HERMANSYAH, FENDIARDO (2022) DETERMINAN RETURN SAHAM SUB SEKTOR PERTAMBANGAN BATUBARA DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Investors who invest in companies in the coal mining sector need to see what the development of stock returns in the sector is in line with the development of consumption needs or the coal market. This study aims to determine the factors that influence the stock returns of coal mining sub-sector companies listed on the Indonesia Stock Exchange for the 2015-2020 period with a population of 30 companies and research samples that pass the criteria as many as 16 companies. The method used in this research is panel data regression analysis. With data processing software using Stata 16. The results showed that the micro-economic variables of sales growth, debt to asset ratio, and return on assets had no effect on stock returns. The results of the study show that the macro variable of coal prices has a positive effect on stock returns, while inflation and exchange rates have a negative effect on stock returns of companies in the coal mining subsector. Keywords: stock returns, sales growth, debt to asset ratio, return on assets, coal prices, inflation, exchange rates. Investor yang berinvestasi pada perusahaan disektor pertambangan batubara perlu melihat seperti apa perkembangan Return saham pada sektor tersebut seiring dengan perkembangan kebutuhan konsumsi atau market batubara. Penelitian ini bertujuan untuk mengetahui faktor-faktor yang mempengaruhi return saham perusahaan subsektor pertambangan batubara yang terdaftar di Bursa Efek Indonesia periode tahun 2015-2020 dengan jumlah populasi sebanyak 30 perusahaan dan sampel penelitian yang lolos kriteria sebanyak 16 perusahaan. Metode yang digunakan dalam penelitian ini adalah analisis regresi data panel. Dengan software pengolahan data menggunakan Stata 16. Hasil penelitian menunjukkan bahwa variabel mikro ekonomi sales growth, debt to asset ratio, dan return on asset tidak memiliki pengaruh terhadap return saham. Dari hasil penelitian menunjukkan variabel makro harga batubara berpengaruh positif terhadap return saham, sementara variabel inflasi dan kurs berpengaruh negatif terhadap return saham perusahaan subsektor pertambangan batubara. Kata Kunci: return saham, sales growth, debt to asset ratio, return on asset, harga batubara, inflasi, kurs
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