Sumowo, Seno and Drs. Lukman Syamsuddin, MA. and Drs. Ubud Salim, MA. (2000) Analisis Indeks Harga Saham pada Industri Manufaktur yang Go-Publik di Bursa Efek Jakarta (BEJ). Magister thesis, Universitas Brawijaya.
Abstract
Indeks Harga Saham merupakan salah satu indikator utama yang menggambarkan pergerakan harga saham. Mengukur Indeks Harga Saham penting karena dapat memberikan informasi saham yang tercermin dari harga sahamnya dan bagi investor akan dapat membantu dalam mengadakan penilaian terhadap saham perusahaan melalui faktor-faktor yang mempengaruhi Indeks Harga Saham. Penelitian ini bertujuan untuk menganalisis pengaruh variabel-variabel Indeks Harga Saham pada Industri Manufaktur yang Go-Public di Bursa Efek Jakarta (BEJ). Pemilihan perusahaan manufaktur sebagai objek penelitian ini didasarkan pada pertimbangan bahwa sebagian besar dari seluruh perusahaan yang Go-Public di BEJ adalah bergerak di bidang industri manufaktur dan sekitar 90,56% dari seluruh volume perdagangan saham yang terjadi di Bursa Efek transaksinya dilakukan di BEJ. Objek penelitian adalah perusahaan manufaktur yang Go-Public di BEJ. Metode pengambilan sampel secara “purposive sampling”. Dari 38 perusahaan yang ada, terpilih 20 perusahaan sampel yang meliputi 7 perusahaan makanan dan minuman, 6 perusahaan farmasi dan 7 perusahaan tekstil, dengan periode penelitian 4 tahun (1994-1997). Alat analisis yang digunakan adalah regresi linier berganda dengan model Ordinary Least Square (OLS) dengan asumsi berdistribusi normal dan linier serta tidak terjadi Multikolinearitas, Heteroskedastisitas dan Autokorelasi. Dari hasil analisis Ordinary Least Square (OLS) terbukti secara simultan (a = 5%), variabel-variabel bebas yaitu Basic Earning Power (XI), Dividend Yield (X2), Price Earning Ratio (X3), Return On Equity (X4), Tingkat Inflasi (X5), Tingkat Suku Bunga Deposito (X6), Nilai Tukar Rupiah terhadap US Dollar (X7), Volume Penjualan Saham (X8) dan Harga Saham Masa Lalu (X9) berpengaruh signifikan terhadap Indeks Harga Saham (R2 = 0.55). Secara parsial terdapat 8 variabel berpengaruh signifikan terhadap Indeks Harga Saham. Enam variabel (XI, X2, X3, X4, X8, dan X9) berhubungan positif dan dua variabel (X5 dan X6) berhubungan negatif, sedangkan variabel X7 tidak berpengaruh signifikan terhadap Indeks Harga saham. Dari kesembilan variabel tersebut, X9 adalah variabel yang paling berpengaruh terhadap IHS. Berdasarkan hasil penelitian yang ada, disarankan kepada peneliti selanjutnya agar lebih banyak memasukkan variabel ekstemal perusahaan seperti variabel makro dan variabel non ekonomi yang sifatnya “Uncontrollable”, yang mana variabel-variabel tersebut berpengaruh sangat besar terhadap fluktuasi Indeks Harga Saham. xSUMMAR
English Abstract
Stock price index is one of the main indicators that reflect the stock price fluctuation. Measuring the Stock Price Index is important since it can provide information on stocks which are reflected in the prices. Furthermore, for investors it is a help in assessing a company’s stocks through the factors influencing the stock price index. This study aims at analysing the influence of the variables of stock price index at the “Go-Public” Manufacturing Industries at the Jakarta Stock Exchange (JSX). The manufacturing companies were selected as the study objects considering that the majority of the “Go-Public” companies at the Jakarta Stock Exchange (JSX) deal with manufacturing and that approximately 90.56% of the total volume of stock exchange occurs at the Jakarta Stock Exchange (JSX). The objects of study were the “Go-Public” manufacturing companies at the JSX. The method of sampling employed was the purposive random sampling. From the 38 companies registered, 20 samples were chosen, consisting of 7 food and beverages companies, 6 pharmaceutical companies, and 7 textile companies. The period of study was four years (1994 through 1997). The analysis employed the multiple linear regression method with the Ordinary Least Square (OLS), assuming that the distribution was normal and linear, without multi-colinearity, heteroscedasticity and auto-corellation. The Ordinary Least Square (OLS) analysis revealed that several independent variables operated simultaneously (a=5%) to provide a significant influence on the Stock Price Index (R2=0.55). They were the Basic Earning Power (Xi), Dividend Yield (X2), Price Earning Ratio (X3), Return on Equity (X4), Inflation Level (X5), Level of Deposit Interest (X&), Currency Exchange Rate Rupiah to the US Dollar (X7), Volume of Stock Traded (Xg) and Past Stock Price (X9). Partially eight variables had significant influence on the stock price index. Six of the variables (X|, X2, X3, X4, Xg and X9) were positively correlated, two variables (X5 and X e ) were negatively correlated, while X7 did not significantly influence the stock price index. Of the nine variables, X9 had the most significant influence on the stock price index. Based on the available study results, it is suggested that subsequent researchers include more external variables of the companies such as the macro and non-economic variables, which are “uncontrollable”, which have significant influence on the fluctuation of the stock price index. x
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | 040002 |
| Divisions: | S2/S3 > Magister Manajemen, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 11 Dec 2024 02:19 |
| Last Modified: | 11 Dec 2024 02:19 |
| URI: | http://repository.ub.ac.id/id/eprint/233520 |
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