ANALISIS PENGARUH EKONOMI MAKRO TERHADAP RETURN SAHAM SEKTOR PROPERTI PERIODE 2008-2018 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY

MUHAMMAD, FAJRIAN (2019) ANALISIS PENGARUH EKONOMI MAKRO TERHADAP RETURN SAHAM SEKTOR PROPERTI PERIODE 2008-2018 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to examine the accuracy of the Arbitrage Pricing Theory (APT) model in predicting returns on property sector stocks for the period 2008- 2018. The APT model emerged as a response to the weakness of the Capital Asset Pricing Model (CAPM). The APT model accommodates more varied sources of risk, namely systematic risk in the form of macroeconomic conditions in a country. Macroeconomic variables used in this study are economic growth, inflation rate, rupiah exchange rate against the US dollar, and BI rate interest rates. The population in this study is the propetry sector companies listed on the Indonesia Stock Exchange whose shares are active during 2008-2018 as many as 44 companies while the number of samples used in this study is purposive sampling as many as 21 companies. This study uses time series data, namely monthly data from January 2008 to December 2018. Based on the results of the research conducted, it can be seen that the APT modeling is less accurately used in Indonesia, it is proven that only IPI has a significant effect on property stock returns while inflation, the exchange rate and the BI rate have no effect. Keywords: APT, IPI, Inflation rate, IDR / dollar exchange rate, BI rate, property stock return. Penelitian ini bertujuan untuk menguji tingkat keakuratan model Arbitrage Pricing Theory (APT) dalam memprediksi imbal hasil saham sektor properti periode 2008-2018. Model APT muncul sebagai respon terhadap kelemahan Capital Asset Pricing Model (CAPM). Model APT mengakomodir sumber risiko yang lebih bervariasi, yaitu systematic risk yang berupa kondisi ekonomi makro di suatu negara. Variabel ekonomi makro yang digunakan dalam penelitian ini adalah pertumbuhan ekonomi, laju inflasi, nilai tukar rupiah terhadap dollar Amerika, dan tingkat suku bunga BI rate. Populasi dalam penelitian ini adalah perusahaan sektor propeti yang terdaftar di Bursa Efek Indonesia yang sahamnya aktif selama tahun 2008-2018 sebanyak 44 perusahaan sedangkan jumlah sampel yang digunakan pada penelitian ini yaitu purposive sampling sebanyak 21 perusahaan. Penelitian ini menggunakan data time series, yaitu data bulanan dari Januari 2008- Desember 2018. Berdasarkan hasil penelitian yang dilakukan dapat diketahui bahwa pemodelan APT kurang akurat digunakan di Indonesia terbukti hanya IPI yang berpengaruh signifikan terhadap return saham property sedangkan inflasi, kurs dan BI rate tidak berpengaruh. Kata kunci: APT, IPI, laju Inflasi, kurs Rp/dollar, suku bunga BI rate, return saham properti.

Item Type: Thesis (S1)
Call Number CD: FE/MJ. 19 937
NIM/NIDN Creators: 43115010126
Uncontrolled Keywords: APT, IPI, laju Inflasi, kurs Rp/dollar, suku bunga BI rate, return saham properti
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan
000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.3 Bibliographic Analysis and Control/Bibliografi Analisis dan Kontrol Perpustakaan
000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.4 Subject Analysis and Control/Subjek Analisis dan Kontrol Perpustakaan
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: ELMO ALHAFIIDH PUTRATAMA
Date Deposited: 05 Aug 2023 06:09
Last Modified: 05 Aug 2023 06:09
URI: http://repository.mercubuana.ac.id/id/eprint/79984

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