Analisis pengaruh faktor fundamental (Rasio camel) perusahaan dan ekonomi makro terhadap harga saham :: Studi pada perusahaan di Bursa Efek Indonesia, 2004-2009

ATMAJI, Gandung, Muhammad Edhie Purnawan, Ph.D

2010 | Tesis | S2 Magister Ekonomika Pembangunan

Faktor fundamental perusahaan dan ekonomi makro adalah salah satu faktor yang digunakan oleh para investor untuk membuat keputusan investasi di pasar modal. Penelitian ini bertujuan menganalisis pengaruh faktor fundamental perusahaan (rasio CAMEL) dan ekonomi makro terhadap harga saham. Data diperoleh dari Indonesian Capital Market Directori (ICMD), Bursa Efek Indonesia dan Bank Indonesia 2004-2009. Sampel penelitian ini terdiri dari 19 perusahaan di industri perbankan yang terdaftar di Bursa Efek Indonesia (IDX) pada periode 2004 sampai dengan 2009. Variabel fundamental perusahaan (rasio CAMEL) yang digunakan adalah capital adequacy ratio, loan to deposit ratio, non performing loan, perbandingan biaya operasi terhadap pendapatan operasi, earning per share sedangkan variabel ekonomi makro yang digunakan adalah tingkat inflasi, suku bunga bank Indonesia dan kurs. Metode statistik yang digunakan adalah regresi linier berganda dengan data panel. Hasil penelitian menunjukkan bahwa secara bersama-sama kedelapan variabel tersebut berpengaruh terhadap harga saham, tetapi secara individual variabel capital adequacy ratio, loan to deposit ratio, earning per share, tingkat inflasi, suku bunga bank Indonesia dan kurs yang berpengaruh terhadap harga saham. Semua variabel independen dapat menjelaskan harga saham sebesar 93 persen dan sisanya sebesar 7 persen dijelaskan oleh variabel lain. Hal ini berarti bahwa tidak hanya faktor fundamental perusahaan (rasio CAMEL) dan ekonomi makro yang mempengaruhi harga saham di Bursa Efek Indonesia.

Company fundamentals and macro economics is one factor used by investors to make investment decisions in the capital market. This study aims to analyze the influence of company fundamentals (CAMEL ratios) and the macro economy to the stock price. The data used in this research are Indonesian Capital Market Directory (ICMD), Indonesia Stock Exchange and Bank Indonesia 2004-2009. The research sample consisted of 19 companies listed in the banking industry on the Indonesia Stock Exchange (IDX) for the period 2004-2009. The company fundamental variables (CAMEL ratios) are capital adequacy ratio, loan to deposit ratio, non-performing loans, the ratio of operating expenses to operating income, earning per share while the macroeconomic variables used are the rate of inflation, interest rates and exchange rate. The statistical method used in this research is multiple linear regression with panel data.. The results showed that capital adequacy ratio, loan to deposit ratio, non-performing loans, the ratio of operating expenses to operating income, earning per share while the macro economic variables used are the rate of inflation, interest rates and exchange rate. Simultaneously have significant effect on stock price, but only capital adequacy ratio, loan to deposit ratio, earnings per share, inflation, interest rates and exchange rate that have significant effect on stock prices. Overall of independent variables could explain about 93percent stock prices variation and rest explained by other variables about 7 percent. It means that that the fundamental factors (ratio of CAMEL) and macro economics is influenced stock prices in the Indonesia Stock Exchange.

Kata Kunci : Faktor fundamental, Ekonomi makro, Harga saham, Data panel, Fundamental factors