scholarly journals ANALISIS PENGARUH PERUBAHAN VARIABEL MAKROEKONOMI TERHADAP RETURN SAHAM SYARIAH PT. TELEKOMUNIKASI INDONESIA, TBK. PERIODE 2011-2013

2016 ◽  
Vol 7 (1) ◽  
Author(s):  
SITI SUNAYAH ◽  
ZAINI IBRAHIM
Keyword(s):  
Exchange Rate ◽  
Linear Regression ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Macroeconomic Variables ◽  
Independent Variables ◽  
Macroeconomic Impact ◽  
The Exchange Rate

Abstract. Analysis on Effect of Changes in Macroeconomic Variables Return against Sharia Stock at PT. Telekomunikasi Indonesia, Tbk. 2011-2013. Macroeconomic variables used in this study is the exchange rate, interest rates and inflation. These variables tried measurable macroeconomic impact on the level of sharia stock returns from PT. Telekomunikasi Indonesia, Tbk. during 2011-2013. The data of exchange rate, inflation, and interest rates obtained from the site of Bank Indonesia (BI), and the data of sharia stock returns PT. Telekomunikasi Indonesia from the site of Indonesia Stock Exchange (BEI) as well as on the site of Bank Indonesia (BI). The instrument used in this research is multiple linear regression and software eviews 7. The results obtained that all independent variables have no effect on the dependent variable partially (alone), but simultaneously (together) three independent variables affect the dependent variable. With fault tolerance of 5% exchange rate, interest rates and inflation are able to explain changes in stock return of sharia PT. Telekomunikasi Indonesia, Tbk amounted to 8.6%. Every increase in the exchange rate of 1% would increase the amount of return PT. Telekomunikasi Indonesia, Tbk as much as 1.76%, whereas any increase in interest rates by 1% will increase the stock return of sharia PT. Telekomunikasi Indonesia, Tbk as much as 31.4%, then any increase in inflation of 1% would raise the stock return of sharia PT. Telekomunikasi Indonesia, Tbk as much as 0.086%. Thus, the independent variables are more dominant on stock returns PT. Telkom is in bank interest rates.Abstrak. Analisis Pengaruh Perubahan Variabel Makroekonomi Terhadap Return Saham Syariah PT. Telekomunikasi Indonesia, Tbk. Periode 2011-2013. Variabel makroekonomi yang dimaksud dalam penelitian ini meliputi nilai tukar rupiah, suku bunga dan inflasi. Ketiga variabel makroekonomi tersebut dicoba diukur pengaruhnya terhadap tingkat return saham syariah dari PT. Telekomunikasi Indonesia, tbk. selama periode 2011-2013. Data kurs, inflasi, dan suku bunga diperoleh dari situs Bank Indonesia (BI), dan data return saham syariah PT. Telekomunikasi Indonesia diambil dari situs Bursa Efek Indonesia (BEI) serta dari situs Bank Indonesia (BI). Alat analisis yang digunakan yaitu regresi linier berganda dengan bantuan software eviews 7. Hasil yang diperoleh menyatakan semua variabel bebas tidak berpengaruh terhadap variabel terikat secara parsial (sendiri-sendiri), namun secara simultan (bersama-sama) ketiga variabel bebas berpengaruh terhadap variabel terikat. Dengan toleransi kesalahan sebesar 5% nilai tukar rupiah, suku bunga dan inflasi mampu menjelaskan perubahan return saham syariah PT. Telekomunikasi Indonesia, Tbk sebesar 8,6%. Setiap peningkatan nilai tukar rupiah sebesar 1% akan menaikan besarnya return PT. Telekomunikasi Indonesia, Tbk sebanyak 1,76%, sedangkan setiap peningkatan suku bunga sebesar 1% akan menaikan return saham syariah PT. Telekomunikasi Indonesia, Tbk sebanyak 31,4%, selanjutnya setiap peningkatan inflasi sebesar 1% akan menaikan return saham syariah PT. Telekomunikasi Indonesia, Tbk sebanyak 0,086%. Dengan demikian, variabel bebas yang lebih dominan terhadap return saham PT. Telkom adalah suku bunga perbankan.

