FAKTOR MAKRO EKONOMI DAN INDEKS HARGA SAHAM GABUNGAN

JOURNAL of RESEARCH in ECONOMICS and MANAGEMENT (Jurnal Riset Ekonomi dan Manajemen)

Volume 16, No. 1, Januari – Juni (Semester I) 2016, Halaman 1-14

FAKTOR MAKRO EKONOMI DAN INDEKS HARGA SAHAM GABUNGAN

Rohmad Fuad Armansyah STIE Perbanas Surabaya

ABSTRACT

required in the economic development of a country. Indonesia’s capital markets that began operating ! government took steps to make the capital market as a distributor of funds and investments equivalent to bank and non-bank institutions. Stock price " # of the capital market are closely related to several factors, which may consist of a factor derived from the company’s internal and external. This study tried to examine the factors that affect stock price index focuses on macro economic factors. In this study the authors wanted to determine the effect of the money supply, interest rates on deposits, and dollar exchange rates simultaneously and partially on the Composite Index in Indonesian capital market. Besides that, the authors also wanted to know that among the factors mentioned above, there are some factors dominantly affecting the Composite Stock Price Index. The approach used in this study is quantitative approach, because the existing data in the form of numbers are arranged in a list. The analysis method used in this study is the method of statistical analysis by multiple linear regression using SPSS version 16. Population and sample used in this study are all companies listed on the Indonesian stock exchange by looking at the composite stock price index. The results of this study indicate that the interest rate of deposits, money supply, and the dollar exchange rate which # $ " change and development of the Composite Stock Price Index and the money supply, are dominant "$ $ # Composite Stock Price Index

Informasi Artikel Riwayat Artikel

Kata Kunci Composite stock price index, Macro economic, DOI jrem

PENDAHULUAN ! " # # $ # ! $#! # #! # $!" # $ % & "

1

Rohmad Fuad Armansyah : (# # # #

# # # $#" # # # # $ -! " % ! # $ +bearish, !" +bullish, # " "* ! ! # * % % ! # " " # " " ! # " " " % ## $!" " " $" # " $# % $ % ) # # # # " " $ " % - # # # 2 -" 4! # ## $# " " & % & ! )# # 2 -" 4! $# $ $ $! kita untuk melakukan investasi, sebab dari # 2 -" 4! " # $ " & # $# # $# #$ # !! & )#* # investor " $ $ ## #& " " # % # " % # # " " * $ )#/ )# % % $ " # " " !* % $ $ * deviden, #$, dan karakteristik $ !" $#! # 2 -" 4! $ " " )# # (# atas current ratio, Dividend Payout Ratio, Return on Investment / - # )# # 6 # -# 0 * 7 # "* " 3 0 * 8 6#* 6 # 9* # $# * $ / ; # !#$ % " ! # $ " % ! $# !# $ # "$

$# ) $ # $ # $! # % $# $ $# $ $ %# $ # " $ $ $ * " "$# # $ # " $ $ * $#& # # % # + "$, - " $# $ % # # $" $ $#! " " .# # .# " # # % " " $* # # ! $ #" $ $ * % " % !!"/!" # 0 )# # ! investor 2 $ # % $ # " " .# # .# # ## !" $ $ ! $ % $ "$# $ !# $ " /" $! #$ # " $" $ % $ # $ #$ !" %# $ ikut memiliki dan menikmati keberhasilan $" $! $ # " " % "$# 0!& # $ # $ $ % ! ! # 2 -" 3 # " ! # # !#* # * ! %# # " % # % &$ $ 0 %# "! # " $ # % % !$ " " $ # $ 3# % $# # " "* # # " " % # # # # % #! # # %# #$ ! % # " " # # #


