Analisis Pengaruh Perubahan Suku Bunga Efektif Amerika Serikat, Nilai Tukar Rupiah, dan Profitabilitas Bank terhadap Pergerakan Harga Saham Bank BUMN, 2005:Q1-2014:Q2
NUGROHO, SETIA ADI (Adv.: Muhammad Edhie Purnawan, M.A., Ph.D), Muhammad Edhie Purnawan, M.A., Ph.D
Sebagai lembaga intermediary, perbankan berfungsi mengumpulkan tabungan masyarakat dan menyalurkannya kembali, salah satunya dalam bentuk kredit investasi. Di Indonesia, terdapat empat bank berstatus Badan Usaha Milik Negara (BUMN) yang sudah go public serta dapat dikategorikan sebagai bank berdampak sistemik dan berstatus Systematically Important Bank (SIB), antara lain Bank Mandiri, BRI, BNI dan BTN. Mengingat pengaruh bank BUMN yang sangat besar terhadap stabilitas sistem keuangan, baik kinerja maupun tingkat kesehatan bank BUMN harus terus dijaga, salah satunya dengan memantau pergerakan harga saham. Hasil penelitian menggunakan ECM menunjukkan bahwa suku bunga efektif Amerika Serikat berpengaruh negatif terhadap harga saham BRI, nilai tukar Rupiah/Dolar berpengaruh negatif terhadap harga saham Mandiri dan BRI, serta profitabilitas bank berpengaruh positif terhadap harga saham Mandiri dan BNI.
As financial intermediary, a bank collects deposits from the people and allocates it back, such as in a form of credit for investment to third party. In Indonesia, there are four state-owned banks which are already go public that can be categorized to have systemic effect to the economy and stated as Systemically Important Bank (SIB), such as Bank Mandiri, BRI, BNI, and BTN. Considering the massive impact of state-owned bank on the financial system stability, BUMN banks need to keep their performance strong and sound, such as thru the surveillance of stock price movements. Using ECM models, the results in this paper found that the effective Fed funds rate has negative effect on BRIs stock price movements, Rupiah/Dollar exchange rate has negative effect on Mandiris and BRIs stock price movements, and banks profitability has positive effect on the movements of Mandiris and BNIs stock price movements.
Kata Kunci : lembaga intermediary, investasi, go public, stabilitas sistem keuangan, berdampak sistemik, Systematically Important Bank (SIB), financial intermediary, investment, go public, financial system stability, systemic effect, Systematically Important Bank (SIB
