Sanitawati, Zulvani (2013) Analisis pengaruh nilai tukar, inflasi, suku bunga, pertumbuhan ekonomi, dan harga minyak Indonesia terhadap indeks harga saham sektor pertambangan: Periode pengamatan tahun 2007-2012. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.
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Abstract
INDONESIA:
Ketidakstabilan kondisi moneter yang tercermin dari fluktuatifnya nilai tukar, inflasi, suku bunga, pertumbuhan ekonomi, dan harga minyak Indonesia dapat menimbulkan berbagai dampak pada perekonomian secara luas termasuk pada pasar modal. Dalam pasar modal saham terdapat suatu ukuran kinerja yaitu indeks harga saham. Menurut Siegel (1991) dalam Tandelilin (2010: 341) terdapat hubungan yang kuat antara harga saham dan kinerja ekonomi makro (kondisi makro). Tujuan dari penelitian ini adalah menganalisis pengaruh nilai tukar, inflasi, suku bunga, pertumbuhan ekonomi, dan harga minyak Indonesia terhadap indeks harga saham sektor pertambangan.
Metode analisis yang digunakan pada penelitian ini adalah metode analisis regresi berganda dengan syarat uji asumsi klasik. Sedangkan uji hipotesis dalam penelitian ini yaitu uji F, uji t, dan uji dominan. Data penelitian adalah data sekunder dengan periodesasi bulanan yang diperoleh dengan metode dokumentasi data dimulai pada Januari 2007 sampai dengan September 2012.
Hasil penelitian menunjukkan nilai F hitung sebesar 62,953 dan Sig. 0,0000 yang nilainya lebih kecil dari α 0,05. maka dapat dikatakan bahwa variabel bebas dalam penelitian ini secara bersama-sama berpengaruh signifikan terhadap variabel terikat. Hasil uji t menunjukkan bahwa nilai tukar, suku bunga, dan pertumbuhan ekonomi (PDB) berpengaruh negatif signifikan terhadap indeks harga saham sektor pertambangan dengan masing-masing beta nilai tukar -0,868; suku bunga -2,531; PDB -3,259. Nilai tukar, suku bunga, PDB secara parsial memiliki Sig. < 0,05. Sedangkan inflasi dan harga minyak Indonesia berpengaruh positif signifikan terhadap indeks harga saham sektor pertambangan dengan beta inflasi 0,301 dan beta harga minyak Indonesia (ICP) 0,889. Inflasi dan ICP secara parsial memiliki Sig. < 0,05. Variabel bebas yang memiliki pengaruh dominan terhadap variabel terikat yaitu ICP dan nilai tukar dengan menunjukkan perolehan kontribusi sebesar 68,72 persen dan 50,13 persen. Implikasi hasil penelitian bagi emiten dan stakeholder yang terjun dalam sektor pertambangan adalah secara berkelanjutan untuk selalu mencermati setiap perubahan dan pergerakan kurs, tingkat inflasi, tingkat suku bunga, harga minyak Indonesia, serta produk domestik bruto demi tercapainya keputusan manajerial dan keputusan investasi yang tepat. Selain itu, perlu pula diketahui bahwa harga minyak Indonesia (ICP) dan nilai tukar memiliki pengaruh yang paling dominan terhadap perubahan indeks harga saham sektor pertambangan.
ENGLISH:
Monetary instability was reflected by the fluctuative exchange rates, inflation, interest rates, economic growth, and Indonesia crude price (ICP) can cause various effects on the economy widely including on the capital market. The capital market has its performance measurement that is the stock price index. According to Siegel (1991) in Tandelilin (2010: 341) there is a strong bond between stock prices and macro-economic performance. The purpose of this study was to analyze the influence of the exchange rate, inflation, interest rates, economic growth, and Indonesia crude price on the mining sector stock price index.
The method of analysis used in this study is the multiple regression analysis method with the classical assumption test conditions. The hypothesis test in this study includes the F test, t test, and dominance test. The research data is a monthly secondary data obtained by the method of data documentation from January 2007 until September 2012.
The result shows that the value of F count equal to 62.953 and Sig. 0.0000 is smaller than α 0.05. Therefore, the independent variable in this study simultaneously has significant effect on the dependent variable. T test result indicates that the exchange rate, interest rates, and the economic growth (GDP) have significant negative effect on the mining sector stock price index with beta of exchange rate - 0.868; interest rate -2.531; GDP -3.259. Exchange rates, interest rates, GDP had partially Sig. <0.05. Inflation and Indonesia crude price gives positive effect on the mining sector stock price index with beta of the inflation 0.301 and Indonesia crude oil price (ICP) 0.889. Inflation and ICP partially has Sig. <0.05. The independent variables which have dominant effect on the dependent variable are the ICP and exchange rate. The ICP and exchange rate demonstrate acquisition accounted for 68.72 percent and 50.13 percent, respectively. The implication of the research for companies and stakeholders involved in the mining sector is to always look over changes and movements of exchange rate, inflation, interest rates, gross domestic produk, and Indonesia crude oil price to achieve right managerial and investment decisions. In addition, the Indonesia crude price and the exchange rate have the most dominant influence on the change of the mining sector stock price index.
Item Type: | Thesis (Undergraduate) | ||||||
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Supervisor: | Sulhan, Muhammad | ||||||
Contributors: |
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Keywords: | Nilai Tukar; Inflasi; Suku Bunga; Pertumbuhan Ekonomi; Harga Minyak Indonesia; Indeks Harga Saham Sektor Pertambangan; Exchange Rate; Inflation; Interest Rates; Economic Growth; Indonesia Crude Oil Price; Mining Stock Price Index | ||||||
Subjects: | 15 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management | ||||||
Departement: | Fakultas Ekonomi > Jurusan Manajemen | ||||||
Location: | 150205 | ||||||
Depositing User: | Indar Erdiana | ||||||
Date Deposited: | 09 Oct 2015 10:33 | ||||||
Last Modified: | 09 Oct 2015 10:33 | ||||||
URI: | http://etheses.uin-malang.ac.id/id/eprint/2453 |
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