# # * # #& # $ ; = % " ! ! ! " ! #! " %

# $"* $ # ! % #!# # % " ! % ! $# $ " $ # $ * " $ $ # " " ! )# (# # #"/#" # $ " % &#$ % " $ 2-4 2 = + >? > ,* #$ # # " " " " % ! * kemudian dikonversikan untuk memudahkan $! 8 #$ # $ " " " " # # " $ # # ## $* # #$ # # # # $ $ # # 9# #$ " # )#/ )# ! (# # $ # # ! $ # $ " " $ # 2 -" 4! * # $ # ) ) $ # $ # # ! $ # %!!# " % $ " 2 # # % # # ! $ # $ investor untuk %$ % ! # ! # % $! # # ! * # investor !" # # ! $ " 2 +? @, $!" / $!" # ! $ " $# $ "! ##% * " $ " " " 0! " % " ! % # "! $) " $ # 2 -" 4! % # " # # " " # & #* $! $!" " * #


"/" " # & B# $ " % ! !" # ! $# ) $ "/" "* # # $ !" $# 0 # - # $!" # % ! * $!" % # ! # " $ #!# ketat (tight money policy) 0 # $ # ## !" $ $ 0 )# “Faktor Makroekonomi 2-4”. RERANGKA TEORITIS DAN PENGEMBANGAN HIPOTESIS Pasar Modal ## $ $ !# # ! !" -& )#)* $ ## !" $ % ! % $ !" ! $ ! % $ $ % .# $ investor & " $ !# # $ # # ! % $ ! # " % !) abstrak, dan bentuk konkritnya adalah lembar / !" ! )# - %" +? , $ & " # % * # % " ! #/ ! # # ! $ ! # * # " / !" % ! 3 / 8 C " @ !# $ $ % !" $=# % D# % ! # . 3 $ )#* " ! # % !# )# % !#

%* ! $) % !# )#E Saham -" $# !" % $ $$ # %#

3


3 % " % # "/" $# " ! + ? @,* " $ = # ! $ % $ # ! $" $ !

& ? !" # ! $ $ " # $" & * # ! $=! $" * % "/" " ! $

!" /$!" # ! $ " "! $ " ! $ " "/" " # $ % # % ) " ! > !" /$!" # ! $ " $# $ investor "! ##% * " $ " " "

Indeks Harga Saham Gabungan # 2 -" 4! +2-4, $# ! & " # $# #$ # % ! # " !! & )# % !$ " # 2 -" 4! 2-4 (composite share price index)* # " % & ! #$ $ " # 6 B C $# ! " + # G , # 2-4 & =# $ " " $# $!" " "/" #$ ! " # # " " % # 0 $ % # $ " " % & ! 2-4 G

NilaiPasar NilaiDasar

Jumlah Uang Beredar dan Harga Saham = ! * % # + # $ % # %# "/", + / # ! # % .#/.# $ $# # $!% &#* $ "

%, 3 # " ! + # !" , % # ) $ $# ! $!% .#/.# $ ! # * # # .# $#

% " % ! ! " # $

% $# # " $ " " # % # " " " $)* % # " # # " " # & #* # $!" " * # "/" " # & B# $ " % ! !" # ! $#

) $ "/" "* # # $ !" $# 0 # - # $!" # % ! * $!" % # ! # " $ #!# # (tight money policy)

JJumlah saham tercatat x h a terakhir x JJumlah saham tercatat x h a perdana

Suku Bunga Deposito dan Harga Saham Pada dasarnya investor melakukan investasi atas & # $!" $ # * % $ # # # " ! $ !" # # ! $ " $ " " $ % "! % )* % # # ! $ $ ! !# # % !" #* # investor # # % # $ * " " " # #* ! $ ! # % 2 +? @,* %# !". $!" # ! $ $ " " " (common stock)


Nilai Tukar dan Harga Saham 8$ +>? >, %# !". # ! % " & D"E $# ! # $ $# % !! * # # $ $! " # ! !

" % ! # (exchange rate) Investor % $) # !# $" % ! " $ " $! $

# B#! % $ " $ " " # # " " # # $" % # # " $ !" !# $" % # $ # # $ % # $ * " $" ! & # # " investor karena "%/ % # #* $" " # !% % !" ! # # !" !# % 6 # % # $ $ !$ " " $ " "* % " # $ " $# investor 2 . + ? , %# !". )# $# % % #$# $# $ $ # $ $#! # * ! # " # % " # !

