ROHMAN, ABDUR (2021) ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BEI TAHUN 2018-2020. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Penelitian ini bertujuan untuk mengetahui pengaruh suku bunga, Inflas, Cadangan Devisa, indeks produksi industri (IPI), valuta asing parsial terhadap return saham. Penelitian ini menggunakan model Vector Autoregression (VAR) dan Vector Error Correction Model (VECM) sebagai alat analisis data dan penelitian ini menegaskan bahwa sejauh mana mengkaji pengaruh kondisi guncangan makro terhadap return saham. Data yang diperoleh merupakan data sekunder berdasarkan laporan keuangan dalam kurun waktu 3 tahun menggunakan data time series bulanan. Berdasarkan hasil uji estimasi VECM secara jangka panjang menghasilkan Suku bunga Positif dan Signifikan, Inflasi Negatif dan Signifikan, Cadangan devisa Positif dan Signifikan, IPI Negatif dan Signifikan, Valuta asing Positif dan Signifikan. Sedangkan untuk jangka pendek hanya dua variabel yang signifikan yaitu suku bunga Positif dan Signifikan dan inflasi Positif dan Signifikan. Selanjutnya untuk tiga variabel berikutnya Cadangan devisa Positif dan Tidak Signifikan, IPI Positif dan Tidak Signifikan, dan kurs (valas) Positif dan Tidak Signifikan. This study aims to determine the effect of interest rates, inflation, foreign exchange reserves, industrial production index (IPI), partial foreign exchange on stock returns. This study uses the Vector Autoregression (VAR) model and the Vector Error Correction Model (VECM) as data analysis tools and this study confirms the extent to which it examines the effect of macro shock conditions on stock returns. The data obtained is secondary data based on financial statements within a period of 3 years using monthly time series data. Based on the results of the long-term VECM estimation test, it produces Positive and Significant Interest Rates, Negative and Significant Inflation, Positive and Significant Foreign Exchange Reserves, Negative and Significant IPI, Positive and Significant Foreign Exchange. Meanwhile, for the short term only two variables are significant, namely interest rates are positive and significant and inflation is positive and significant. The next three variables are Positive and Insignificant Foreign Exchange Reserves, Positive and Insignificant IPI, and Positive and Insignificant Exchange Rates.
| Item Type: | Thesis (S2) |
|---|---|
| NIM/NIDN Creators: | 55119110106 |
| Uncontrolled Keywords: | Suku Bunga, Inflasi, Cadangan Devisa, Indeks Produksi Industri (IPI), Valas (KURS);Interest Rates, Inflation, Foreign Exchange Reserves, Industrial Production Index (IPI), Foreign Exchange (EXCHANGE) |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | Priyo Raharjo |
| Date Deposited: | 09 Sep 2022 04:20 |
| Last Modified: | 27 Jun 2023 05:26 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/68896 |
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