Pengaruh Makroekonomi dan Mikroekonomi terhadap Return Saham dengan Intervening Kurs pada Sektor Finance di BEI Periode 2014-2018
DOI:
https://doi.org/10.26740/jim.v8n3.p995-1010Keywords:
exchange rate, finance sector, macroeconomic, microeconomic, stock return.Abstract
This research was to determine the effects of macroeconomic and microeconomic on stock return with the exchange rate as a mediating variable on finance sectors listed on the Indonesia stock exchange in 2014-2018. The data were obtained from the company's annual financial statements on www.idx.co.id. and www.bi.go.id., then being sorted using purposive sampling techniques. The samples were 56 companies from a total of 97 companies in the finance sectors listed in the Indonesia Stock Exchange in 2014-2018. This research is explanative with the path analysis model and analyzed using smartPLS 3.0. The results indicate that the exchange rate and PBV have significant positive effects on stock return, while inflation, BI rate, ROE, and PER do not affect the stock return. It because the investors are more interested in an investment that offers higher return such as the exchange rate and have a minor risk for being bankrupt. Inflation does affect the exchange rate. Testing the indirect effects of inflation on the stock return through the exchange rate shows the results have a significant positive effect.
References
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Apriliani, F., & Hartini, E. F. (2016). Pengaruh Return On Asset dan Return On Equity Terhadap Return Saham Emiten LQ45. Jurnal Pengembangan Wiraswasta, 18(3), 199208.
Arief, M. Z., Wahono, B., & Salim, M. A. (2017). Pengaruh EPS, DER, dan PER Terhadap Return Saham Pada Perusahaan Makanan dan Minuman yang Terdaftar di Bursa Efek Indonesia Periode Tahun 2014-2016. E Jurnal Riset Manajemen Prodi Manajemen, 123141.
Aryaningsih, Y. N., Fathoni, A., & Harini, C. (2017). Pengaruh Return on Asset (ROA), Return on Equity (ROE) dan Earning per Share (EPS) terhadap Return Saham pada Perusahaan Consumer Good (Food and Beverages) yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2013-2016. Journal of Management, 4(4). https://doi.org/2502-7689
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Bato, A. R., Taufiq, M., & Putri, E. R. (2017). Analisis Pengaruh Variabel Makro Ekonomi Terhadap Nilai Tukar Rupiah Tahun 2006-2015. Laa Maisyir: Jurnal Ekonomi Islam, 4(2), 7495. https://doi.org/10.1017/CBO9781107415324.004
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Faizin. (2016). Pengaruh Rasio Profitabilitas dan Rasio Pasar terhadap Return Saham (Studi Empiris pad Perusahaan Manufaktur Sektor Food and Baverage Periode 2003-2012). Journal UMS.
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Jayanti, L. D. (2016). Analisis Pengaruh Rasio Earning Per Share, Return On Equity dan BI Rate Terhadap Return Saham Pada Perusahaan LQ-45 yang Terdaftar di Bursa Efek Indonesia Periode 2011-2015. Journal Udinus. Retrieved from http://dinus.ac.id/
Kasmir. (2016). Analisis Laporan Keuangan. Jakarta: PT. Raja Grafindo.
Laichena, E., & Obwogi, N. (2015). Effects Of Macroeconomic Variables On Stock Return in The East African Community Stock Exchange Market. International Journal of Education and Research, 3(10), 305320.
Latifah, N. A., & Laila, N. (2017). Pengaruh Return On Equity, Earning Per Share, dan Debt To Equity Ratio Terhadap Return Saham (Studi Pada Emiten Saham Syariah Sektor Property dan Real Estate yang Terdaftar di ISSI Tahun (2013 2015). Jurnal Ekonomi Syariah Teori Dan Terapan, 4(12), 10091023. https://doi.org/10.20473/vol4iss201712pp1009
Mankiw, G. (2007). Pengantar Ekonomi (2nd ed.). Jakarta: Erlangga.