# ! # % -"! " # # #* # investor & # " % %$ % !" " * #! % " " & # # ! # %* ! # # investor & ! "* " " " & # # & !". investor diasumsikan # % 0 )#


Penelitian Terdahulu H

% I% + >, $ " ) # #? 9* # ! * #* " ! + , " $ # " " ! $ 0 )# $

/ 2 % $ " $ ! ! # # & !# $ " =# " $ 2-4 $ /

-& $ * 9* # ! * " ! + , # !$ " =# $ 2-4 8 # !$ " =# " $ 2-4

0 - * ## + >, $ " # #? -0* " %# * " * # $" " $ * # 8##

@ #J . " $ 2-4 2 $ ! ## ! -0 " %# !$ " $) # =# " $ 2-4 7! " * # 8##

@ # . !$ " $) =# " $ 2-4 - # ! # $" " $ # $ "

) =# " $ 2-4 Rumusan Masalah H " $ " ! !#? B$#" )# # # ! $* " ! # & !/ $ $ " # 2 -" 4! K

(# $#" % !$ " " $ # 2 -" 4! $ K

@


Kerangka Konseptual Gambar 1. Kerangka Konseptual

Indikator Makro

Simultan

Suku Bunga Deposito Jumlah Uang Beredar

IHSG

Nilai Tukar

Dominan

4! # $ " / ! !! % # " $ " $/$ !" $#! # 2 -" 4! $ " " ! % $ # # # * ! ! " # ! $* " ! * # ! /! ! !# & $ $ $ % $ " " $ # 2 -" 4! ! ! $ ! % $ "

METODE PENELITIAN # $ # # ) % $ # % # $ $ # !" # % $ % ## # $$ $ # "$ % " $# +-% * ?C, ! /! % " ? 7! !! (independent)* % # # ! $* " ! #

7! # (dependent), yaitu indeks " " !

Hipotesis 2$ % # $ adalah: 2 G )# ## % # # ! $* " ! # !$ " " $ # 2 -" 4! $

2 G )# ## % # # ! $* " ! # !$ " $ " $ # 2 -" 4! $

Variabel = L$ ! $ ini terdiri dari: 6 # -# 0 $ +J1) -# ! $ % ! # $ ! #/! # $ " # $# ! # % ! & ! $ $ #" ! " ! #


$ # # $ $ !

" 3 % 0 +J ) " % !$ ! # di masyarakat, terdiri dari jumlah seluruh # * $ ! #* % ! % $# " ! # * ! & ! $ $ #" ! " ! # $ # # $ $ ! > 8 6# +J3) ! "

% %# " * ! & ! $ $ #" ! * " ! # $ # # $ $ ! # 2 -" 4! +O, # % # # # $# $!" " " % ) +listing) di bursa ! # " % B $ % ! $ # 2 -" 4! " $ #" ! # $ !

%* " ! # $ # # $ $ !


# =## $" %

) 0 )# $ $ " /

$## ! # $ " Q > $ --- ANALISIS DATA B $ # # % !$ ! * $ " ! !#? O G S !1J1 S ! J S !3J3 S TTS !kJk - % $ "$ % ## " $ $ # ? Uji Regresi secara keseluruhan # # " $#" ! $ & !/ $ % $ " % !! " $ ! $ " " Q ( +(/6,* # ? ¾F" > Ftabel; maka H ditolak dan H1 diterima, % ! /! $ & !/ $ " ! $ & % ¾F" < Ftabel; maka H diterima dan H1 ditolak, % ! /! $ & !/ # !$ " " $ ! $ ; $ $ $ # H ! !# ? t Ho diterima jika F > / ( Y Z #/Z #+#/, atau F < ( Y Z #/Z #+#/, t 2 # # ( [ ( Y Z #/Z #+#/, ( \ / ( Y Z #/Z #+#/,

Metode Pengumpulan Data % # $ " # * % % # ! $ * $ $ " % " !# Populasi dan Sampel $ $ % $ # $ " " $" % ) 0 )# $ $

