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Abstract
This study aims to determine the effect of the rupiah exchange rate, inflation and interest rates in sub construction and building service companies listed on the Indonesia Stock Exchange for the 2014-2018 period. The nature of this research is a quantitative approach because the data used are in the form of numbers in statistical analysis. The population is construction and building companies listed on the Indonesia Stock Exchange. The sample used was panel data, with time series data of 5 years and cross section data of 12 companies. The sampling technique was obtained by using purposive sampling technique. Data collection techniques using documentation, while data analysis techniques using multiple linear regression analysis supported by the classical assumption test that is normality test, multicollinearity test, heteroscedasticity test and autocorrelation test. In this study also used the Sobel test. Based on the results of data analysis, it shows that: (1) Rupiah exchange rate has a positive and not significant effect on stock return (2) Inflation has a negative and significant effect on stock return (3) Interest rates have a negative and significant effect on stock return, (4) simultaneously, rupiah exchange rate, inflation and interest rates have a significant effect on stock return. The results of the coefficient of determination (R2) of 12.1% while the remaining 87.9% is influenced by other variables outside the model.Keywords: Rupiah Exchange Rate, Inflation, Interest Rates, Stock Return
Highlights
Perkembangan ekonomi yang terjadi di Indonesia pada pertengahan 1997 mengalami krisis ekonomi, kinerja keuangan khususnya bisnis pasar modal mengalami penurunan yang signifikan bahkan banyak perusahaan yang melakukan penutupan atau gulung tikar
This study aims to determine the effect of the rupiah exchange rate, inflation and interest rates in sub construction and building service companies listed on the Indonesia Stock Exchange for the 20142018 period
Bunga dan Nilai Tukar Rupiah terhadap Return Saham di Bursa Efek Indonesia, 66
Summary
Perkembangan ekonomi yang terjadi di Indonesia pada pertengahan 1997 mengalami krisis ekonomi, kinerja keuangan khususnya bisnis pasar modal mengalami penurunan yang signifikan bahkan banyak perusahaan yang melakukan penutupan atau gulung tikar. Dalam sektor makro ekonomi secara keseluruhan dapat dilihat dari aktivitas pasar modal dan industri keuangan pada negara tersebut. Indikator-indikator makro ekonomi yang banyak digunakan di bursa efek adalah tingkat naik turunnya atau fluktuasi tingkat suku bunga, inflasi dan kurs rupiah. Penelitian ini diarahkan untuk menguji pengaruh kurs rupiah, inflasi dan tingkat suku bunga terhadap return saham pada perusahaan sub jasa sektor konstruksi dan bangunan yang tercatat di Bursa Efek Indonesia periode 2014-2018. Suku Bunga BI Tingkat suku bunga yang digunakan dalam penelitian ini adalah tingkat suku bunga SBI rata-rata pertahun yang diperoleh dari penjumlahan suku bunga SBI perbulan selama setahun kemudian dibagi dua belas yang diambil dari periode tahun 2008-2014. Data yang digunakan dalam penelitian adalah nilai kurs jual akhir bulan selama periode pengamatan antara tahun 2014 – 2018 kemudian dijumlahkan dalamm setahun dan dibagi 12 (dua belas).
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