ANALISIS PENGARUH FAKTOR-FAKTOR FUNDAMENTAL DAN KURS TERHADAP RETURN SAHAM ( Perbandingan Perusahaan PMA dengan PMDN Non Keuangan Yang Listed di BEI periode 2002 – 2007 )

Abstract

Penelitian ini bertujuan menganalisis pengaruh faktor fundamental dan kurs terhadap return saham. Faktor fundamental diwakili oleh Current Ratio (CR), Debt Equity Ratio (DER), Return on Asset (ROA),Total Asset Turn Over(TATO), Price Book Value (PBV) dan Trading Volume .Yang menjadi obyek penelitian ini adalah perusahaan PMA dan perusahaan PMDN yang listed di BEI antara tahun 2002-2007 , sehingga tujuan lain dari penelitian ini adalah untuk mengetahui apakah terdapat perbedaan pengaruh Current Ratio (CR), Debt Equity Ratio (DER), Return on Asset (ROA),Total Asset Turn Over(TATO), Price Book Value (PBV) , Trading Volume dan Kurs (Rp/$ US) terhadap return saham antara perusahaan PMA dengan perusahaan PMDN . Untuk menguji hipotesis penelitian di gunakan Metode Regresi Linear Berganda dan Uji-Chow (Chow Test). Untuk menilai Goodness of Fit suatu model dilakukan pengukuran nilai Koefisien Determinasi, Uji Signifikansi - F dan Uji Signifikansi – t. Untuk mengetahui apakah terdapat perbedaan pengaruh faktor fundamental dan kurs terhadap return saham antara perusahaan PMA dengan PMDN, digunakan Uji-Chow (Chow Test) Penelitian menyimpulkan bahwa secara simultan (bersama-sama) Current Ratio (CR), Debt Equity Ratio (DER), Return on Asset (ROA), Total Asset Turn Over(TATO), Price Book Value (PBV) , Trading Volume dan Kurs (Rp/$ US) berpengaruh terhadap return saham baik pada perusahaan PMA maupun pada perusahaan PMDN. Pada perusahaan PMA, variabel independen yang berpengaruh terhadap return saham adalah PBV dan Trading Volume sedangkan pada perusahaan PMDN, variabel independen yang berpengaruh terhadap return saham adalah DER, ROA, PBV dan Trading Volume. Berdasarkan Uji Chow, dapat disimpulkan bahwa terdapat perbedaan yang signifikan antara perusahaan PMA dengan perusahaan PMDN dalam hal pengaruh Current Ratio (CR), Debt Equity Ratio (DER), Return on Asset (ROA),Total Asset Turn Over(TATO), Price Book Value (PBV) , Trading Volume dan Kurs (Rp/$ US) terhadap return saham. This research aim to analyse fundamental factor influence and exchange rate to stock return. Fundamental factor represented by Current Ratio ( CR), Debt Equity Ratio ( DER), Return on Asset ( ROA),Total Asset Turn Over (TATO), Price Book Value ( PBV) and Trading Volume . Research object is company PMA and company PMDN which listed in BEI between the year 2002-2007 , so that purpose of differ from this research is to know is there is difference of influence Current Ratio ( CR), Debt Equity Ratio ( DER), Return on Asset ( ROA), Total Asset Turn Over (TATO), Price Book Value ( PBV) , Trading Volume and Kurs ( Rp/$ US) to stock return between companies PMA with company PMDN . To test research hypothesis applied Multivariate Linear Regression Model and Chow Test). To assess Goodness of Fit a model is done [by] measurement of Coefficient of determination value, Significance test - F and Significance test - t. To know is there is difference of fundamental factor influence and exchange rate to stock return between companies PMA with PMDN, applied Uji-Chow ( Chow Test) Research concludes that in simultan Current Ratio ( CR), Debt Equity Ratio ( DER), Return on Asset ( ROA), Asset Total Turn Over(TATO), Price Book Value ( PBV) , Trading Volume and Kurs ( Rp/$ US) influential to stock return either at company PMA or at company PMDN. At company PMA, independent variable having an effect on to stock return is PBV and Trading Volume while at company PMDN, independent variable having an effect on to stock return is DER, ROA, PBV and Trading Volume. Based On Chow Test, inferential that there is difference signifikan between companies PMA with company PMDN in the case of influence Current Ratio ( CR), Debt Equity Ratio ( DER), Return on Asset ( ROA), Total Asset Turn Over (TATO), Price Book Value ( PBV) , Trading Volume and Kurs ( Rp/$ US) to stock return .