$ ) $" $# @ ] - % # " ! / ! !! " $ ! # & !/ $ dilihat dari r

Teknik Pengolahan Data 6# # $ " $ " ! !#?


kemudian variabel tersebut di analisa secara multiple regression ! * # $ " " $ " $ 6! !# Tabel 1 Hasil Perhitungan Analisis Regresi

Uji Regresi Secara Parsial # " # " $#" $ " % =# & ! $ ! $ % # " " / +/6, / #= ! $ * #? ¾6 " [ ! Z # 2 ditolak dan H1 diterima, artinya bahwa variabel $ ! $ % $ " =# " $ ! $ ¾6 " \ ! Z # 2 diterima dan H1 #* % !". ! $ ! # !$ " & =# " $ ! $

7! a J1 J J3

;= H ; &$ /@ 6 # -# 0 /@ > +!1) @ +! ) $ " 3 0 @C +!3) 8 6# ;

Berdasarkan tabel diatas hasil analisa $ ! # ! berikut: O G /@ S +/@ >, J1 S +@, J S +@C, J3

; $ $ $ # 2 ! !#? t Ho ditolak jika & '*+/3'5 7 *+/3'5 t Ho diterima jika 8*+/3'5< μ< *+/3'5 $ ) $" (level of $5 # ! @] - % # " ! / ! !! " $ ! # !! & / $ " r # #$ ! # # % ##

0 # $ !# $ & # " % ! # # 2 -" 4! +O, ! /! !! % # # ! $ +J1), jumlah ! +J , # +J3, " % ) $" @] !! > @* # $ " (tabel ! - # (" $ " ! C>> # =# * karena nilai F" lebih besar dari nilai Ftabel dan $!! +, !" #& @* # F" ! $ " $ # 2 2 tersebut menunjukkan bahwa variabel bebas & !/ $ % $ "

% + =# , " $ $!" $#! # 2 -" 4! * # $ # # $ # $!" $#! # 2 -" 4! $ $ B $ ! ! !! " $ ! # " ! ] +H G @, % ! $ " )# " ! ]

PEMBAHASAN DAN KESIMPULAN - # $ ## # $ " $ " )& ## % $ " $!" $#! # 2 -" 4! $ $ Q * # $ ## $ "$ # #$ $ --- Pengujian Simultan " # $ #$ --- * ! % $ " # 2 -" 4! 0 )# #*

C


H ! @ % ## "! % # + # , ! J1* J * J3 O -& # " $ " $ Q ( ! !! % # # ! $* " ! * # " $ $" & !/ $ % $ " % % " $ # 2 -" 4! $ $ $ * # ! # "$ $ % )# # # ! * " !

# & !/ $ $ " # 2 -" 4!


$# # $" " $ !" !9#) " investor lebih tertarik # ! $ # # % " $ " 9# ! Jumlah Uang Beredar 2 $ " # =# @]* $ " 6tabel ! # 6" " ! @@* ;

6" [ 6tabel, maka H ditolak dan H1 # $ $ # !". )# " ! =# $ ) $" @]* % ! )# " ! $ % $ " " $ $!" $#! # 2 -" 4! $ $ $ * % # " % ! # # " " ! & # " ! # $ " " $ $!" # 2 -" 4! * " $# ) =# % $ " " % ! +" !." @, 2 ## % " % &#$ ! ! $ ! )# # # # % # " # # $ !" " $ # =

Pengujian Parsial Tingkat Suku Bunga Deposito 2 $ " # =# @] $ " 6tabel ! * # 6" $ " ! /> ; 6" [ 6tabel $ ## dua sisi, maka H diterima dan H1 # # $ $ # !". ! # # ! # =# $ ) $" @]* % ! )# # # ! # !# ! %

% " $ $!" $#! # 2 -" 4! 0 )# # $ $ # " " * # =# # ! $ ! > +>], % " ) =# @] 6 # =#

