REAKSI HARGA SAHAM PERUSAHAAN AGRIBISNIS INDEKS LQ-45 TERHADAP PERUBAHAN VARIABEL MAKROEKONOMI

Main Article Content

Alghif Aruni Nur Rukman
Harianto Harianto
Suprehatin Suprehatin

Abstract

This study aims to analyze the effect of changes in macroeconomic variables, namely exchange rates, interest rates, and inflation on stock prices of agribusiness companies on the LQ-45 index. This study used monthly time series data from 2008-2018 and analyzed by the VECM method. The results showed that the stock price reaction of eight agribusiness companies in the LQ-45 index varies with changes in macroeconomic variables both in the short and long term. In the short term, changes in exchange rates had a positive and significant effect on one company stock prices, while changes in inflation and interest rates had a negative and significant effect on four companies and one company respectively. In the long term, the results showed that changes in exchange rates had a positive and significant effect on two companies’ stock prices, while it had a negative and significant effect on five companies. The result also showed that changes in inflation had a positive and negative effect on one company and six companies respectively in the long term. Also besides changes in interest rates had a positive and negative effect on two companies’ stock prices respectively.

Downloads

Download data is not yet available.

Article Details

How to Cite
RukmanA. A. N., HariantoH., & SuprehatinS. (2019). REAKSI HARGA SAHAM PERUSAHAAN AGRIBISNIS INDEKS LQ-45 TERHADAP PERUBAHAN VARIABEL MAKROEKONOMI. Jurnal Agribisnis Indonesia (Journal of Indonesian Agribusiness), 7(2), 129-140. https://doi.org/10.29244/jai.2019.7.2.129-138
Section
Articles

References

Abu FRA. 2011. Pengaruh harga minyak
dunia dan variabel makroekonomi terhadap indeks harga saham (studi komparatif : Asia Tenggara, Asia Timus, Eropa dan Amerika). (Tesis). Bogor : Institut Pertanian Bogor.

Al-Majali AA and Al-Assaf GI. 2014.Long run and the short-run relationship between the stock market index and main macroeconomic variables performance in Jordan. European Scientific journal. 10(10): 156-171.

[BKPM] Badan Koordinasi Penanaman
Modal (ID). 2018. Realisasi Penanaman Modal PMDN-PMA. Jakarta : Badan Koordinasi Penanaman Modal.

[BPS] Badan Pusat Statistik (ID). 2018.
Laporan Perekonomian Indonesia tahun 2017. Jakarta: Badan Pusat Statistik.

Caporale MG and Soliman. 2013. Stock prices and Monetary policy an impulse response analysis. International Journal of Economics and Financial Issues. 3(3): 701-709.

Dirga SP, Siregar H, Sinaga BM. 2016.
Analisis pengaruh variabel makroekonomi terhadap return kelompok saham subsektor perkebunan. Jurnal Aplikasi Manajemen. 14(3): 595-607.

Efni Y.2013. Pengaruh suku bunga deposito,
SBI, Kurs dan Inflasi terhadap Harga Saham Perusahaan Real Estate dan Porperty di BEI. Jurnal Ekonomi. 17(1) : 1-12.

Firdaus M. 2011. Aplikasi Ekonometrika
Untuk Data Panel dan Time Series. Ed. ke-7. Bogor: IPB Press.

Global Entrepreneurship Index. 2018. The
Global Entrepreneurship Index. Washington, D.C (US).

Hadiansyah N, Gunawan BH. 2017. Analisis
Makroekonomi dan Fundamental Terhadap Harga Saham Perbankan Yang Terdaftar Pada Indeks LQ 45. Jurnal Ekonomi Bisnis. Vol 22 : 26-36.
[IDX] Bursa Efek Indonesia (ID). 2010. Buku
panduan Indeks Harga Saham Bursa Efek Indonesia. Jakarta: Indonesia Stock Exchange.

Jayadin. 2011. Analisis Pengaruh
Makroekonomi, IHSG dan Harga Minyak Dunia Terhadap Return Saham-Saham Energi dan Pertambangan Energi. [Tesis]. Bogor: Institut Pertanian Bogor.

Juanda B, Junaidi. 2012. Ekonometrika Deret
Waktu. Ed. Ke-1. Bogor: IPB Press.

Lawrence SS. 2013. Pengaruh variabel
makroekonomi dan harga komoditas terhadap indeks harga saham gabungan di Indonesia. Jurnal Finesta. 1(2): 18-23.

