EFFECT OF MACROECONOMIC VARIABLES ON THE TELECOMMUNICATION SECTOR SHARE RETURN
DOI:
https://doi.org/10.38035/dijefa.v1i6.686Keywords:
Macroeconomics, GDP, Inflation, Rupiah Exchange Rate, Interest Rates and Stock Returns.Abstract
This study aims to see the effect of macroeconomic factors on stock returns in telecommunications companies listed on the Indonesia Stock Exchange for the period 2015 to 2020. The factors analyzed in this study are GDP, inflation, interest rates, and the rupiah exchange rate as independent variables and stock returns. as the dependent variable. The data analyzed in this study belong to the type of quantitative research. By selecting samples using purposive sampling obtained as many as 4 samples of telecommunications companies. The method of analysis of this study uses panel data regression and the data used in this study are secondary data. The results of this study indicate that the coefficient of determination (R2) is 26.32%, while the remaining 73.68% is the fact by other factors outside the study. The results of this study indicate that the GDP variable does no effect on telecommunications stock returns. However, the Inflation and Exchange Rate variables have a significant effect on stock returns with a negative effect. Meanwhile, the interest rate variable has a significant effect on stock returns with a positive effect on stock returns of telecommunications companies listed on the Indonesia Stock Exchange for the 2015-2020 period.
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Badan Pusat Statistik. (2018). Survei Sosial Ekonomi Nasional (Susenas Tahun 2018): Jakarta Pusat
Badan Pusat Statistik. Jakarta Pusat (2019). Statistik Indonesia Tahun 2019. Jakarta Pusat: Badan Pusat Statistik.
Bodie, Z., Kane, A. & Alan J.M. (2006). Investments, Buku 2, Edisi 6, Salemba Empat, Jakarta.
Bodie, Z., Kane, A. & Marcus (2010). Investments. Tenth Edition. New York: McGraw-Hill Education.
Boediono. (2011). Ekonomi Makro, Seri Sinopsis Pengantar Ilmu Ekonomi. Yogyakarta: BPFE.
Chen, N. F., Roll, R. & Ross, S.A. (1986). Economic Forces and the Stock Market. The Journal of Business, Vol. 59, No. 3, 383-403.
Donatas Pilinkus, D. & Boguslauskas, V (2009). The Short-Run Relationship between Stock Market Prices and Macroeconomic Variables in Lithuania: An Application of the Impulse Response Function. Inzinerine Ekonomika-Engineering Economics (5). ISSN 1392 – 2785.
Endri., Abidin, Z., Simanjuntak, T.P. & Nurhayati, I. (2020). Indonesian Stock Market Volatility: GARCH Model. Montenegrin Journal of Economics Vol. 16, No. 2 (2020), 7-17. DOI: 10.14254/1800-5845/2020.16-2.1.
Fauzan, M. & Suhendro, D. (2018). Pengaruh Kurs Rupiah dan Right Issue Terhadap Harga Saham PT. Telekomunikasi Indonesia TBK yang Listing di Jakarta Islamic Index. Prosiding SENDI_U. ISBN 978-979-3649-99-3.
Haanurat, A.I. (2013). Pengaruh Karakteristik Perusahaan dan Ekonomi Makro Terhadap Return Saham Syariah yang Listing di Jakarta Islamic Index. Jurnal Manajemen dan Bisnis Vol. 3 No.2: 115-134.
Indriantoro, N. & Supomo, B. (2013). Metodologi Penelitian Bisnis Untuk Akuntansi & Manajemen. Yogyakarta: BPFE.
Martalena & Malinda, M. (2011). Pengantar Pasar Modal. Edisi 1. Andi. Yogyakarta.
Marsintauli, F. (2019). Analisis Pengaruh ROE, Ukuran Perusahaan, Tingkat Inflasi dan Tingkat Kurs Terhadap Return Saham. Jurnal Becoss (Business Economic, Communication, and Social Sciences), Vol.1, No.1. 99-107. e-ISSN: 2686-2557.
Ross, S. (1976). The Arbitrage Pricing Theory of Capital Asset Pricing. Jornal of Economic Theory 13: 341-360.
Rumengan, A.W., Tommy, P. & Taroreh, R. (2015). Tingkat Inflasi, Suku Bunga, Earning Pershare, dan Devidend Payout Ratio Pengaruhnya Terhadap Harga Saham Perusahaan Telekomunikasi yang go Public di Bursa Efek Indonesia. Jurnal EMBA 757 Vol.3 No.3, Hal.757-765. ISSN 2303-11.
Satria, P.W & Norita. (2017). Analisis Faktor Fundamental Serta Faktor Makroekonomi Dan Pengaruhnya Terhadap Return Saham (Studi Pada Perusahaan Telekomunikasi yang Terdaftar di Bursa Efek Indonesia Periode 2011-2015). e-Proceeding of Management.Vol.4, No.1. Page 187. ISSN 2355-9357.
Sari, R. (2018). Efek Faktor Makroekonomi pada Harga Saham: Metode Regresi Panel. Journal of Management and Bussines. Vol.1. No.1. Hal. 63 -76. ISSN (online) : 2615 – 8590.
Singh, T., Mehta, S & Varsha, M.S. (2011). Macroeconomic factors and stock returns: Evidence from Taiwan. Journal of Economics and International Finance Vol. 2(4), pp.217-227. ISSN 2006-9812.
Sugiyono. (2013). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung: Alfabeta.CV.
Sukirno, S. (2008). Mikroekonomi: Teori Pengantar. Edisi Ketiga. Jakarta: PT Raja Grafindo Persada
Sukrino, S. (2010). Makroekonomi. Teori Pengantar. Edisi Ketiga. PT. Raja Grasindo Perseda. Jakarta.
Sunayah, S., Ibrahim, Z. & Hasanuddin, S.M. (2016). Analisis Pengaruh Perubahan Variabel Makroekonomi Terhadap Return Saham Syariah PT. Telekomunikasi Indonesia, TBK. Periode 2011-2013. Islamiconomic: Jurnal Ekonomi Keuangan dan Bisnis Islam Volume. 7 No. 1. P-ISSN: 2085-3696.
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Edisi pertama. Yogyakarta: Kanisius.
Yahoo Finance. Historical price PT Indosat Tbk (ISAT) 2015-2019. Diunduh dari http://finance.yahoo.com pada 07 September 2020.
Yahoo Finance. Historical price PT Smartfren Telecom Tbk (FREN) 2015-2019. Diunduh dari http://finance.yahoo.com pada 07 September 2020.
Yahoo Finance. Historical price PT Telekomunikasi Tbk (TLKM) 2015-2019. Diunduh dari http://finance.yahoo.com pada 07 September 2020.
Yahoo Finance. Historical price PT XL Axiata Tbk (EXCL) 2015-2019. Diunduh dari http://finance.yahoo.com pada 07 September 2020.
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2021-02-19
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