PENGARUH NILAI TUKAR RUPIAH, SUKU BUNGA SBI, VOLUME PERDAGANGAN SAHAM, INFLASI DAN BETA SAHAM TERHADAP HARGA SAHAM (Studi Empiris pada Perusahaan Sektor Perbankan Di Bursa Efek Indonesia Periode 2004 - 2007)

MARYANNE, DONNA MENINA DELLA (2009) PENGARUH NILAI TUKAR RUPIAH, SUKU BUNGA SBI, VOLUME PERDAGANGAN SAHAM, INFLASI DAN BETA SAHAM TERHADAP HARGA SAHAM (Studi Empiris pada Perusahaan Sektor Perbankan Di Bursa Efek Indonesia Periode 2004 - 2007). Masters thesis, program Pascasarjana Universitas Diponegoro.

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Abstract

Penelitian ini dilakukan karena termotivasi adanya fenomena atas berbedanya hasil penelitian yang dilakukan oleh beberapa penelitian terdahulu yang dilakukan oleh Wiyani (2005); Mudji Utami dan Mudjilah Rahayu (2003); serta Amos Amoroso Avanti (2004). Penelitian ini bertujuan untuk menganalisis pengaruh antara nilai tukar rupiah, tingkat suku bunga SBI, volume transaksi perdagangan, inflasi dan beta saham terhadap harga saham. Sampel penelitian ini sebanyak 23 perusahaan sektor perbankan di Bursa Efek Indonesia, dengan metode pooling data (periode triwulanan tahun 2004 – 2007), sehingga jumlah data observasi (n) = 368. Hasil penelitian bahwa secara parsial (individu) tidak ada pengaruh yang signifikan antara nilai tukar rupiah, Inflasi terhadap Harga Saham secara parsial. Dan secara parsial variabel yang berpengaruh negatif terhadap harga saham yaitu Suku Bunga SBI dan variabel yang berpengaruh positif terhadap harga saham yaitu Volume Perdagangan Saham Beta Saham. Dari hasil penelitian saran yang diberikan yaitu Investor dapat menjadikan volume perdagangan saham sebagai informasi dalam penanaman investasinya karena terbukti bahwa volume perdagangan saham dan beta saham berpengaruh terhadap peningkatan harga saham. Dan faktor suku bunga juga perlu diperhatikan investor karena berdampak pada menurunnya harga saham perusahaan. Faktor nilai tukar rupiah dan inflasi tidak berpengaruh terhadap harga saham. Hal ini mengindikasikan bahwa kedua faktor tersebut tidak perlu diperhatikan oleh investor dalam penentuan investasi. This research is conducted because motivating the existence of phenomenon to the differing it result of research by some former research which conducted by Wiyani (2005); Mudji Utami and Mudjilah Rahayu (2003); and also Amos Amoroso Avanti (2004). This research aim to analyze influence between rupiah exchange rate, SBI rate of interest storey; level, commerce transaction volume, share beta and inflation to share price. This Research sample counted 23 company o] banking sector in Indonesian Stock Exchange Indonesia, with data pooling method (quarterly period of year 2004 - 2007), so that the amount of observation ( n) = 368. Result of research that by partial there no influence which is significant between rupiah exchange rate, Inflation to Price Share by partial. And by partial variable having an effect on negativity to share price that is Rate Of Interest SBI and variable having an effect on positive to share price that is Volume Commerce Share Beta Share. From result of research given suggestion that is Investor can make share commerce volume as information in its investment cultivation because proven that share commerce volume and share beta have an effect on to make-up of share price. and Factor rate of interest also require to be paid attention investor because affecting at decrease company share price it. Factor rupiah exchange rate and inflation do not have an effect on to share price. This matter of indication both of the factor needn't be paid attention by investor in determination of investment.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:17110
Deposited By:Mr UPT Perpus 2
Deposited On:21 Jul 2010 09:07
Last Modified:21 Jul 2010 09:07

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