PENGARUH FAKTOR-FAKTOR FUNDAMENTAL DAN RISIKO SISTEMATIS TERHADAP HARGA SAHAM

• Main Author: Rahmani, Dede Arif (Author)
• Format: Book
• Published: 2016-01-30.
• Subjects: Thesis; NonPeerReviewed
• Online Access: Link Metadata
• Notes: http://repository.upi.edu/27661/1/T_MMB_1302801_Title.pdf; http://repository.upi.edu/27661/2/T_MMB_1302801_Abstract.pdf; http://repository.upi.edu/27661/3/T_MMB_1302801_Table_of_content.pdf; http://repository.upi.edu/27661/4/T_MMB_1302801_Chapter1.pdf; http://repository.upi.edu/27661/5/T_MMB_1302801_Chapter2.pdf; http://repository.upi.edu/27661/6/T_MMB_1302801_Chapter3.pdf; http://repository.upi.edu/27661/7/T_MMB_1302801_Chapter4.pdf; http://repository.upi.edu/27661/8/T_MMB_1302801_Chapter5.pdf; http://repository.upi.edu/27661/9/T_MMB_1302801_Bibliography.pdf; http://repository.upi.edu/27661/10/T_MMB_1302801_Appendix.pdf
• Keywords: HD Industries. Land use. Labor; HD28 Management. Industrial Management

Penelitian ini bertujuan untuk menganalisis pengaruh faktor-faktor fundamental dan risiko sistematis terhadap harga saham pada industri keuangan sub sektor perbankan di Bursa Efek Indonesia pada tahun 2011-2015. Adapun faktor fundamental yang digunakan dalam penelitian ini terdiri atas faktor fundamental makro ekonomi (PDB dan Inflasi), faktor fundamental industri (EEVI), faktor fundamental keuangan (CR, DER, TATO, ROE, PER), dan risiko sitematis. Metode pengambilan sampel yang digunakan adalah purposive sampling method. Penelitian ini dilakukan terhadap 30 sampel perusahaan perbankan yang terdaftar dalam indeks sektoral JASICA. Jenis data yang digunakan berbentuk data sekunder berupa data panel (pooled data). Pengujian hipotesis dilakukan dengan menggunakan analisis regresi data panel dengan menerapkan pendekatan Random Effect Model (REM). Kemudian dilakukan pengujian asumsi klasik yang meliputi uji normalitas, multikolinearitas, heteroskedastisitas, dan autokorelasi. Hasil penelitian menunjukkan bahwa koefisien determinasi (adjusted R2) yang relatif rendah, menunjukkan bahwa faktor lain yang tidak diteliti lebih dapat menjelaskan variasi harga saham. Secara parsial variabel fundamental Kinerja Keuangan Perusahaan (CR, DER, ROE, TATO, PER) dan variabel risiko sistematis (BETA) berpengaruh signifikan terhadap harga saham. Sementara variabel fundamental makro (PDB, inflasi) dan variabel fundamental industri (EEVI) tidak berpengaruh signifikan terhadap harga saham. Sedangkan secara simultan seluruh faktor fundamental (PDB, Inflasi, EEVI, CR, DER, TATO, ROE, PER, dan BETA saham) berpengaruh signifikan terhadap harga saham perbankan. ;---This study aimed to analyze the influence of fundamental factors and systematic risk to the stock price on the financial industry banking sub-sector in Indonesia's Stock Exchange in 2011-2015. As for the fundamental factors used in this study consisted of macro economic fundamentals (PDB and inflation), industry fundamentals (EEVI), financial fundamentals (CR, DER, TATO, ROE, PER), and systematical risk. The sampling method used is purposive sampling method. This research was carried out on 30 samples of banking companies listed in the sectoral indices JASICA. The type of data used is secondary data in the form of panel data (pooled data). Hypothesis testing is done by using regression analysis, panel data with random effect model (REM) approach. Then continued with the classic assumption tests including normality test, multicollinearity test, heteroscedasticity test, and autocorrelation test. The results showed that the coefficient of determination is relatively low, suggesting that other factors that are not investigated more able to explain the variation in stock prices. Partially company finance performance fundamental vartiabel (CR, DER, ROE, TATO, PER) and systematic risk variabel (BETA) are significantly influenced to share prices. While the macro fundamental variabels (PDB, inflation) and industrial fundamental variabel (EEVI) are not influenced to share price. While simultaneously throughout the fundamental factors (PDB, inflation, EEVI, CR, DER, TATO, ROE, PER, and BETA shares) significantly influenced the price of bank shares.