scholarly journals ANALISIS PENGARUH INFLASI, NILAI TUKAR RUPIAH, DAN SUKU BUNGA TERHADAP RETURN SAHAM PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

KINDAI ◽  
2020 ◽  
Vol 16 (2) ◽  
pp. 262-275
Author(s):  
Richson Pardamean Silaban
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Returns ◽  
Quantitative Methods ◽  
Banking Sector ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Macroeconomic Variables ◽  
Company Stock

Abstrak : Kondisi moneter dan pergerakan variabel makro ekonomi merupakan hal yang perlu diperhatikan oleh seorang investor dalam melakukan aktivitas perdagangan saham di suatu negara. Keadaan ekonomi dan pergerakan variabel makro dalam suatu negara dapat mempengaruhi return saham, termasuk dalam sektor perbankan. Penelitian ini bertujuan untuk mengetahui pengaruh variabel makro ekonomi yaitu inflasi, nilai tukar rupiah, dan suku bunga terhadap return saham perusahaan perbankan yang terdaftar di BEI. Penelitian ini menggunakan metode kuantitatif. Populasi dalam penelitian ini adalah seluruh perusahaan perbankan yang terdaftar di Bursa Efek Indonesia pada periode 2014-2018, sedangkan sampel dalam penelitian ini adalah 29 perusahaan perbankan yang memenuhi kriteria penelitian. Teknik analisis data dalam penelitian ini menggunakan analisis regresi linier berganda. Hasil penelitian ini menunjukkan bahwa secara simultan variabel inflasi, nilai tukar rupiah, dan suku bunga berpengaruh secara signifikan terhadap return saham perusahaan perbankan. Secara parsial variabel inflasi, nilai tukar rupiah, dan suku bunga juga berpengaruh secara signifikan terhadap return saham perusahaan perbankan. Variabel yang memiliki pengaruh paling dominan adalah nilai tukar rupiah.   Kata kunci: Inflasi, Nilai Tukar Rupiah, Suku Bunga, Return Saham     Abstact : Monetary conditions and movement of macroeconomic variables are things that need to be considered by an investor in carrying out stock trading activities in a country. Economic conditions and movements of macro variables in a country can affect stock returns, including in the banking sector. This study aims to determine the effect of macroeconomic variables, namely inflation, rupiah exchange rate, and interest rates on stock returns of banking companies listed on the IDX. This research uses quantitative methods. The population in this study were all banking companies listed on the Indonesia Stock Exchange in the 2014-2018 period, while the sample in this study was 29 banking companies that met the research criteria. Data analysis techniques in this study used multiple linear regression analysis. The results of this study indicate that simultaneously inflation, rupiah exchange rate, and interest rates variables significantly influence the stock returns of banking companies. Partially, inflation, rupiah exchange rate, and interest rates also have a significant effect on banking company stock returns. The variable that has the most dominant influence is the rupiah exchange rate.   Keywords: Inflation, Rupiah Exchange Rates, Interest Rates, Stock Returns  

scholarly journals The Stock Market and Exchange Rates in Five South Asian Countries

2017 ◽  
Vol 18 (1) ◽  
pp. 102 ◽  
Author(s):  
Firmansyah Firmansyah ◽  
Shanty Oktavilia
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Return ◽  
The Philippines ◽  
Short Run ◽  
The Exchange Rate

The composite price index and return of stocks are the important indicators, both as a measure of the company's portfolio performance, as well as an indicator of macroeconomic health and the aggregate investment. In addition, the stock prices are also influenced by macroeconomic variables and one of the most important is the exchange rates. The objective of this study is to determine the behavior of exchange rate affects the stock returns in Southeast Asia, pre and post of the 2008 world financial crisis. By employing the daily stock market return in Indonesia, Malaysia, the Philippines, Thailand, and Singapore more than seventeen years from 1 September 1999 to 31 March 2017, this study utilizes Engle-Granger error correction model and cointegration approach to investigate and compare the long and short run of the structural effect of the exchange rates on stock returns. To differentiate the behavior of variables between pre and post occurrence of 2008 world financial crisis, the estimation of the model is divided into two periods. This study finds that the exchange rate growth influence the stock returns in the long and short run, and proves that the cointegration between the two variables exist in all countries. The study has the implication that the exchange rate, which the one of the fundamental measures of a country's macroeconomic health, is an important determinant of influencing stock return, even its effects are responded by the stock return in one day.

