ANALISIS PENGARUH FUNDAMENTAL MAKROEKONOMI TERHADAP RETURN SAHAM INDEKS SEKTOR PROPERTI DI BURSA EFEK INDONESIA TAHUN 2007-2013

Abstract

The capital market was an important element that provided benefits for economic progress through investment development in a country. Property sector is one of alternative for promising investment. This research aims to determine the effect of macroeconomic fundamentals such as inflation, exchange rate, SBI interest rate, and GDP growth on affecting return indeks of property sector. Return is the profit earned by investors for their courage to bear risks. The data used in this research was monthly data from January 2007 to December 2013 taken from official website of Bank Indonesia, Indonesia Stock Exchange, and Statistic Indonesia. This research using time series application Error Correction Model to determine the relationship between macroeconomic variables towards return index of property sector in the short and long term and also avoid the spurious regression. The results showed that in the short-term and long-term inflation significantly influence returns. In contrast to the exchange rate and SBI interest rate only in the short-term effect. While GDP growth has no effect on the return index of property sector. ECT coefficient will be valid if the value is negative and significant. The value of ECT variable is -1.09 which has meaning the differences between actual return value and balance value is -1.09 which will be adjust to the next periode by equilibrium term and the impact from independent variable from short term will be consistent with independent variable in long term.