companies listed on the Indonesia Stock Exchange as dependent variables. The analysis used the Vector Error Correction Model (VECM) and time series (monthly) data during the period 2016-2020. The macroeconomic variables will affect the company's performance which is reflected in stock price fluctuations, which has an impact on the decision for investors to make decisions in investing. The results showed that in the short term macroeconomic factors such as BI 7 days repo rate and money supply have a significant positive effect, while the exchange rate has a significant negative effect on the return of Bank BUKU 4 shares, other factors such as inflation, gross domestic product, foreign exchange reserves and fed fund rate do not affect the return of Bank BUKU 4 shares. In the long run, exchange rates that have a significant negative influence on bank BUKU 4's stock returns, other factors such as inflation, BI 7 day repo rate, money supply, gross domestic product, foreign exchange reserves and the fed fund rate, have no effect on bank BUKU 4's stock return. Keywords: Macroeconomic, Stock Return, Bank BUKU 4, VECM. Penelitian ini bertujuan untuk menganalisis dan mengevaluasi makroekonomi yaitu inflasi, suku bunga BI 7 days repo rate, nilai tukar, uang beredar, produk domestik bruto, cadangan devisa dan suku bunga the fed fund rate, sebagai variabel independen, serta return saham perusahaan Bank BUKU 4 yang tercatat di Bursa Efek Indonesia sebagai variable dependen. Analisis menggunakan menggunakan Vector Error Correction Model (VECM) dan data time series (bulanan) selama periode tahun 2016-2020. Pengaruh variabel makroekonomi tersebut akan memberikan pengaruh terhadap kinerja perusahaan yang tercermin dalam fluktuasi harga saham, yang berdampak kepada keputusan bagi investor untuk mengambil keputusan dalam berinvestasi. Hasil penelitian menunjukan bahwa dalam jangka pendek faktor makroekonomi seperti BI 7 days repo rate dan uang beredar berpengaruh positif signifikan, sementara nilai tukar berpengaruh negatif signifikan terhadap return saham Bank BUKU 4, faktor lain seperti inflasi, produk domestik bruto, cadangan devisa dan fed fund rate tidak mempengaruhi return saham Bank BUKU 4. Dalam jangka panjang nilai tukar yang memiliki pengaruh negatif signifikan terhadap return saham Bank BUKU 4, faktor lain seperti inflasi, BI 7 day repo rate, uang beredar, produk domestik bruto, cadangan devisa dan the fed fund rate, tidak berpengaruh terhadap return saham Bank BUKU 4. Kata Kunci: Makroekonomi, Return Saham, Bank BUKU 4, VECM.
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