FAKTOR-FAKTOR YANG MEMPENGARUM PERUBAHAN HARGA SAHAM PADA KELOMPOK INDUSTRI MANUFAKTUR DI BURSA EFEK JAKARTA
Kuy Savuth (Adv : Prof. Dr. Bambang Riyanto), Prof. Dr. Bambang Riyanto
Tesis ini bertujuan untuk menguji apakah Basic Earning Power (BEP), Return on Equity (ROE), Dividend Yield (DY), Price Earning Ratio (PER) dan tingkat bunga deposito berpengaruh terhadap perubahan harga saham di Bursa Efek Jakarta selama 1993 sampai 1995.
Hipotesis penelitian ini menyatakan bahwa diduga ada hubungan nyata bahwa perubahan harga saham di Bursa Efek Jakarta telah dipengaruhi oleh faktor-faktor Basic
Earning Power (BEP), Return on Equity (ROE), Dividend Yield (DY), Price Earning Ratio (PER) dan tingkat bunga deposito berjangka perbankan.
Sampel yang digunakan sebanyak 20 perusahaan dengan kriteria paling aktif berdasarkan frekuensi perdagangan selama tahun 1993 sampai 1995. Pemilihan sampel ini menggunakan metode random sampling.
Sampel yang terpilih dianalisis dengan menggunakan uji ekonomitrika (Multikolinearitas) dan kemudian dilanjutkan dengan menggunakan analisis regresi berganda.
Berdasarkan hasil uji Multikolinearitas diketahui bahwa variabel Return on Equity (ROE) dan Dividend Yield (DY) harus dikeluarkan dari model, sehingga penelitian hanya mencakup 3 variabel independen lainnya yaitu : Basic Earning Power (BEP), Price Earning Ratio (PER) dan tingkat bunga deposito.
This study is to examine whether Basic Earning Power (BEP), Return on Equity (ROE), Dividend Yield (DY), Price Earning Ratio (PER) and the rate of time deposito's interest affects on the stock price in Jakarta Stock Exchange for 1993 to 1995.
Hypothesis of this research states The changes of the stock price in Jakarta Stock Exchange is influenced by Basic Earning Power (BEP), Return on Equity (ROE), Dividend Yield (DY), Price Earning Ratio (PER) and the rate of time deposito's interest.
The samples are the most active stocks in trading during the period of 1993 to 1995.
The samples is selected based on the randoms sampling. The selected samples are analized by multiple regression.
The result of this research proves that the Price Earning Ratio (PER) and the rate of time deposito's interest factors are significant and have strong enough influence to the
changes of stock price in Jakarta Stock Exchange.
Basic Earning Power (BEP) is not significant upon the changes of the stock price. The findings suggest that the investor would consider the Price Earning Ratio (PER) and the rate of time deposito's interest of 1993 to 1995. in estimating the price of the stock. However, it can be said that the fundamental factor, companies condition, were less considered by investors in transacting stocks in the period of 1993 to 1995.
Kata Kunci : saham, perubahan harga, industri manufaktur, BEJ