scholarly journals The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia

2019 ◽  
Vol 14 (8) ◽  
pp. 108
Author(s):  
Aminullah Assagaf ◽  
Etty Murwaningsari ◽  
Juniati Gunawan ◽  
Sekar Mayangsari
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
Foreign Exchange Rates ◽  
Macroeconomic Variables ◽  
Analysis Technique ◽  
Inflation Rates

This study aims to analysis the effect of macroeconomic variables on the overall return of company shares which is a proxy with changes in the composite stock price index. This study uses secondary data in a period of 20 months from November 2016 to June 2018. While the analysis technique uses multiple linear regression This study found that macroeconomic variables consisting of inflation rates, interest rates, money supply, and foreign exchange rates, stock returns have a significant effect on companies on the Indonesia Stock Exchange.

scholarly journals Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham

FORUM EKONOMI ◽  
2018 ◽  
Vol 19 (2) ◽  
pp. 148
Author(s):  
La Rahmad Hidayat ◽  
Djoko Setyadi ◽  
Musdalifah Azis
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Stock Returns ◽  
Money Supply ◽  
Stock Exchange ◽  
Significant Variable ◽  
Inflation Rates ◽  
Negative Effect ◽  
Relationship Of

This research is to examine the effect of inflation, interest rate, exchange rate and money supply on stock returns LQ 45 listed on the Indonesia Stock Exchange. The object of this research is the return - shares out of the category LQ 45 years of research by 2010-2015. Its Sampling using purposive sampling and get the 24 stocks that meet the criteria of 45 stocks LQ 45 as a sample. Thus, the number of samples studied was 144 shares for 6 years. The method used is multiple linear regression analyzes that examine whether or not a significant variable - the independent variable on the dependent variable. Based on the results known that R indicates that there is an ideal relationship of Inflation, Interest Rate, Exchange Rate and Money Supply toward to Return shares in LQ 45. R square indicates that the variable inflation rates, interest rates, the value of exchange rate and the money supply can explain the variable return shares at LQ 45 index. Based on F test indicates the same that the variable inflation rate, interest rate, exchange rate and money supply have a significant influence on shares returns in LQ 45 listed on Indonesia Stock Exchange. The results of T test showed that the rate of inflation significant and negative effect on shares returns and interest rates positive and significant effect on shares returns while exchange Rate and the money supply no significant effect on shares returns in LQ 45 Listed on Indonesia Stock Exchange.Keywords: stock return, Inflation, Interest Rate, Exchange Rate, Money Supply.

scholarly journals ANALISIS PENGARUH FAKTOR VARIABEL MAKROEKONOMI TERHADAP JAKARTA ISLAMIC INDEX (JII) PERIODE 2010 – 2013

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Herni Ali
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Regression Models ◽  
Secondary Data ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
Negative Effect ◽  
The Exchange Rate ◽  
The Relationship ◽  
Positive Effect

The aim of this study is examining the relationship between cointergration and causality levels of Exchange Rate, GDP, BI interest rates and inflation on Islamic Capital Markets. The data used in this study is a quantitative secondary data in the form of time series of the period January 2010 to December 2013. The test were conducted with the approach of multiple regression models with variable index research JII (Y), the exchange rate (X1), GDP (X2) , BI rate (X3) and inflation (X4) as for hypothesis testing performed using SPSS statistical software. From the results obtained by testing the hypothesis that: a positive effect on the exchange rate, positive effect on GDP, interest harga sewa rates BI negative effect and inflation positive effect on JII. Simultanious testing into four macroeconomic variables affect the JII.DOI: 10.15408/sjie.v3i2.2061   

scholarly journals The Influence of Exchange Rate, World Oil Price, and BI Rate on Airline Companie’s Return in Indonesian Stock Market

