Penggunaan Arbitrage Pricing Theory untuk Menganalisis Return Saham pada Perusahaan Sub Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2015-2021

https://doi.org/10.35912/rambis.v2i1.956
Published: Aug 11, 2022

Abstract:

Purpose: This research aimed to find out and analyze the impact of inflation, exchange rates, and gross domestic product to the stock returns on the banking companies listed on the Indonesian stock exchange (IDX) from2015 to 2021.

Method: The sample collection technique used in this study was purposive sampling technique with a total sample of 29 samples of banking companies. The research used descriptive and associative data analysis methods. The data analysis technique used is panel data regression analysis technique and using secondary data sources.

Results: The study results with simultaneous hypothesis testing showed that the inflation, exchange rates, and gross domestic product had a significant influence on the stock returns. Partial testing of the hypothesis showed that the exchange rates had a negative influence on the stock returns. Inflation and GDP there is no significant on the stock returns.

Limitations: Returns based on the difference in stock prices at the end of the year, using macroeconomic factors that are often used, are limited to companies in the banking sub-sector for the 2015-2021 period, and the value of determination is 16.99%, which means that there are many other factors that affect stock returns.

Contribution: This research can be used for adding knowledge in the investing, especially in the capital market, so as to minimize errors in investment decision making and consideration in investment activities in banking companies.

