ANALISIS PENGARUH INFLASI, NILAI TUKAR, ROA, DER DAN CR TERHADAP RETURN SAHAM (Studi Kasus Saham Industri Real Estate and Property yang Terdaftar di Bursa Efek Indonesia Periode 2003 – 2006)

Abstract

Capital market existence in Indonesia is marked with to the number of investor that start inculcate its share in industry real estate and property. Growing fast its sector growth this property is followed with growing request height of board need, until make investors property requires fund from external source. Fund was from external source can be obtained pass by capital market. The objectives of this research to analyze the influence of inflation, exchange rate, Return On Asset (ROA), Debt to Equity Ratio (DER) dan Current Ratio (CR) to stock return of real estate and property industry that listed on Indonesian Stock Exchange in the period of 2003 - 2006. This research using data from Statistical Economics and Finance that published from Indonesian Banking, ICMD (Indonesian Capital Market Directory) and Jakarta Stock Exchange (JSX) Monthly Statistic in the period of 2003-2006. The number of population for this research is 35 companies and the number of sample that examined after passed the purposive sampling phase is 23 companies. Analyze technique to use in this research is multiple linier regression to obtain picture which totally regarding relationship between one variable with other variable. The result of this research shows inflation, exchange rate and Debt to Equity Ratio (DER) variables has a negative and significant influence to stock return, in other hand Return On Asset (ROA) and Current Ratio (CR) has a positive and significant influence to stock return on real estate and property industry. This result is expected that inflation, exchange rate, Return On Asset (ROA), Debt to Equity Ratio (DER) dan Current Ratio (CR) variable can be made reference, either by company management and also by investors in determining investment strategy. Kehadiran pasar modal di Indonesia ditandai dengan banyaknya investor yang mulai menanamkan sahamnya dalam industri real estate and property. Semakin pesatnya perkembangan sektor property ini diikuti dengan semakin tingginya permintaan akan kebutuhan papan, sehingga membuat para investor property membutuhkan dana dari sumber eksternal. Dana dari sumber eksternal dapat diperoleh melalui pasar modal. Penelitian ini bertujuan untuk menganalisis pengaruh inflasi, nilai tukar, Return On Asset (ROA), Debt to Equity Ratio (DER) dan Current Ratio (CR) terhadap Return Saham industri real estate and property yang listed di Bursa Efek Indonesia periode 2003 – 2006. Data diperoleh Statistik Ekonomi dan Keuangan yang diterbitkan Bank Indonesia, ICMD (Indonesian Capital Market Directory) dan Jakarta Stock Exchange (JSX) Monthly Statistic dengan periode waktu tahun 2003 hingga 2006. Jumlah populasi penelitian ini adalah 35 perusahaan dan jumlah sampel sebanyak 23 perusahaan dengan melewati tahap purposive sample. Teknik analisa yang akan dipakai dalam penelitian ini adalah regresi linier berganda untuk memperoleh gambaran yang menyeluruh mengenai hubungan antara variabel satu dengan variabel yang lain. Hasil penelitian menunjukkan bahwa variabel inflasi, nilai tukar dan Debt to Equity Ratio (DER) berpengaruh negatif dan signifikan terhadap Return Saham. Sedangkan Return On Asset (ROA) dan Current Ratio (CR) berpengaruh positif dan signifikan terhadap Return Saham pada industri real estate and property. Hasil penelitian ini diharapkan bahwa variabel inflasi, nilai tukar, Return On Asset (ROA), Debt to Equity Ratio (DER) dan Current Ratio (CR) dapat dijadikan pedoman, baik oleh pihak manajemen perusahaan dalam pengelolaan perusahaan, maupun oleh para investor dalam menentukan strategi investasi.