ANALISIS PENGARUH SUKU BUNGA OVERNIGHT DAN NILAI TUKAR RUPIAH/US$ TERHADAP HARGA SAHAM PERBANKAN DI BURSA EFEK INDONESIA

Abstract

Pasar modal dan pasar uang didalamnya mencakup Overnight, nilai tukar Rp/US$ serta harga saham perbankan. Penelitian ini menganalisis pengaruh suku bunga Overnight dan nilai tukar Rp/US$ terhadap harga saham perbankan. Metode penelitian deskriptif kuantitatif menggunakan teknik analisis regresi linier berganda dengan persamaan pangkat kuadrat terkecil biasa, dan pendekatan Markowitz Model . Data sekunder berupa harga saham BNI dan BCA 2007 diperoleh dari BEI, Overnight pagi/sore dan kurs tengah diperoleh dari BI. Sampel menggunakan teknik Purposive Sampling. Expected return harga saham perbankan = 37,810, standar deviasi = 2,735, variance = 2,480. Koefisien korelasi Overnight terhadap harga saham BNI r = -0,129, p value = 0,045, significant = 0,05; terhadap harga saham BCA r = -0,101, p value = 0,115, tidak significant = 0,05. Koefisien korelasi nilai tukar Rp/US$ terhadap harga saham BNI r = -0,482, p value = 0,000; terhadap harga saham BCA r = 0,437, p value = 0,000, tidak significant = 0,05. Overnight terhadap harga saham BNI covarians negatif = -101,638, terhadap harga saham BCA covarians negatif = -216,806. Nilai tukar Rp/US$ terhadap harga saham BNI covarians negatif = -22646,172. Sedangkan nilai tukar Rp/US$ terhadap harga saham BCA covarians positif = 55754,945. Uji analisis data Overnight dan nilai tukar Rp/US$ secara bersama-sama menunjukkan nilai Fhitung > dari Ftabel (41,527 > 3,00) untuk harga saham BNI dan (29,262 > 3,00) untuk harga saham BCA, nilai signifikansi = 0,000. Uji parsial, Overnight signifikan terhadap harga saham BNI nilai thitung > ttabel (2,854 > 1,960), signifikansi = 0,005; terhadap harga saham BCA nilai thitung < ttabel (1,290 < 1,960), tidak signifikansi karena > 0,05 = 0,198. Sedangkan uji parsial nilai tukar Rp/US$ signifikan terhadap harga saham BNI maupun BCA nilai thitung > ttabel (8,814 > 1,960) dan (7,447 > 1,960), nilai signifikansi = 0,000. Adjusted R2 = 0,252 artinya 25,2% variasi harga saham BNI dalam menjelaskan variasi varibel Overnight dan nilai tukar Rp/US$, sisanya 74,8% dijelaskan oleh sebab lain di luar model. Adjusted R² = 0,190 artinya 19,0% variasi harga saham BCA dalam menjelaskan variasi varibel Overnight dan nilai tukar Rupiah/US$, sisanya 81,0% dijelaskan oleh sebab lain di luar model. Suku bunga Overnight dan nilai tukar Rp/US$ dapat dijadikan informasi untuk memprediksi harga saham perbankan. Pemerintah dan BI harus memperhatikan variabel ekonomi makro dalam mengambil kebijakan-kebijakan agar dapat menarik minat investor baik domestik maupun asing di BEI. Kata kunci : suku bunga Overnight pagi/sore, kurs tengah mata uang USD, expected return, risiko. Stock exchange and finance market covers of Overnight, exchange rate of Rupiah/US$ and stock price banking. This research at analyzing influence of Overnight rate and exchange rate of Rupiah/US$ to stock price banking. Method of the research was descriptive quantitative using analytical technique of multiple linear regression with ordinary least square which was commonly and the approach of Markowitz Model. The secondary data used were stock price BNI and BCA obtained from BEI of 2007, Overnight morning/afternoon and middle rate from Bank of Indonesia. Samples were taken by means of Purposive Sampling. Expected return stock price banking = 37,810, deviation standard = 2,735, variance = 2,480. Correlation coefficient of Overnight to stock price BNI r = -0.129, ρ value = 0.045, significant = 0.05; to stock price BCA r = -0,101, ρ value = 0.115, no significant = 0.05. Correlation coefficient of exchange rate of Rupiah/US$ to stock price BNI r = -0,482, ρ value = 0,000; to stock price BCA r = 0,437, ρ value = 0,000, no significant = 0.05. Overnight to stock price BNI negative covarince = -101,638, to stock price BCA negative covarince = -216,806. Exchange rate of Rupiah/US$ to stock price BNI negative covarince = -22646,172. While exchange rate of Rupiah/US$ to stock price BCA positive covarince = 55754,945. Data analysis test of Overnight and exchange rate of Rupiah/US$ together showed value of computed F > F table (41,527 > 3,00) to stock price BNI and (29,262 > 3,00) to stock price BCA, significance level 0,000. Partially test, significant of Overnight to stock price BNI value of computed t > t table (2,854 > 1.960), significance 0,005, to stock price BCA value of computed t < t table (1,290 < 1,960), no significance because > 0,05 = 0,198. While partially test of exchange rate of Rupiah/US$ to stock price BNI although BCA value of computed t > t table (8,814 > 1.960) and (7,447 > 1,960), significance level 0,000. Adjusted R2 = 0,252 means 25,2% variant to stock price BNI in explaining of variant variable Overnight and exchange rate of Rupiah/US$, the rest 74,8% was explained by other cause in outside models. Adjusted R2 = 0,190 means 19,0% variant to stock price BCA in explaining of variant variable Overnight and exchange rate of Rupiah/US$, the rest 81,0% was explained by other cause in outside models. Overnight rate and exchange rate of Rupiah/US$ can be the source of information to predict stock price banking. The government and the Bank of Indonesia have to pay attention to the variable of macro economy in making policies in order to draw interest of both foreign and domestic investor in Indonesian Stock Exchange. Key words: Overnight morning/afternoon, middle exchange rate US dollar, expected return, risk