% # # ! $ " $ # 2 -" 4! " .* !!# $ $ * # # ! $ $!" )#/)# !# ! " $ $!" # 2 -" 4! * $ # " ! $ investor lebih tertarik # ! ! # $ !# % $ ! #* # $ $ $ # $# ) # ! " $

Nilai Tukar Dollar # =# @] $ " 6tabel ! # 6" ! * # 6" [ 6tabel maka H ditolak dan H1 # $ $ # !". )# # =# $ ) $" @]* % ! )# # $ % $ " % " $ $!" $#! # 2 -" 4! 0 )# # $ $ $ 2 $# " # ) =# $ " ! % ! !." @


; =# # " $ # 2 -" 4! $ !!# %# !" " ! # ! # #" % $ $ -" menyebabkan nilai kurs dollar Amerika Serikat " $ $" IMPLIKASI DAN KETERBATASAN 6 # # ! $* " beredar dan nilai tukar dollar Amerika Serikat " $ $" % & !/ % $ % $ " % =# " $ $!" $#! # 2 -" 4! $ $ $ ; !!$ )# ## % * !!$ )# % # =# " $ $!" $#! # 2 -" 4! $ $ $ (# ! % # # ! $* # )# % $ " # 2 -" 4! " )# " % ! * )# # $ % $ " " $ # 2 -" 4! $ # L " # " $ ! #$ !". )# " % ! # $ " % $ =# $ )# # % =# " $ $!" $#! # 2 -" 4! $ $ $ ;! $ " % $ " " % &#$ $

$ * "$# $ $ !# % " # % !" ! # ! % # " % $ )# ## # # ! $* " ! # * $ $ !# % "$# $ ## )# ## $ * & $!%

$ * $ $ !"# )# ## # " )# % !" # $ " DAFTAR RUJUKAN B! 2 @ Analisis Investasi, Penerbit - ! $* # 0 . Panduan Reksa DanaZ ! 0$$* # 0 - * I H " * . > Analisis Pengaruh Ekonomi Makro, Indeks Dow Jones, dan Indeks Nikkei 225 Terhadap Indeks Harga Saham Gabungan (IHSG) Di BEI Periode 2007-2011. ` %$? " ". 3 -!% 7 8 `% 2 . Majalah Uang dan Efek* 8 >@* # 6$ 2 % (#" *

Pasar Modal di Indonesia, ! - ! $* # Himpunan Peraturan Pasar Modal, UndangUndang No 8 tahun 1995 Tentang Pasar Modal @ ! - 4=#* # " 2 = > Manajemen Keuangan Internasional ! 0(* O%# C Technical Analysis Explained 2nd* & 4. 2 * 8. O# 8$ Ekonomi Moneter, (Edisi Pertama)Z ! 0(* # H

% I% > Pengaruh Fundamental Ekonomi Makro Terhadap Indeks Harga Saham Gabungan Pada Bursa Efek Indonesia Periode 2002-2011 ` %$? " ". 3 -!% 7 8 - % -` 2 Timing the Stock > > ?!Probus ! " `$ %* `"&* * 3-B



- 2 Dasar-dasar Teori Portofolio dan Analisis Sekuritas Edisi Kedua;Penerbit 3 B Q O;8* O%# -% Metode Penelitian Bisnis* ! B )!* 0 - %" > Pengantar Pengetahuan Pasar Modal Edisi Ketiga* ! 3 B Q O;8* O%# LAMPIRAN Hasil Perhitungan Regresi Descriptive Statistics IHSG Suku Bunga Deposito Jumlah Uang Beredar Nilai Tukar Dollar

Mean 663.0813 10.5454 207794.0 9354.2131

Std. Deviation 274.4224 3.7457 41100.6476 763.8895

N 61 61 61 61

Correlations

Pearson Correlation

Sig. (1-tailed)

N

IHSG Suku Bunga Deposito Jumlah Uang Beredar Nilai Tukar Dollar IHSG Suku Bunga Deposito Jumlah Uang Beredar Nilai Tukar Dollar IHSG Suku Bunga Deposito Jumlah Uang Beredar Nilai Tukar Dollar

