DAFTAR ISI Halaman Judul ...................................................................................................................... i Halaman Pengesahan ........................................................................................................... ii Halaman Pernyataan .......................................................................................................... iii Kata Pengantar ................................................................................................................... iv Daftar Isi............................................................................................................................... v Daftar Tabel ......................................................................................................................... x Gambar................................................................................................................................ xi Intisari ............................................................................................................................... xiii Abstract ............................................................................................................................. xiv
BAB I PENDAHULUAN ..................................................................................................... 1 1.1 Latar Belakang Masalah .................................................................................................. 1 1.2 Perumusan Masalah......................................................................................................... 9 1.3 Tujuan Penelitian .......................................................................................................... 10 1.4 Manfaat Penelitian......................................................................................................... 10 1.5 Sistematika Penelitian ................................................................................................... 11 BAB II PENDAHULUAN .................................................................................................. 12 2.1 Landasan Teori.............................................................................................................. 12 2.1.1 Pasar Modal ........................................................................................................... 12 2.1.2 Indeks Harga Saham Sektoral ................................................................................ 13 2.1.3 Sumber Resiko ....................................................................................................... 16 2.1.4 Variabel Makroekonomi ........................................................................................ 19 2.2 Hubungan Antara Produk Domestik Bruto (PDB/GDP), Kurs Mata Uang Asing, Tingkat Inflasi, dan Tingkat Suku Bunga dengan Indeks Harga Saham ........................................ 20 2.3 Penelitian-Penelitian Terdahulu ..................................................................................... 22 2.4 Kerangka Hipotesis ....................................................................................................... 24 2.5 Hipotesis ....................................................................................................................... 25
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BAB III METODOLOGI PENELITIAN .......................................................................... 26 3.1 Variabel ........................................................................................................................ 26 3.1.1 Variabel Dependen ................................................................................................ 26 3.1.2 Variabel Independen .............................................................................................. 27 3.2 Prosedur Pengumpulan Data .......................................................................................... 28 3.3 Sample .......................................................................................................................... 28 3.4 Alat Analisis.................................................................................................................. 29 3.5 Model Analisis Data ...................................................................................................... 29 3.6 Pengujian Hipotesis ....................................................................................................... 30 3.6.1 Koefisien Determinasi............................................................................................ 30 3.6.2 Pengujian Terhadap Koefisien Regresi Secara Simultan (Uji F) ............................. 31 3.6.3Pengujian Terhadap Koefisien Regresi Parsial (Uji T)............................................. 32 BAB IV HASIL DAN PEMBAHASAN ............................................................................ 33 4.1 Analisa Data Indeks Harga Saham Agriculture .............................................................. 34 4.1.1 Perumusan Model Persamaan Regresi Sektor Agriculture ...................................... 34 4.1.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Agriculture .......................................................................................................... 35 4.1.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Agriculture ....................... 35 4.1.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Agriculture ................................... 36 4.2 Analisa Data Indeks Harga Saham Mining .................................................................... 37 4.2.1 Perumusan Model Persamaan Regresi Sektor Mining ............................................ 37 4.2.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Mining ................................................................................................................ 38 4.2.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Mining ............................ 39 4.2.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Mining ......................................... 39 4.3 Analisa Data Indeks Harga Saham Mining .................................................................... 40 4.3.1 Perumusan Model Persamaan Regresi Sektor Basic Industry ................................. 40
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4.3.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Basic Industry ..................................................................................................... 41 4.3.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Basic Industry ................. 42 4.3.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Basic Industry .............................. 42 4.4 Analisa Data Indeks Harga Saham Miscellaneous Industry............................................ 44 4.4.1 Perumusan Model Persamaan Regresi Sektor Miscellaneous Industry ................... 44 4.4.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Miscellaneous Industry ....................................................................................... 45 4.4.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Miscellaneous Industry .... 45 4.4.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Miscellaneous Industry ................ 46 4.5 Analisa Data Indeks Harga Saham Consumer Goods ..................................................... 47 4.5.1 Perumusan Model Persamaan Regresi Sektor Consumer Goods ............................ 47 4.5.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Consumer Goods ................................................................................................ 48 4.5.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Consumer Goods ............. 49 4.5.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Consumer Goods ......................... 49 4.6 Analisa Data Indeks Harga Saham Property................................................................... 51 4.6.1 Perumusan Model Persamaan Regresi Sektor Property .......................................... 51 4.6.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Property .............................................................................................................. 52 4.6.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Property .......................... 52 4.6.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Property ....................................... 53
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4.7 Analisa Data Indeks Harga Saham Infrastructure ........................................................... 54 4.7.1 Perumusan Model Persamaan Regresi Sektor Infrastructure .................................. 54 4.7.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Infrastructure ...................................................................................................... 55 4.7.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Infrastructure ................... 56 4.7.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Infrastructure ............................... 56 4.8 Analisa Data Indeks Harga Saham Finance .................................................................... 58 4.8.1 Perumusan Model Persamaan Regresi Sektor Finance ........................................... 58 4.8.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Finance ............................................................................................................... 59 4.8.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Finance ............................ 59 4.8.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Finance ........................................ 60 4.9 Analisa Data Indeks Harga Saham Trade Services ......................................................... 61 4.9.1 Perumusan Model Persamaan Regresi Sektor Trade Services ................................ 61 4.9.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Trade Services ............................................................................................................... 62 4.9.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Trade Services ................. 63 4.9.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Trade Services ............................. 63 4.10 Analisa Data Indeks Harga Saham Manufacturing ....................................................... 65 4.10.1 Perumusan Model Persamaan Regresi Sektor Manufacturing .............................. 65 4.10.2 Analisa Kekuatan Pengaruh Variabel Bebas Terhadap Variasi Variabel Terikat Sektor Manufacturing .................................................................................................... 66 4.10.3 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, dan Kurs USD Secara Bersama-sama Terhadap Indeks Harga Saham Sektor Manufacturing ................. 66 4.10.4 Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB dan Kurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Manufacturing ............................. 66
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4.11 Matriks Hasil Uji Hipotesis untuk Menguji Pengaruh Inflasi, Suku Bunga, PDB, danKurs USD Secara Parsial Terhadap Indeks Harga Saham Sektor Manufacturing ....... 68 BAB V KESIMPULAN ..................................................................................................... 71 5.1 Kesimpulan ................................................................................................................... 71 5.2 Keterbatasan Penelitian ................................................................................................. 72 DAFTAR PUSTAKA ........................................................................................................ 73 DAFTAR TABEL .............................................................................................................. 75
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