Martin, G., Hendang, T., & Herman, R. (2017). the Effect of Macroeconomic and Risk Factors Towards Stock Return of Indonesia Industrial Sector in 2008 To 2015. Russian Journal of Agricultural and Socio-Economic Sciences, 11(71), 221231. https://doi.org/10.18551/rjoas.2017-11.29
Meythi, & Mathilda, M. (2012). Pengaruh Price Earning Ratio dan Price Book Value terhadap Harga Saham Indeks LQ 45 (Periode 2007-2009). Jurnal Akuntansi, 4(1), 121.
Mirayanti, N. M., & Wirama, D. G. (2017). Pengaruh Variabel Ekonomi Makro Pada Return Saham Lq45 Di Bursa Efek Indonesia. E-Jurnal Akuntansi Universitas Udayana, 21(1), 505533.
Nalurita, F. (2017). the Effect of Profitability Ratio, Solvability Ratio, Market Ratio on Stock Return. Business and Entrepreneurial Review, 15(1), 73. https://doi.org/10.25105/ber.v15i1.2080
Özlen, Ş., & Ergun, U. (2012). Macroeconomic Factors and Stock Returns. International Journal of Academic Research in Business and Social Sciences, 2(9), 315343.
Purnamasari, L. (2016). Pengaruh Return On Asset dan Return On Equity Terhadap Return Saham. Journal UPY, 151, 113. https://doi.org/10.1145/3132847.3132886
Siska, N., Agusti, R., & Basri, Y. M. (2014). Pengaruh Rasio Likuiditas,Rasio Profitabilitas dan Rasio Pasar terhadap Return Saham Pada Perusahaan Yang Tergabung Dalam Indeks LQ 45 Di Bursa Efek Indonesia. JOM FEKOM, 1(2).
Suriyani, N. K., & Sudiarta, G. M. (2018). Pengaruh Tingkat Suku Bunga, Inflasi dan Nilai Tukar Terhadap Return Saham Di Bursa Efek Indonesia. E-Jurnal, 7(6), 31723200.
Tandelilin. (2010). Portofolio dan Investasi Teori dan Aplikasi (1st ed.). Yogyakarta: BPFE-Yogyakarta.
Tumonggor, M., Murni, S., & Rate, P. Van. (2017). Analisis Pengaruh Current Ratio, Return on Equity, Debt To Equity Ratio Dan Growth Terhadap Return Saham Pada Cosmetics and Household Industry Yang Terdaftar Di Bei Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2), 22032210.
Venkatesan, T., & Ponnamma, M. S. (2017). An Analysis of Macroeconomic Factors Affecting Foreign Exchange Rate. SDMIMD Journal of Management, 8(1), 21. https://doi.org/10.18311/sdmimd/2017/15716
Wahyuningsih, E., Andini, R., & Suprijanto, A. (2018). Pengaruh Tingkat Suku Bunga Dan Inflasi Terhadap Return Saham Dengan Nilai Tukar Rupiah Sebagai Variabel Interberning (Studi Kasus pada PT Astra International Tbk Periode 2011-2015 ). J0urnal Of Accounting, 119.
Zhu, B. (2012). The Effects of Macroeconomic Factors on Stock Return of Energy Sector in Shanghai Stock Market. International Journal of Scientific and Research Publications, 2(11), 14. Retrieved from www.ijsrp.org
Antara, I. januari. (2012). Pengaruh Dividend Payout Ratio, Price to Book Value Ratio, dan Price to Earnings Ratio pada Return Saham di Bursa Efek Indonesia Periode 2009-2011. E-Jurnal Akuntansi, 114.
Anugrah, A., & Syaichu, M. (2017). Pengaruh Return On Equity, Debt To Equity Ratio, Current Ratio, dan Price to Book Value terhadap Return Saham Syariah. Diponegoro Journal Of Management, 6(1), 112. Retrieved from http://ejournal-s1.undip.ac.id/index.php/managemen
Anusakumar, S. V., Ali, R., & Wooi, H. C. (2017). The effect of investor sentiment on stock returns: Insight from emerging Asian markets. Asian Academy of Management Journal of Accounting and Finance, 13(1), 159178. https://doi.org/10.21315/aamjaf2017.13.1.7
Apriliani, F., & Hartini, E. F. (2016). Pengaruh Return On Asset dan Return On Equity Terhadap Return Saham Emiten LQ45. Jurnal Pengembangan Wiraswasta, 18(3), 199208.