IHSG 1.000 -.681 .945 .004 . .000 .000 .487 61 61 61 61

Suku Bunga Deposito -.681 1.000 -.729 .398 .000 . .000 .001 61 61 61 61

Jumlah Uang Beredar .945 -.729 1.000 -.101 .000 .000 . .219 61 61 61 61

Nilai Tukar Dollar .004 .398 -.101 1.000 .487 .001 .219 . 61 61 61 61

Model Summaryb Model 1

R R Square .951a .905

Adjusted R Square .900

Std. Error of the Estimate 86.7014

Durbin-W atson .536

a. Predictors: (Constant), Nilai Tukar Dollar, Jumlah Uang Beredar, Suku Bunga Deposito b. Dependent Variable: IHSG

Coefficientsa

Model 1

(Constant) Suku Bunga Deposito Jumlah Uang Beredar Nilai Tukar Dollar

Unstandardized Coefficients B Std. Error -957.962 160.567 -5.123 4.964 6.054E-03 .000 4.458E-02 .017

Standardi zed Coefficien ts Beta -.070 .907 .124

t -5.966 -1.032 14.515 2.661

a. Dependent Variable: IHSG

11

Sig. .000 .306 .000 .010

Zero-order -.681 .945 .004

Correlations Partial -.135 .887 .332

Part -.042 .592 .109

Collinearity Statistics Tolerance VIF .362 .426 .765

2.760 2.346 1.307


Coefficient Correlationsa Model 1

Correlations

Covariances

Nilai Tukar Dollar Jumlah Uang Beredar Suku Bunga Deposito Nilai Tukar Dollar Jumlah Uang Beredar Suku Bunga Deposito

Nilai Tukar Dollar 1.000 -.301 -.477 2.807E-04 -2.104E-06 -3.963E-02

Jumlah Uang Beredar -.301 1.000 .755 -2.104E-06 1.740E-07 1.562E-03

Suku Bunga Deposito -.477 .755 1.000 -3.963E-02 1.562E-03 24.643

a. Dependent Variable: IHSG

Residuals Statisticsa Predicted Value Std. Predicted Value Standard Error of Predicted Value Adjusted Predicted Value Residual Std. Residual Stud. Residual Deleted Residual Stud. Deleted Residual Mahal. Distance Cook's Distance Centered Leverage Value

Minimum 274.7298 -1.487

Maximum 1175.3900 1.962

Mean 663.0813 .000

Std. Deviation 261.0870 1.000

14.4322

40.5133

21.4374

5.8242

61

264.4635 -175.8915 -2.029 -2.069 -182.9674 -2.133 .679 .000 .011

1194.0498 160.2449 1.848 1.926 173.9831 1.974 12.117 .079 .202

662.9301 -8.76E-14 .000 .001 .1513 .002 2.951 .016 .049

261.3040 84.5060 .975 1.004 89.7345 1.013 2.468 .018 .041

61 61 61 61 61 61 61 61 61

a. Dependent Variable: IHSG Normal P-P Plot of Regression Standardized Residual

Dependent Variable: IHSG 1.00

Expected Cum Prob

.75

.50

.25

0.00 0.00

.25

.50

Observed Cum Prob

.75

1.00

N 61 61



Scatterplot Dependent Variable: IHSG Regression Studentized Residual

2

1

0

-1

-2

-3 -2.0

-1.5

-1.0

-.5

0.0

.5

1.0

1.5

2.0

Regression Standardized Predicted Value

Partial Regression Plot Dependent Variable: IHSG 200

100

0

IHSG

-100

-200 -6

-4

-2

0

2

4

6

8

Suku Bunga Deposito


600

400

200

IHSG

0

-200 -400 -60000 -40000 -20000

0

20000

Jumlah Uang Beredar

13

40000

60000

80000

100000



100

0

-100

IHSG

-200

-300 -2000

-1000

0

1000

2000

3000

Nilai Tukar Dollar

FAKTOR MAKRO EKONOMI DAN INDEKS HARGA SAHAM GABUNGAN

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