Analisis Pengaruh Variabel EPS dan Makroekonomi terhadap Return Saham Jakarta Islamic Index Sektor Pertanian
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Published:
Jun 19, 2015
Keywords:
EPS, islamic stock, macroeconomic, return, VECM
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Abstract
The agricultural sector of islamic stock has a downward trend of return and often gives negative return, thereby it reduces the interest of investors to buy similar stocks. This study aims to examine the effect of Earning Per Share (EPS), exchange rate, money supply, SBI interest rate and world gold prices toward stock return of PT Astra Agro Lestari Tbk (AALI) and stock return of PT PP London Sumatra Indonesia Tbk (LSIP) as representatives of agricultural stock. The method used is the Vector Error Correction Model (VECM) with monthly time series data from August 2011 to December 2014. In the long term, the results showed that the EPS significantly positive effect on the return of AALI and LSIP , exchange rates significantly positive effect on the return of LSIP, money supply significantly negative effect on the return of AALI and LSIP, SBI interest rate significantly negative effect on the return of LSIP and world gold prices significantly negative effect on the return of AALI. Money supply predominantly contribute toward the changes of the return of AALI and LSIP.
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[BEI] Bursa Efek Indonesia. 2014. Laporan Keuangan 2014 PT PP London Sumatera
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[BI] Bank Indonesia. 2015. Data Statistik Tingkat Inflasi [internet].[diunduh 2015 Feb 12]. Tersedia pada: http://www.bi.go.id/.
[BI] Bank Indonesia. 2015. Data Statistik Tingkat Suku Bunga Bank Indonesia [internet].[diunduh 2015 Feb 12]. Tersedia pada: http://www.bi.go.id/.
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[BI] Bank Indonesia. 2015. Lelang Sertifikat BI [internet].[diunduh 2015 Feb 25]. Tersedia pada: http://www.bi.go.id/.
[BI] Bank Indonesia. 2015. Statistik Ekonomi Keuangan Indonesia [internet]. [diunduh 2015 Feb 12]. Tersedia pada: http://www.bi.go.id/.
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[BPS] Badan Pusat Statistik. 2014. Ekspor Komoditas [internet]. [diunduh 2015 Apr 7]. Tersedia pada: http://www.bps.go.id/.
[BPS] Badan Pusat Statistik. 2014. CPI Indonesia [internet]. [diunduh 2015 Apr 27]. Tersedia pada: http://www.bps.go.id/.
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El-Nader, Mohammed H, Alramony, Diab A. 2012. The Impact of Macroeconomic Factors on Amman Stock Market Returns [jurnal]. Toronto (ID): Journal of Economics and Finance Volume 4 Issues 12 h.202-213.
Firdaus M. 2011. Aplikasi Ekonometrika untuk Data Panel dan Time Series. Bogor (ID): IPB Press.
Issahaku H, Ustarz Y, Domanban PB. 2013. Macroeconomic Variable and Stock Market Returns in Ghana: Any Causal Link? [jurnal]. Tamale [ID]: Asian Economic and Financial Review h.1044-1062.
Juanda B, Junaidi. 2012. Ekonometrika Deret Waktu. Bogor (ID): IPB Press.
[KEI] Kebun Emas Indonesia. 2012. Kapan Harga Emas Naik. [internet] [diunduh 2015 Mar
15]. Tersedia pada: http://kebunemasindonesia.com/
[LGF] London Gold Fixing. 2001. London Golf Fixing Prices [internet]. [diunduh 2015 Feb 16]. Tersedia pada: http://www.goldfixing.com/.
[LSIP] PT PP London Sumatera Indonesia Tbk. 2013. Annual Report 2013 [interner].[diunduh 2015 Apr 1].Tersedia pada: http://www.londonsumatra.com/.
Manan A. 2009.Aspek Hukum dalam Penyelenggaraan Investasi di Pasar Modal Syariah Indonesia. Jakarta (ID): Kencana.
Mankiw NG. 2007. Makroekonomi. Liza F, Nurmawan I, penerjemah. Jakarta (ID): Erlangga. Terjemahan dari: Macroeconomics. Edisi ke-6.
Negara produsen CPO terbesar. 2014. Index Mundi [internet]. [diunduh 2015 Apr 26]. Tersedia pada: http://www.indexmundi.com/.
[OJK] Otoritas Jasa Keuangan. 2015. Jumlah Saham Syariah [internet]. [diunduh 2015 Jan 9]. Tersedia pada http://www.ojk.go.id/.
Purnawan I. 2014. Analisis Pengaruh Makroekonomi Domestik dan Makroekonomi Global terhadap Indeks Saham Syariah Indonesia (ISSI) periode 2011-2014 [skripsi]. Bogor (ID): Institut Pertanian Bogor.
Samsul M. 2006. Pasar Modal dan Manajemen Portofolio. Jakarta (ID): Erlangga.
Sari W. 2013.Analisis Pengaruh Fundamental dan Kondisi Ekonomi terhadap Return Saham (Studi Kasus pada Perusahaan Perbankan (BUMN) yang Terdaftar di Bursa Efek Indonesia Periode 2005 – 2012) [jurnal]. Malang (ID): Jurnal Ilmiah Mahasiswa FEB.
Sharpe WF, Alexander GJ, Bailey JV. 1997. Investasi. Njooliangtik H, Agustiono, penerjemah. Jakarta (ID): Prenhallindo. Terjemahan dari: Investment. Jilid ke-2.
Soemitra A. 2009. Bank & Lembaga Keuangan Syariah.Jakarta (ID): Kencana.
Sunariyah.2006. Pengantar Pengetahuan Pasar Modal. Yogyakarta (ID): UPP STIM YKPN.
Tangjitprom N. 2012. The Review of Macroeconomic Factors and Stock Returns.
Bangkok (ID): International Business Research Volume 5 No. 8 h.107-115.
[TE] Trading Economics. 2014. CPI United States of America [internet]. [diunduh 2015 Apr 27]. Tersedia pada: http://www.tradingeconomics /.
Yulianti. 2013. Analisis Pengaruh Fundamental Makroekonomi terhadap Return Saham Indeks Sektor Properti di Bursa Efek Indonesia tahun 2007-2013 [skripsi]. Semarang (ID): Universitas Diponegoro.