Arief, M. Z., Wahono, B., & Salim, M. A. (2017). Pengaruh EPS, DER, dan PER Terhadap Return Saham Pada Perusahaan Makanan dan Minuman yang Terdaftar di Bursa Efek Indonesia Periode Tahun 2014-2016. E Jurnal Riset Manajemen Prodi Manajemen, 123141.
Aryaningsih, Y. N., Fathoni, A., & Harini, C. (2017). Pengaruh Return on Asset (ROA), Return on Equity (ROE) dan Earning per Share (EPS) terhadap Return Saham pada Perusahaan Consumer Good (Food and Beverages) yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2013-2016. Journal of Management, 4(4). https://doi.org/2502-7689
Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2016). Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance, 8(1), 195207. https://doi.org/10.5539/ijef.v8n1p195
Bato, A. R., Taufiq, M., & Putri, E. R. (2017). Analisis Pengaruh Variabel Makro Ekonomi Terhadap Nilai Tukar Rupiah Tahun 2006-2015. Laa Maisyir: Jurnal Ekonomi Islam, 4(2), 7495. https://doi.org/10.1017/CBO9781107415324.004
Bi.go.id. 2020. Data Moneter. (www.bi.go.id, Diakses pada 23 Maret 2020)
Dewi, A. C. K. (2018). Analisis Faktor yang Mempengaruhi Kurs Rupiah Di Indonesia. Journal UMS, 115. Retrieved from eprints.ums.ac.id
Fahrudi, A. (2018). Pengaruh Inflasi dan Suku Bunga terhadap return saham dengan nilai tukar sebagai variabel intervening. Journal of UMMIM, 1133.
Faizin. (2016). Pengaruh Rasio Profitabilitas dan Rasio Pasar terhadap Return Saham (Studi Empiris pad Perusahaan Manufaktur Sektor Food and Baverage Periode 2003-2012). Journal UMS.
Hartono, J. (2016). Teori Portofolio dan Analisis Investasi (10th ed.). Yogyakarta: BPFE UGM.
Hidayat, L. R., Setyadi, D., & Azis, M. (2017). Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham. Forum Ekonomi, 19(2), 148154.
IDX.co.id. (2019). Indonesia Stock Exchange. Retrieved from www.idx.co.id
Imamuddin, F., & Asandimitra, N. H. (2019). Pengaruh Return On Asset (ROA), Economic Value Added (EVA), Market Value Added (MVA), Likuiditas Saham, Kesempatan Bertumbuh Perusahaan, Idiosyncratic Risk, Suku Bunga dan Kurs terhadap Return Saham Perusahaan Sektor Consumer Good yang terdaftar di Bursa. Jurnal Ilmu Manajemen (JIM), 7(4). Retrieved from www.jurnalmahasiswa.unesa.ac.id
Investing.com. 2019. Grafik Indeks Sektoral. (www.investing.com, Diakses pada 23 September 2019)
Istiqamah, & Septiana, H. A. (2018). Pengaruh Inflasi dan Suku Bunga Terhadap Nilai Tukar Rupiah Pada Dollar Amerika. Jurnal Spread, 8(1), 1930.
Jamaludin, N., Ismail, S., & Manaf, S. A. (2017). Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries. International Journal of Economics and Financial Issues, 7(1), 3745. Retrieved from www.econjournals.com
Jayanti, L. D. (2016). Analisis Pengaruh Rasio Earning Per Share, Return On Equity dan BI Rate Terhadap Return Saham Pada Perusahaan LQ-45 yang Terdaftar di Bursa Efek Indonesia Periode 2011-2015. Journal Udinus. Retrieved from http://dinus.ac.id/
Kasmir. (2016). Analisis Laporan Keuangan. Jakarta: PT. Raja Grafindo.
Laichena, E., & Obwogi, N. (2015). Effects Of Macroeconomic Variables On Stock Return in The East African Community Stock Exchange Market. International Journal of Education and Research, 3(10), 305320.