Maysami RC, Kho TS (2000). A vector error
correction model of the Singapore stock market. International Review of Economics and Finance. 9(1): 79-96.

Kuwornu JKM. 2011. Macroeconomic variables and stock market full information maximum likelihood estimation. Research Journal of Finance and Accounting. 2(4): 49-63.

Nurhidayat R. 2009. Pengaruh Variabel
Ekonomi Makro Terhadap Return Saham Properti pada Bursa Efek Indonesia. Kajian Ekonomi dan Keuangan. Departemen Keuangan Republik Indonesia. 13(2) : 1-13.

[OJK] Otoritas Jasa Keuangan (ID). 2017. Highlight sektor Subbagian Agrobisnis. Jakarta: Otoritas Jasa Keuangan.

Pasaribu RBF, Firdaus M. 2013. Analisis
pengaruh variabel makroekonomi terhadap indeks saham syariah Indonesia. Journal Ekonomi dan Bisnis. 7(2): 117-128.

Palatte dan Akbar. 2014. Pengaruh nilai tukar
mata uang dan tingkat Suku bunga BI terhadap perkembangan indeks harga saham gabungan di bursa efek Indonesia periode 2009-2013. Jurnal Manajemen. 1(2): 39-57.

Polakitan DC. 2015. Analisis komparasi risiko
saham LQ 45 dan non LQ 45 pada beberapa sub sektor perusahaan yang terdaftar di Bursa Efek Indonesia. Jurnal Riset Bisnis dan Manajemen. 3(1): 61-72.

Prakoso DN, Firdaus M dan Andati T. 2018.
Pengaruh variabel makroekonomi terhadap return indeks LQ-45 dan Pefindo 25. Jurnal Aplikasi Manajemen dan Bisnis. 4(3): 387 – 397.

Prio SD. 2010. Pengaruh pasar saham dunia
dan variabel makroekonomi terhadap IHSG dan LQ45 [tesis]. Bogor (ID): Institut Pertanian Bogor.

Purwanti ES, Arsinta Y, Arisanti NFD dan
Azizah IN. 2014. Dampak impor terhadap inflasi Indonesia triwulan 1 tahun 2014. Economics Development Analysis Journal. 3(2): 381-392.

Rakasetya GG, Darminto dan Dzulkirom.
2013. Pengaruh faktor mikro dan faktor makro ekonomi terhadap harga saham perusahaan mining and mining services yang terdaftar di bursa efek Indonesia (BEI) periode 2008-2011. Jurnal Administrasi Bisnis. 6(2) : 1-12.

Satria, Made WA dan Sudjarni LK. 2016.
Pengaruh tingkat Suku bunga BI, tingkat inflasi, nilai kurs rupiah dan produk domestic bruto terhadap return saham. Jurnal Manajemen Unud. 5(6) : 3392-3240.

Sensus Pertanian. 2014. Analisis Rumah
Tangga, Lahan, dan Usaha Pertanian di Indonesia : sensus pertanian 2013. Direktorat Pangan dan Pertanian. Kementrian Perencanaan Pembangunan Nasional.

Singh T. Mehta S. and Varsha MS. 2011.
Macroeconomic factors and stock return: evidence from Taiwan. Journal of Economics and International Finance. 2(4) : 217-227.

Suselo D. 2015. Pengaruh Variabel
Fundamental dan Makro Ekonomi terhadap Harga Saham (Studi pada Perusahaan yang masuk dalam indeks LQ45). Jurnal Aplikasi Manajemen. 13(1) : 104 – 116.

Suyati S. 2015. Pengaruh inflasi, tingkat suku
bunga dan nilai tukar rupiah/us dollar terhadap return saham property yang terdaftar di bursa efek Indonesia. Jurnal Ilmiah UNTAG Semarang. 4(3) : 70 – 86.

Talla JT. 2013. Impact of Macroeconomic
Variables on the stock Market Prices of the Stockholm Stock Exchange. [thesis]. Master`s thesis in International Financial Analysis. Jonkoping International Business School.

Yogaswari DD, Nugroho AD dan Astuti NC.
2012. The Effect of Macroeconomic Variables on Stock Price Volatility Evidence from Jakarta Composite Index, Agriculture, and Basic Industry Sector. Journal of Business and Management. 46: 96-100.