2019 ◽  
Vol 3 (3) ◽  
pp. 321
Author(s):  
Yonatan Alvin Stefan ◽  
Robiyanto Robiyanto
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
National Development ◽  
Oil Price ◽  
Infrastructure Development ◽  
Daily Data ◽  
Analysis Technique ◽  
The Us

In an effort to support the economic growth of Indonesia, an infrastructure development is carried out to achieve the national development. It brings positive influences on transportation companies in Indonesia. Many companies list their shares to Indonesia Stock Exchange, including PT. Garuda Indonesia (Persero) Tbk (IDX code: GIAA) and PT. AirAsia Indonesia Tbk (IDX code: CMPP), aiming to have additional capital sources. The two companies can be such a reference for investors to make investments, but they still need to consider the macro factors attached. This study examines the influende of exchange rate, world oil price, and Bank Indonesia (BI) rates on the GIAA and CMPP stock returns. The analysis technique used was Generalize Autoregressive Conditional Heteroscedasticity (GARCH) and daily data starting from their IPO to February 28th, 2019. The results showed that the exchange rate negatively affected the GIAA and CMPP stock returns, while the world oil prices only negatively affected the CMPP stock return, and the BI rates only negatively affected the GIAA stock return. In general, the investors are suggested not to buy the GIAA and CMPP shares when the IDR exchange rate weakens against the US dollar exchange rate.

scholarly journals Asimetris Nilai Tukar Rupiah Terhadap Harga Saham Sektor Keuangan Periode 2013-2019

2020 ◽  
Vol 2 (3) ◽  
pp. 143-152
Author(s):  
Abdul Aziz
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Exchange ◽  
Financial Sector ◽  
Distributed Lag ◽  
Asymmetrical Effect ◽  
The Exchange Rate ◽  
Asymmetrical Impact ◽  
Data Estimation

This paper examines the asymmetrical effect of the rupiah exchange rate on financial sector stock prices on the Indonesian stock exchange using the Non-Linear Autregressive Distributed Lag (NARDL) method with monthly data. Estimation results show that interest rates and exchange rates affect the movement of stock prices in the financial sector, there is a long-term relationship between the exchange rate with financial sector stock prices, our results also show the asymmetrical impact of exchange rate variables on financial sector stock prices, we also find when the exchange rate is positive (appreciation ) the effect is lower than when the exchange rate is negative (depreciation).   Tulisan ini meneliti tentang efek asimetris kurs rupiah terhadap harga saham sektor keuangan di bursa efek Indonesia dengan menggunakan metode Non-Linier Autregressive Distributed Lag (NARDL) dengan data bulanan.  Hasil estimasi menunjukkan bahwa  suku bunga dan kurs berpengaruh terhadap pergerakan harga saham sektor keuangan, terdapat hubungan jangka panjang antara kurs dengan harga saham sektor keuangan, hasil kami juga menunjukkan dampak asimetris variabel kurs terhadap harga saham sektor keuangan, kami juga menemukan ketika kurs positif (apresiasi) pengaruhnya lebih rendah dibandingkan saat kurs negative (depresiasi).

scholarly journals DETERMINANT MODELS AFFECTING FINANCIAL PERFORMANCE AND STOCK RETURN COMPANIES REGISTERED IN INDONESIA STOCK EXCHANGE

2021 ◽  
Vol 19 (4) ◽  
pp. 905-924
Author(s):  
Sudarno Sudarno ◽  
◽  
Suyono Suyono ◽  
Yusrizal Yusrizal ◽  
Johannes Tambunan ◽  
...  
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Secondary Data ◽  
Predictive Ability ◽  
Multiple Linear Regression Analysis ◽  
Capital Adequacy ◽  
Operating Income ◽  
Independent Variables

