The effect of macroeconomic factors on individual stocks return :: A comparison of two diferent exchange rates systems

SATRYA, Robertus Bambang Dwi, Suad Husnan, Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Penelitian ini bertujan untuk mengetahui pengaruh dari factor-faktor makroekonomi, khususnya nilai tukar mata uang asing terhadap return dari saham-saham individu, perbandingan antara dua system nilai tukar mata uang asing, dan mengetahui signifikansi pengaruhnya terhadap return dari sahamsaham individu di Indonesia. Menggunakan data dari 60 perusahaan yang terdaftar di bursa (30 perusahaan yang sensitif terhadap perubahan nilai tukar mata uang asing dan 30 perusahaan yang tidak sensitif terhadap perubahan nilai tukar mata uang asing) periode 1992-1996 (sistem nilai tukar mengambang terkendali) dan 2002- 2006 (sistem nilai tukar bebas.) Hasil penelitian ini menunjukkan bahwa pengaruh dari perubahan nilai tukar mata uang asing lebih besar pada era penerapan sistem nilai tukar bebas daripada di era nilai tukar mengambang terkendali, tanpa memperhatikan sensitifitas perusahan-perusahaan tsb terhadap nilai tukar mata uang asing dan pengaruh dari perubahan nilai tukar mata uang asing lebih besar untuk saham perusahaan-perusahaan yang sensitif di kedua era penerapan sistem nilai tukar mata uang asing.

This research is aimed to investigate the effects of Macroeconomics Factors, mainly the foreign exchange rate on individual stocks return, a comparison between two different exchange rate systems, as well as to examine the significance of the influence. Using annually data from 60 listed company (30 that sensitive to foreign exchange rate changes and 30 that not sensitive to foreign exchange rate changes) over the period 1992-1996 (managed floating exchange rate systems) and 2002-2006 (free floating exchange rate systems), the writer tried to reach the objective of this research. The result of this research showed that the impact of currency changes is higher in the free floating exchange rate system than in the managed floating exchange rate system irrespective of the stocks sensitivity to exchange rate changes and the impact of currency changes is higher for sensitive stocks both in the managed and free floating exchange rate system.

Kata Kunci : return saham-saham individu, sistem nilai tukar mengambang terkendali, sistem nilai tukar bebas, individual stocks return, managed floating exchange rate system, free floating exchange rate system