Keywords:
1. APT
2. Inflation
3. Exchange Rates
4. Stock Returns
Authors:
1 . Fitri Halimatus Sahdiah
2 . Fitriani Komara
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How to Cite
Sahdiah, F. H. ., & Komara, F. . (2022). Penggunaan Arbitrage Pricing Theory untuk Menganalisis Return Saham pada Perusahaan Sub Sektor Perbankan yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2015-2021 . Reviu Akuntansi, Manajemen, Dan Bisnis, 2(1), 1–13. https://doi.org/10.35912/rambis.v2i1.956
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Vol. 2 No. 1 (2022): Juni
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  2. Anoraga, P., & Pakarti, P. (2001). Pengantar Pasar Modal. Jakarta: Rineka Cipta.
  3. Chania, M. F., Sara, O., & Sadalia, I. (2021). Analisis Risk dan Return Investasi pada Ethereum dan Saham LQ45. Studi Ilmu Manajemen Dan Organisasi, 2(2), 139–150. https://doi.org/10.35912/simo.v2i2.669
  4. Duli, N. (2019). Metode Penelitian Kuantitatif: Beberapa Konsep Dasar Untuk Penulisan Skripsi & Analisis Data Dengan SPSS. Yogyakarta: Deepublish.
  5. Ekananda, M. (2014). Ekonomi Internasional. Jakarta: Erlangga.
  6. Fahmi, I. (2018). Pengantar Teori Portofolio dan Analisis Investasi. Alfabeta.
  7. Fitrianingsih, D., Kusmiyatun, K., & Kartikasari, T. (2022). Analisis Pengaruh Earning Per Share, Economic Value Added terhadap Return Saham Selama Pandemik Covid-19. Jurnal Akuntansi, Keuangan, Dan Manajemen, 3(3), 225–236. https://doi.org/10.35912/jakman.v3i3.1112
  8. Gujarati, D. N., & Porter, D. C. (2015). Dasar-Dasar Ekonometrika (5th ed.). Jakarta: Salemba Empat.
  9. Gumanti, T. A. (2011). Manajemen Investasi-Konsep, Teori dan Aplikasi. Jakarta: Mitra Wacana Media.
  10. Gusni, G., & Riantani, S. (2017). Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah. Jurnal Manajemen, 9(1), 68–84. https://doi.org/10.31937/manajemen.v9i1.598
  11. Hesniati, H., Ogawa, A. Y., Clarence, A., Topher, C., & Engelina, J. (2022). Pengaruh Inflation, Interest Rate, dan Exchange Rate terhadap IHSG di Bursa Efek Indonesia pada Tahun 2011-2021. Studi Ilmu Manajemen Dan Organisasi, 3(1), 261–271. https://doi.org/10.35912/simo.v3i1.1078
  12. Huda, N., & Nasution, M. E. (2014). Investasi pada Pasar Modal Syariah. Jakarta: Kencana Prendamedia Group.
  13. Ichsani, S., Susanti, N., & Suhardi, A. R. (2019). Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia. Integrated Journal of Business and Economics, 3(2), 179. https://doi.org/10.33019/ijbe.v3i2.160
  14. Jabarin, M., Nour, A., & Atout, S. (2019). Impact of macroeconomic factors and political events on the market index returns at Palestine and Amman stock markets (2011-2017). Investment Management and Financial Innovations, 16(4), 156–167. https://doi.org/10.21511/imfi.16(4).2019.14
  15. Mankiw, G. (2007). Makroekonomi. Jakarta: Erlangga.
  16. Marsintauli, F. (2019). Analisis Pengaruh Roe, Ukuran Perusahaan, Tingkat Inflasi Dan Tingkat Kurs Terhadap Return Saham. Business Economic, Communication, and Social Sciences (BECOSS) Journal, 1(1), 99–107. https://doi.org/10.21512/becossjournal.v1i1.5981
  17. Maryanne, D. M. D. (2009). Pengaruh Nilai Tukar Rupiah, Suku Bunga SBI, Volume Perdagangan Saham, Inflasu dan Beta Saham terhadap Harga Saham (Tesis). Program Magister Manajemen Universitas Diponegoro?: Semarang.
  18. Mayfi, & Rudianto. (2014). Analisis Pengaruh Faktor Internal dan Eksternal Perusahaan Terhadap Return Saham. Jurnal MIX, IV, 3.
  19. Natsir. (2014). Ekonomi Moneter & Kebanksentralan. Jakarta: Mitra Wacana Media.
  20. Nopirin. (2012). Pengantar Ilmu Ekonomi Mikro Makro. Yogyakarta: BPFE.
  21. Nugroho, L., Wiwik, U., Caturida, M. D., & Soeharjoto, Soekapdjo Tengku, C. H. (2017). Islamic banking capital challenges to increase business expansion (Indonesia cases). International Journal of Commerce and Finance, 3(2), 1–10.
  22. Putra, I. N. S. A., & Budiasih, I. G. A. . (2016). Pengaruh Produk Domestik Bruto Negara Indonesia, Ukuran Perusahaan Pada Return Saham. E-Jurnal Akuntansi Universitas Udayana Vol.17.1. Oktober (2016): 283-310, 53(9), 1689–1699.
  23. Rasbin, Ginting, A. M., Mauleny, A. T., Sayekti, N. W., Lisnawati, & Satya, V. E. (2015). Peran Sektor Keuangan Terhadap Perekonomian Indonesia (C. M. Firdausy (Ed.)). Pusat Pengkajian, Pengolahan Data dan Informasi (P3DI).
  24. Reilly, & Brown. (2000). Investment Analysis and Portofolio Management. USA: The Dryden Press.
  25. Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Surabaya: Erlangga.
  26. Sapkota, S. P. (2019). Impact of Stock Market-specific and Macro-economic Variables on Stock Return. Contemporary Research: An Interdisciplinary Academic Journal, 3(1), 56–66. https://doi.org/10.3126/craiaj.v3i1.27491
  27. Saputri, D., Tahmat, Garnia, E., & Rizal, D. (2019). Pengaruh Inflasi, Suku Bunga, Nilai Tukar Dan Produk Domestik Bruto Terhadap Return Saham Sektor Pertanian Dan Sektor Pertambangan Periode 2009-2019. JEMPER (Jurnal Ekonomi Manajemen Perbankan), 2(2), 112–120. https://doi.org/https://doi.org/10.32897/jemper.v2i2.418
  28. Siregar, E. I., & Diana. (2019). The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT)). KnE Social Sciences, 2019, 744–772. https://doi.org/10.18502/kss.v3i26.5412
  29. Soeharjoto, S., & Hariyanti, D. (2019). Pengaruh makro ekonomi dan fundamental perusahaan terhadap kinerja perbankan syariah di Indonesia (The influence of macroeconomic and company fundamentals on sharia banking performance in Indonesia). Jurnal Keuangan, Akuntansi, Dan Manajemen (Jakman), 1(1), 1–8.
  30. Soekapdjo, S., Nugroho, L., Badawi, A., & Utami, W. (2018). Bad debt issues in Islamic bank: macro and micro influencing (Indonesia cases). International Journal of Commerce and Finance, 4(1), 20–26.
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  32. Tandelilin, E. (2017). Pasar Modal Manajemen Portofolio & Investasi. Yogyakarta: PT Kanisius.
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