ANALISIS PENGARUH VARIABEL EKONOMI MAKRO DAN
EKONOMI MIKRO TERHADAP VOLATILITAS INDEKS SAHAM LQ45
DI BURSA EFEK INDONESIA (PERIODE 2009:01 – 2014:09)
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Institusion
Universitas Lampung
Author
GITA NOVIANTY, 1111021054
Subject
HB Economic Theory
Datestamp
2015-06-25 03:48:10
Abstract :
ABSTRAK Penelitian ini bertujuan untuk mengetahui dan menganalisis pengaruh variabel ekonomi makro dan ekonomi mikro terhadap volatilitas Indeks Saham LQ45. Variabel ekonomi makro dalam penelitian ini adalah nilai tukar, inflasi, BI Rate, Produk Domestik Bruto (PDB), dan volume perdagangan, sedangkan variabel ekonomi mikro adalah Earning Per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), dan Return On Equity (ROE). Data yang digunakan adalah data time-series dengan periode penelitian Januari 2009 sampai September 2014. Analisis yang digunakan dalam penelitian ini adalah metode analisis deskriptif kuantitatif dengan menggunakan tiga model, pertama model variabel ekonomi makro dan ekonomi mikro secara bersama-sama terhadap volatilitas Indeks Saham LQ45, model kedua yaitu variabel ekonomi makro terhadap volatilitas Indeks Saham LQ45, dan model yang ketiga yaitu variabel ekonomi mikro terhadap volatilitas Indeks Saham LQ45. Untuk melihat pengaruh antara satu variabel dependen dengan variabel independen dilakukan dengan menggunakan metode Error Correction Model (ECM), sedangkan untuk mengukur volatilitas Indeks Saham LQ45 digunakan analisis ARCH-GARCH. Hasil estimasi menggunakan tiga model penelitian dengan metode ECM menunjukkan bahwa dalam jangka pendek variabel ekonomi makro dan ekonomi mikro secara bersama-sama signifikan terhadap volatilitas Indeks Saham LQ45. Secara parsial variabel nilai tukar, volume perdagangan, EPS, PBV, DER, dan ROE berpengaruh signifikan, sedangkan inflasi, BI Rate, dan PDB tidak signifikan. Berdasarkan analisis ARCH-GARCH, model yang pertama mengandung unsur ARCH dan GARCH, model yang kedua hanya memiliki unsur ARCH, dan model yang ketiga tidak mengandung unsur ARCH. Selain itu hasil penelitian menunjukkan bahwa volatilitas Indeks Saham LQ45 yang terjadi tinggi dan berlangsung terus-menerus. Kata Kunci : Volatilitas Indeks Saham LQ45, variabel ekonomi makro (nilai tukar, inflasi, BI Rate, PDB, volume perdagangan), variabel ekonomi mikro (EPS, PBV, DER, ROE), Error Correction Model (ECM), ARCH-GARCH. ABSTRACT This research aims to know and analyze the influence of macro-economic and micro-economic variable toward volatility Index LQ45 shares. Macro-economic variables in this research are the exchange rate, inflation, BI Rate, Gross Domestic Product (GDP) and trade volume , while the micro-economic is earning Per Share (EPS ), Price to Book Value (PBV), Debt to Equity Ratio (DER), and return On Equity (ROE ). Data used in this research was time-series data in research periode of January 2009 until September 2014. Data analysis method used in this research was desktiptif quantitative analysis method by using three models , the first is macro-economic and micro-economic variable analyzed together against volatility Index LQ45, second model is macro-economic variables to volatility Index LQ45 shares, and the third model was micro-economic variables to volatility Index LQ45 shares. The methode used to see the influence between dependent variable and independent variables was error correction Model ( ECM), while to measure volatility of Index LQ45 used analysis of ARCH-GARCH. Result of the estimation by using three research models with ECM method shows that in the short-term, both macro-economic and micro-economic variable together significant to Share Index LQ45 volatility. Partialy, exchange rate, trade volume, EPS, PBV, DER, and ROE significantly affect, while inflation, BI Rate, and Gross Domestic Product does not significantly affect. Based on the analysis of ARCH-GARCH, the first model contains elements ARCH and GARCH, the second model have only elements ARCH, and third model that does not contain elements ARCH. In addition, results of the study showed that volatility Index LQ45 relaticely high and keep going. Key words : Volatility Index LQ45, macro-economic variables, ( Exchange rate, inflation, BI Rate, Gross Domestic Product, trade volume), microeconomic variables (EPS, PBV, DER, ROE), error correction Model (ECM), ARCH-GARCH.
