ANALISIS PENGARUH VARIABEL MAKROEKONOMI TERHADAP HARGA SAHAM SEKTOR PERTAMBANGAN YANG TERCATAT DI BURSA EFEK INDONESIA PERIODE 2006 - 2015

Abstract

This research aims to analyze the relationship between selected macroeconomic variables with the volatility of mining stock price index. The variables that affect it includes oil price, gold price, exchange rates, inflation and BI rates. This study has 110 samples using monthly data from 2006-2015 from each variables. The analytical method used in this research is Mutiple Linier Regression Analysis where previously performed classical assumption that includes Normality Test, Multicollinearity Test, Autocorrellation Test, and Heteroskedastisitas Test with significance level of 5%. The result showed that the exchange rates and BI rates have significant negative impact on the mining stock price index. Oil price has significant positive impact on the mining stock price index. Gold price has negative impact on the mining stock price index but not significant. Inflation has positive impact on the mining stock price index but not significant.Based on test result show the value of the coefficient of determination adjusted R square of 0,935, so that the variables in this research may explain the variable mining stock price index amounted 93.5%.