Analisis Beberapa Faktor Yang Mempengaruhi Indeks Harga Saham di Bursa EFEK Jakarta Periode Juli 1992 - Agustus 1993 (Studi Kasus Perusahaan Yang Memiliki Saham Likuid)
Surya Dharma Ginting (Pembimbing): Prof. Dr. Bambang Riyanto,, Prof. Dr. Bambang Riyanto,
INTISARI
ANALISIS BEBERAPA FAKTOR YANG MEMPENGARUHI INDEKS HARGA SAHAM DI BURSA EFEK JAKARTA PERIODE JULI 1992 - AGUSTUS 1993 (Studi kasus perusahaan yang memiliki saham likuid)
Oleh: SuryaDharma Ginting
Perkembangan indeks harga saham tertentu dapat memberikan petunjuk tentang kegairahan dan kelesuan minat pemodal untuk mengadakan transaksi jual beli saham perusahaan tersebut. Indeks
harga saham juga dapat menggambarkan nilai saham yang dimiliki
investor pada saat tertentu dibandingkan dengan harga perdananya. Penelitian ini bertujuan untuk menganalisis pengaruh secara serempak dan secara parsial variabel Dividend Yield, P/E Ratio, tingkat bunga bebas risiko dan likuiditas saham terhadap indeks harga saham di Bursa Efek Jakarta. Penelitian ini mendasarkan pada data 20 perusahaan yang memiliki saham terlikuid dalam periode Juli 1992 - Agustus 1993. Alat analisis yang dipakai adalah regresi linear dan terlebih dahulu menghindarkan asumsi klasik. Hasil pengujian asumsi klasik menunjukkan adanya gejala multikolinearitas antara variable P/E Ratio dengan variabel tingkat bunga bebas risiko. Untuk menanggulangi gejala multikolinearitas tersebut, variabel tingkat bunga bebas risiko dikeluarkan dari model. Hasil analisis secara serempak menunjukkan Dividend Yield, P/E Ratio dan likuiditas saham berpengaruh nyata terhadap indeks harga saham. Secara parsial menunjukkan variabel dividend yield dan P/E Ratio berpengaruh nyata terhadap indeks harga saham, sedangkan variabel tingkat likuiditas saham tidak signifikan. Dividend Yield mempunyai pengaruh paling kuat dalam memperjelas perubahan indeks harga saham. Guna meningkatkan kegairahan pasar modal di Bursa Efek Jakarta, perlu menyediakan berbagai informasi kepada para investor terutama informasi P/E Ratio dan dividend yield perusahaan yang go public.
ABTRACT
ANALYSIS ON SOME FACTORS INFLUENCING SHARE PRICE INDEX
IN JAKARTA STOCK EXCHANGE IN THE PERIOD OF JULY 1992 - AUGUST 1993 (A Case Study on The Companies Having Liquid Share)
By: Surya Dharma Ginting
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The development of a share price index My give an indication of the investors' interest in trading shares of companies listed at Jakarta Stock Exchange. The share price index may also indicate Changes in the share value over time, compared to its initial price. The aim of this report is to analyze the overall effect of dividend yield, P/E Ratio, risk free interest rate and share liquidity, as well as the effect of each factor separately,
on the share price index of the Jakarta Stock Exchange. This report is based on data from 20 companies with the highest share luquidity in the Jakarta Stock Exchange, during the period of July 1992 - August 1993. Linear regression is used as an instrument of analysis and beforehand classical assumption is prevented. The result of classical assumption test indicates the existence of multicolinearity between P/E Ratio and Risk Free Rate of interest. To overcome that multicolinearity, the Risk Free Rate of Interest is extracted from this model. That report shows that dividend yield, P/E Ratio, and share liquidity have an overall effect on the share price index. The variabel share liquidity has not significant effect. The variable share liquidity has no significant effect. Dividend Yield has the strongest impact on the share price index. In order to increase the activity on the Jakar.ta Stock Exchange capital market, it is neccessary to provide various types of information to investors, mainly information about the P/E ratio and dividend yield of companies listed on the Jakarta Stock Exchange.
Kata Kunci : Sejarah Pasar Modal di Indonesia, Lembaga-lembaga Penunjang Pasar Modal
