Sari, Yeni Putri Nila (2025) ANALISIS PENGARUH VARIABEL EKONOMI MAKRO TERHADAP RETURN SAHAM MENGGUNAKAN PENDEKATAN ARBITRAGE PRICING THEORY (APT) (Studi Empiris Perusahaan yang Terdaftar Pada Indeks SRI-KEHATI Periode Sebelum Pandemi, Saat Pandemi, dan Setelah Pandemi Covid-19). S1 thesis, Universitas Mercu Buana Jakarta - Menteng.
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Abstract
Perkembangan investasi di pasar modal Indonesia menunjukkan pergeseran orientasi investor dari fundamental keuangan semata menuju isu keberlanjutan, yang direpresentasikan melalui Indeks SRI-KEHATI. Indeks ini terdiri atas perusahaan-perusahaan yang memenuhi kriteria Environmental, Social, dan Governance (ESG), serta dipersepsikan memiliki daya tahan lebih baik dalam menghadapi tekanan ekonomi. Fluktuasi makroekonomi serta krisis akibat pandemi Covid-19 telah menimbulkan ketidakpastian pasar dan mendorong investor untuk lebih selektif terhadap risiko sistematis. Dalam konteks tersebut, analisis terhadap pengaruh faktor-faktor ekonomi makro seperti Indeks Produksi Industri (IPI), inflasi, suku bunga, nilai tukar, dan harga minyak dunia menjadi relevan, khususnya terhadap return saham emiten yang secara konsisten tergabung dalam Indeks SRI-KEHATI selama periode 2018 hingga 2024. Objek penelitian terdiri atas sepuluh perusahaan yang secara konsisten tergabung dalam Indeks SRI-KEHATI, antara lain Bank Central Asia (BBCA), Bank Negara Indonesia (BBNI), Bank Rakyat Indonesia (BBRI), Bank Mandiri (BMRI), Indofood (INDF), Jasa Marga (JSMR), Kalbe Farma (KLBF), Semen Indonesia (SMGR), Telkom Indonesia (TLKM), dan Unilever Indonesia (UNVR). Penelitian ini menggunakan pendekatan kuantitatif eksplanatif dengan kerangka teori Arbitrage Pricing Theory (APT) yang digunakan untuk melihat sensitivitas return terhadap surprise factor dari masing-masing variabel, dimana regresi Fama- MacBeth sebagai teknikal teori yang diimplementasikan. Hasil penelitian menunjukkan bahwa dari lima variabel surprise factor yang diuji, hanya IPI dan nilai tukar yang berpengaruh signifikan terhadap return saham, dan pengaruh tersebut hanya ditemukan pada periode setelah pandemi. Temuan ini mengindikasikan bahwa faktor produksi dan stabilitas nilai tukar menjadi fokus utama investor dalam fase pemulihan setelah pandemi. Ketika pasar berada dalam kondisi krisis atau diliputi gejolak besar, hubungan antara faktor risiko makroekonomi dan return saham cenderung melemah atau tidak terbaca secara signifikan. Kondisi ini mencerminkan bahwa pada saat ketidakpastian pasar mencapai tingkat tinggi, perilaku investor cenderung lebih dipengaruhi oleh sentimen dibandingkan oleh pertimbangan rasional terhadap indikator ekonomi, yang menyebabkan variabel makroekonomi kehilangan relevansinya terhadap pergerakan saham.The evolution of investment behavior in the Indonesian capital market reflects a fundamental shift in investor orientation from an exclusive focus on financial fundamentals to an increasing emphasis on sustainability considerations, as embodied by the SRI-KEHATI Index. This index comprises companies that adhere to Environmental, Social, and Governance (ESG) criteria and are widely perceived to possess stronger resilience amid economic disruptions. Macroeconomic volatility, coupled with the systemic uncertainty brought about by the Covid-19 pandemic, has compelled investors to adopt a more selective stance toward systematic risks. In this regard, examining the influence of macroeconomic factors namely, the Industrial Production Index (IPI), inflation, interest rates, exchange rates, and global oil prices becomes particularly relevant to understanding the return performance of stocks consistently listed in the SRI-KEHATI Index over the 2018 to 2024 period. The study focuses on ten such issuers, including Bank Central Asia (BBCA), Bank Negara Indonesia (BBNI), Bank Rakyat Indonesia (BBRI), Bank Mandiri (BMRI), Indofood (INDF), Jasa Marga (JSMR), Kalbe Farma (KLBF), Semen Indonesia (SMGR), Telkom Indonesia (TLKM), and Unilever Indonesia (UNVR). An explanatory quantitative approach is employed, underpinned by the theoretical framework of Arbitrage Pricing Theory (APT), to assess the sensitivity of stock returns to the surprise components of each macroeconomic variable. The Fama-MacBeth regression model is applied as the primary estimation technique. Empirical results reveal that among the five surprise factors analyzed, only the IPI and exchange rate exhibit a statistically significant influence on stock returns, and this significance emerges exclusively in the post pandemic period. These findings suggest that production activity and exchange rate stability have become central concerns for investors during the recovery phase. Conversely, during periods of crisis or heightened market turbulence, the association between macroeconomic risk factors and stock returns tends to diminish or becomes statistically indiscernible. This condition implies that in times of elevated uncertainty, investor behavior is more heavily governed by sentiment rather than rational responses to economic signals, thereby undermining the influence of macroeconomic variables on equity price movements.
| Item Type: | Thesis (S1) |
|---|---|
| NIM/NIDN Creators: | 43121120092 |
| Uncontrolled Keywords: | Arbitrage Pricing Theory (APT), Return Saham, Indeks SRI-KEHATI, 10 Emiten Konsisten SRI-KEHATI, Regresi Fama-MacBeth, Indeks Produksi Industri (IPI), Nilai Tukar, Perilaku Rasional Investor.Arbitrage Pricing Theory (APT), Stock Returns, SRI-KEHATI Index, Consistent SRI-KEHATI Constituents, Fama-MacBeth Regression, Industrial Production Index (IPI), Exchange Rate, Rational Investor Behavior. |
| Subjects: | 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 060 General Organizations, Foundations, and Museology/Organisasi-organisasi Umum, dan Museologi > 069 Museology (Museum science)/Museologi > 069.6 Personnel Management of Museum/Manajemen Personalia Museum > 069.63 Personnel Management/Manajemen Personalia |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | YOSUA EBENEZER PARDEDE |
| Date Deposited: | 19 Aug 2025 08:00 |
| Last Modified: | 19 Aug 2025 08:00 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/96876 |
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