ABSTRAK Penelitian ini bertujuan untuk mengetahui dan menganalisis pengaruh variabel ekonomi makro dan ekonomi mikro terhadap volatilitas Indeks Saham LQ45. Variabel ekonomi makro dalam penelitian ini adalah nilai tukar, inflasi, BI Rate, Produk Domestik Bruto (PDB), dan volume perdagangan, sedangkan variabel ekonomi mikro adalah Earning Per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), dan Return On Equity (ROE). Data yang digunakan adalah data time-series dengan periode penelitian Januari 2009 sampai September 2014. Analisis yang digunakan dalam penelitian ini adalah metode analisis deskriptif kuantitatif dengan menggunakan tiga model, pertama model variabel ekonomi makro dan ekonomi mikro secara bersama-sama terhadap volatilitas Indeks Saham LQ45, model kedua yaitu variabel ekonomi makro terhadap volatilitas Indeks Saham LQ45, dan model yang ketiga yaitu variabel ekonomi mikro terhadap volatilitas Indeks Saham LQ45. Untuk melihat pengaruh antara satu variabel dependen dengan variabel independen dilakukan dengan menggunakan metode Error Correction Model (ECM), sedangkan untuk mengukur volatilitas Indeks Saham LQ45 digunakan analisis ARCH-GARCH. Hasil estimasi menggunakan tiga model penelitian dengan metode ECM menunjukkan bahwa dalam jangka pendek variabel ekonomi makro dan ekonomi mikro secara bersama-sama signifikan terhadap volatilitas Indeks Saham LQ45. Secara parsial variabel nilai tukar, volume perdagangan, EPS, PBV, DER, dan ROE berpengaruh signifikan, sedangkan inflasi, BI Rate, dan PDB tidak signifikan. Berdasarkan analisis ARCH-GARCH, model yang pertama mengandung unsur ARCH dan GARCH, model yang kedua hanya memiliki unsur ARCH, dan model yang ketiga tidak mengandung unsur ARCH. Selain itu hasil penelitian menunjukkan bahwa volatilitas Indeks Saham LQ45 yang terjadi tinggi dan berlangsung terus-menerus. Kata Kunci : Volatilitas Indeks Saham LQ45, variabel ekonomi makro (nilai tukar, inflasi, BI Rate, PDB, volume perdagangan), variabel ekonomi mikro (EPS, PBV, DER, ROE), Error Correction Model (ECM), ARCH-GARCH. ABSTRACT This research aims to know and analyze the influence of macro-economic and micro-economic variable toward volatility Index LQ45 shares. Macro-economic variables in this research are the exchange rate, inflation, BI Rate, Gross Domestic Product (GDP) and trade volume , while the micro-economic is earning Per Share (EPS ), Price to Book Value (PBV), Debt to Equity Ratio (DER), and return On Equity (ROE ). Data used in this research was time-series data in research periode of January 2009 until September 2014. Data analysis method used in this research was desktiptif quantitative analysis method by using three models , the first is macro-economic and micro-economic variable analyzed together against volatility Index LQ45, second model is macro-economic variables to volatility Index LQ45 shares, and the third model was micro-economic variables to volatility Index LQ45 shares. The methode used to see the influence between dependent variable and independent variables was error correction Model ( ECM), while to measure volatility of Index LQ45 used analysis of ARCH-GARCH. Result of the estimation by using three research models with ECM method shows that in the short-term, both macro-economic and micro-economic variable together significant to Share Index LQ45 volatility. Partialy, exchange rate, trade volume, EPS, PBV, DER, and ROE significantly affect, while inflation, BI Rate, and Gross Domestic Product does not significantly affect. Based on the analysis of ARCH-GARCH, the first model contains elements ARCH and GARCH, the second model have only elements ARCH, and third model that does not contain elements ARCH. In addition, results of the study showed that volatility Index LQ45 relaticely high and keep going. Key words : Volatility Index LQ45, macro-economic variables, ( Exchange rate, inflation, BI Rate, Gross Domestic Product, trade volume), microeconomic variables (EPS, PBV, DER, ROE), error correction Model (ECM), ARCH-GARCH.
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