PENGARUH PERUBAHAN HARGA KOMODITAS JAGUNG, KEDELAI, CRUDE PALM OIL, DAN NILAI TUKAR VALUTA ASING TERHADAP RETURN SAHAM PERUSAHAAN INDUSTRI PERUNGGASAN DI INDONESIA

ARIYO WIBOWO JINCA, Prof. Marwan Asri, MBA, Ph.D.

2014 | Tesis | S2 Manajemen

Penelitian ini merupakan sebuah analisis pengaruh perubahan harga komoditas bahan baku industri perunggasan dan valuta asing USD/Rupiah berpengaruh pada return saham industri tersebut. Komoditas jagung, kedelai, crude palm oil (CPO), dan nilai tukar valuta asing (valas) berlaku sebagai variabel independen; sedangkan return saham PT. Charoen Pokphand Tbk. (CPIN), PT. Japfa Comfeed Tbk. (JPFA), dan PT. Malindo Feedmill Tbk. (MAIN) sebagai variabel dependen. Keempat variabel independen tersebut diduga memiliki pengaruh pada profitabilitas ketiga perusahaan, sehingga dapat mempengaruhi investor saham dalam mengambil keputusan. Analisis dilakukan melalui dua tahap, yakni tahap pertama dilakukan pengukuran pengaruh variabel independen terhadap return saham masing-masing perusahaan dengan menggunakan regresi seemingly unrelated regression (SUR). Selanjutnya dilakukan pengukuran pengaruh variabel independen terhadap return saham secara bersamaan (data panel) melalui uji Wald’s coeffcient test. Sumber data merupakan data mingguan harga komoditas dan valas serta harga saham selama periode Januari 2010 s.d. September 2013. Hasil analisis menunjukkan tidak semua variabel independen berpengaruh baik pada masing-masing perusahaan atau pun pada industri perunggasan secara keseluruhan.

This study is an analysis of the effect of changes in commodity prices of the poultry industry raw materials and foreign exchange USD/IDR on stock returns of the industry. Corn, soybeans, crude palm oil (CPO), and foreign exchange (forex) acts as an independent variable; while the stock return of PT. Charoen Pokphand Tbk. (CPIN), PT. Japfa Comfeed Tbk. (JPFA), and PT. Malindo Feedmill Tbk. (MAIN) as the dependent variable. The four independent variables thought to have an influence on the profitability of these companies, which could become consideration for equity investors. The analysis is performed through two stages, the first stage of the measurement of the effect of independent variables focused on stock returns of each company by using regression seemingly unrelated regression (SUR). We then measure the effect of independent variables on stock returns of the industry simultaneously (panel data) through Wald's coeffcient test. The data source is the weekly data in commodity prices and foreign exchange and stock prices during the period January 2010 till September 2013. Analysis show, not all independent variables affect on each company’s stock return or even the poultry industry as a whole.

Kata Kunci : komoditas, jagung, kedelai, CPO, valuta asing, return saham, industri perunggasan