Kinerja Keuangan dan Faktor Ekonomi Makro sebagai Penentu Return Saham Perusahaan pada Jakarta Islamic Index
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Abstract
ABSTRACT
The purpose of this study is to analyze the effect of return on investment, earnings per share, interest rate, exchange rate, inflation and gross domestic product on stock returns in Indonesia Stock Exchange. The sample used were 9 issuers registered in the Jakarta Islamic Index during the period of 2008- 2014. The analysis was done by multiple regression test. The results showed that the exchange rate and the gross domestic product had a significant effect on stock return, while return on investment, earnings per share, interest rate, and inflation had no effect. Based on the results of research macroeconomic factors determining stock returns on samples tested are the exchange rate and gross domestic product, but interest rates and inflation have no effect. The same is true in earnings per share and operational performance also does not affect stock returns.
ABSTRAK
Tujuan penelitian ini adalah untuk menganalisis pengaruh return on investment, earning per share, suku bunga, kurs, inflasi dan product domestic bruto terhadap return saham di Bursa Efek Indonesia. Sampel yang digunakan sebanyak 9 emiten yang terdaftar dalam Jakarta Islamic Index selama periode 2008-2014. Analisis dilakukan dengan uji regresi berganda. Hasil penelitian menunjukkan bahwa kurs dan product domestic bruto berpengaruh signifikan terhadap return saham, sedangkan return on investment, earning per share, suku bunga, dan inflasi tidak berpengaruh. Berdasarkan hasil penelitian faktor ekonomi makro penentu return saham pada sampel yang diuji adalah kurs dan product domestic bruto, tetapi suku bunga dan inflasi tidak berpengaruh. Hal yang sama terbukti pada laba per saham dan kinerja operasional juga tidak mempengaruhi return saham.
JEL Classification: E44, L16
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