Latifah, N. A., & Laila, N. (2017). Pengaruh Return On Equity, Earning Per Share, dan Debt To Equity Ratio Terhadap Return Saham (Studi Pada Emiten Saham Syariah Sektor Property dan Real Estate yang Terdaftar di ISSI Tahun (2013 2015). Jurnal Ekonomi Syariah Teori Dan Terapan, 4(12), 10091023. https://doi.org/10.20473/vol4iss201712pp1009
Mankiw, G. (2007). Pengantar Ekonomi (2nd ed.). Jakarta: Erlangga.
Martin, G., Hendang, T., & Herman, R. (2017). the Effect of Macroeconomic and Risk Factors Towards Stock Return of Indonesia Industrial Sector in 2008 To 2015. Russian Journal of Agricultural and Socio-Economic Sciences, 11(71), 221231. https://doi.org/10.18551/rjoas.2017-11.29
Meythi, & Mathilda, M. (2012). Pengaruh Price Earning Ratio dan Price Book Value terhadap Harga Saham Indeks LQ 45 (Periode 2007-2009). Jurnal Akuntansi, 4(1), 121.
Mirayanti, N. M., & Wirama, D. G. (2017). Pengaruh Variabel Ekonomi Makro Pada Return Saham Lq45 Di Bursa Efek Indonesia. E-Jurnal Akuntansi Universitas Udayana, 21(1), 505533.
Nalurita, F. (2017). the Effect of Profitability Ratio, Solvability Ratio, Market Ratio on Stock Return. Business and Entrepreneurial Review, 15(1), 73. https://doi.org/10.25105/ber.v15i1.2080
Özlen, Ş., & Ergun, U. (2012). Macroeconomic Factors and Stock Returns. International Journal of Academic Research in Business and Social Sciences, 2(9), 315343.
Purnamasari, L. (2016). Pengaruh Return On Asset dan Return On Equity Terhadap Return Saham. Journal UPY, 151, 113. https://doi.org/10.1145/3132847.3132886
Siska, N., Agusti, R., & Basri, Y. M. (2014). Pengaruh Rasio Likuiditas,Rasio Profitabilitas dan Rasio Pasar terhadap Return Saham Pada Perusahaan Yang Tergabung Dalam Indeks LQ 45 Di Bursa Efek Indonesia. JOM FEKOM, 1(2).
Suriyani, N. K., & Sudiarta, G. M. (2018). Pengaruh Tingkat Suku Bunga, Inflasi dan Nilai Tukar Terhadap Return Saham Di Bursa Efek Indonesia. E-Jurnal, 7(6), 31723200.
Tandelilin. (2010). Portofolio dan Investasi Teori dan Aplikasi (1st ed.). Yogyakarta: BPFE-Yogyakarta.
Tumonggor, M., Murni, S., & Rate, P. Van. (2017). Analisis Pengaruh Current Ratio, Return on Equity, Debt To Equity Ratio Dan Growth Terhadap Return Saham Pada Cosmetics and Household Industry Yang Terdaftar Di Bei Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2), 22032210.
Venkatesan, T., & Ponnamma, M. S. (2017). An Analysis of Macroeconomic Factors Affecting Foreign Exchange Rate. SDMIMD Journal of Management, 8(1), 21. https://doi.org/10.18311/sdmimd/2017/15716
Wahyuningsih, E., Andini, R., & Suprijanto, A. (2018). Pengaruh Tingkat Suku Bunga Dan Inflasi Terhadap Return Saham Dengan Nilai Tukar Rupiah Sebagai Variabel Interberning (Studi Kasus pada PT Astra International Tbk Periode 2011-2015 ). J0urnal Of Accounting, 119.
Zhu, B. (2012). The Effects of Macroeconomic Factors on Stock Return of Energy Sector in Shanghai Stock Market. International Journal of Scientific and Research Publications, 2(11), 14. Retrieved from www.ijsrp.org
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2020-07-17
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Ardiyansyah, R., & Paramita, R. S. (2020). Pengaruh Makroekonomi dan Mikroekonomi terhadap Return Saham dengan Intervening Kurs pada Sektor Finance di BEI Periode 2014-2018. Jurnal Ilmu Manajemen, 8(3), 995–1010. https://doi.org/10.26740/jim.v8n3.p995-1010
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