ZUHRI, IRFAN NAUFAL (2019) ANALISIS PENGARUH FAKTOR MAKRO EKONOMI TERHADAP RETURN SAHAM (Studi Pada Perusahaan Sektor Pertambangan Sub Sektor Batubara Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2012 – 2017). S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to determine the effect of Macroeconomic Factors on Stock Returns, these factors include inflation, BI rates, and exchange rates. The population in this study was a coal sector sub-sector mining company listed on the Indonesia Stock Exchange (IDX) for the period 2012 - 2017. The technique used in the selection of samples was purposive sampling and obtained 15 coal companies from a total of 22 populations, with a study period of year, so that there were as many as 90 observable objects in this study. The analysis was carried out by testing hypotheses which in this study used the Panel Regression with the support of Eviews 9.0 program. The results showed a significant level of 5% indicating that inflation had no significant effect, BI rate had a significant effect, and the exchange rate had no significant effect. Keywords: Macroeconomics, Inflation, Interest Rates, Exchange Rates, Stock Returns, Mining, Coal. Penelitian ini bertujuan untuk mengetahui pengaruh Faktor Makro Ekonomi terhadap Return Saham, faktor tersebut meliputi Inflasi, Suku Bunga BI, dan Kurs / Nilai tukar. Populasi dalam penelitian ini adalah perusahaan sektor pertambangan sub sektor Batubara yang terdaftar di Bursa Efek Indonesia (BEI) periode 2012 – 2017. Teknik yang dilakukan dalam pemilihan sampel adalah purposive sampling dan diperoleh sebanyak 15 perusahaan Batubara dari total 22 populasi, dengan periode penelitian selama enam tahun, sehingga di dapat sebanyak 90 objek observasil dalam penelitian ini. Analisis dilakukan dengan pengujian hipotesis yang dalam penelitian ini menggunakan Regresi Dara Panel dengan dukungan program Eviews 9,0. Hasil penelitian menunjukan pada tingkat signifikan sebesar 5% menunjukan bahwa Inflasi dan Kurs / Nilai tukar tidak berpengaruh signifikan. Sedangkan Suku Bunga BI berpengaruh signifikan, Kata kunci : Makro Ekonomi, Inflasi, Suku Bunga BI, Kurs / Nilai Tukar, Return Saham, Pertambangan, Batubara.
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