This research aims to analyze the effect of Capital Adequacy Ratio (CAR), Operating Expenses to Operating Income Ratio (BOPO), Loan to Deposits Ratio (LDR), Net Interest Margin (NIM), and Non-Performing Loan Ratio (NPL) variables on ROA and Stock Return of Banks That Listed in the Indonesia Stock Exchange. The population in this research is all banks listed on the Indonesia Stock Exchange. At the same time, the samples are 30 companies. The sampling uses the purposive sampling method. Secondary data was obtained in the Indonesia Stock Exchange and Yahoo! Finance. The independent variables used are CAR, BOPO, LDR, NIM, and NPL. The data analysis technique used is multiple linear regression analysis by SmartPLS software. This research indicates that the LDR, NIM, and NPL variables have a significant effect on ROA. The CAR, BOPO, and NPL variables have a significant effect on Stock Return. The predictive ability of the independent variables (CAR, BOPO, LDR, NIM, and NPL) on ROA is 59.5%, as indicated by the value of Adjusted R Square is 59.5%, while the remaining is 40.5% influenced by other variables not included in this research. The independent variables (CAR, BOPO, NIM, and NPL) on Stock Returns have 13.3% of Adjusted R Square while the remaining is 86.7% influenced by other variables.

scholarly journals PENGUJIAN EMPIRIK ATAS EKSPOSUR EKONOMI YANG DIHADAPI OLEH PERUSAHAAN SEKTOR OTOMOTIF DI INDONESIA

2018 ◽  
Vol 4 (2) ◽  
Author(s):  
Romikul Ghurub
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Small Proportion ◽  
Stock Price ◽  
Stock Exchange ◽  
Automotive Sector ◽  
Distributed Lag ◽  
Foreign Currencies ◽  
The Exchange Rate ◽  
Japanese Yen

The purpose of the research is to know whether the automotive sector companies operating in Indonesia is facing economic exposure. This study uses the Distributed Lag regression to determine whether there is economic exposure that must be faced by the automotive subsector in Indonesian companies listed on the Indonesia Stock Exchange during the period 2008 to 2013 or not.The results of the analysis show that the effect of the company's external economic exposure in the show by the exchange rate against foreign currencies (U.S. dollar and Japanese yen) are not shown to significantly affect the price of shares in companies listed automotive sector The Indonesia Stock Exchange. The results of this analysis can occur due to factors that affect economic exposure not only fixated on the exchange rate against foreign currencies but also there are other factors that affect the economy, such as interest rates and inflation.The results of simultaneous test (F test ) and partial test ( t test ) which found results that support each addition has no significant effect , the rupiah exchange rate against the U.S. Dollar and Japanese Yen also has a coefficient of determination with such a small proportion is 2.8 % and 0.01%. Small proportion of this which reinforce that the rupiah exchange rate against foreign currencies does not have an influence on company's stock price. Keywords: Economic Exposure, Exchange Rate, Stock Price, Regression Distributed Lag

scholarly journals ANALYSIS RELATES TO THE IMPACT FROM MACROECONOMIC FACTORS TO BANKING STOCK RETURNS WHICH MEDIATED BY PROFITABILITY

2021 ◽  
Vol 2 (5) ◽  
pp. 742-755
Author(s):  
Hedwigis Esti Riwayati ◽  
Muhammad Affid Diena
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Path Analysis ◽  
Stock Returns ◽  
Banking Sector ◽  
Stock Exchange ◽  
Macroeconomic Factors ◽  
Financial Reports ◽  
Good Investment ◽  
The Impact

This research aims to analyze the impact which caused by macroeconomic factors to stock returns which mediated by profitability. This research used purposive sampling method with BUKU IV Banks who Listed on the Indonesia Stock Exchange as sample in this research period. The data was taken from the quarterly financial reports of the sample banks and Bank Indonesia. The analysis technique that used in this research are panel data regression and used path analysis to reveal the impact which caused by intervening variable. The results found that interest rates had no significant impact towards stock returns, while the inflation rate and the rupiah exchange rate had a direct significant impact on stock returns. Path analysis found that interest rates, inflation rates and Rupiah exchange rate had no significant affect on stock returns which indirectly mediated by profitability. This research results are very useful as an information for investors and stakeholders to determine good investment decisions in the banking sector.

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