ABSTRAK
PENGARUH FAKTOR-FAKTOR FUNDAMENTAL DAN
MAKROEKONOMI TERHADAP RISIKO SISTEMATIS (BETA) SAHAM PADA PERUSAHAAN INDEKS KOMPAS 100 DI BURSA EFEK
INDONESIA (BEI) PERIODE 2011 – 2014
Penelitian ini bertujuan untuk meneliti bagaimana Pengaruh Faktor-Faktor Fundamental dan Makroekonomi Terhadap Risiko Sistematis (Beta) Saham Pada Perusahaan Indeks Kompas 100 Di Bursa Efek Indonesia (BEI) Periode 2011 – 2014”.Teknik analisis data yang digunakan adalah analisis linear berganda dengan metode Ordinary Least Square. Populasi dalam penelitian ini berjumlah 100 emiten. Sampel diambil berdasarkan kriteria tertentu. Berdasarkan kriteria tersebut jumlah sampel penelitian ini sebanyak 36 emiten.. Hasil dari penelitian ini menunjukkan bahwa secara bersama-sama Faktor Fundamental yang terdiri dari Dividend Payout, Asset Growth, Debt to Equity Ratio (DER), Current Ratio ,
Earning Variability, Return on Equity (ROE) dan Variabel Makroekonomi yang
terdiri dari Tingkat suku bunga, Inflasi dan Nilai Tukar (Kurs) berpengaruh signifikan terhadap Beta Saham. Namun, secara parsial, Return on Equity (ROE) berpengaruh negatif signifikan terhadap Beta Saham, Dividend Payout Ratio, Debt to Equity Ratio (DER), Earning Variability, Tingkat suku bunga berpengaruh
negatif tidak signifikan terhadap Beta Saham, dan Asset Growth, Current Ratio, Inflasi ,dan Nilai Tukar (Kurs) berpengaruh positif tidak signifikan terhadap beta saham.
Kata Kunci: Faktor Fundamental, Variabel Makroekonomi, Beta Saham.
ABSTRACT
THE INFLUENCE OF FUNDAMENTAL FACTORS AND
MACROECONOMICS TO BETA STOCK IN KOMPAS 100 INDEX OF THE PERIOD 2011 – 2014.
This study aims to examine how The Influence Of Fundamental Factors And
Macroeconomics To Beta Stock In Kompas 100 Index Of The Period 2011 – 2014.
Data analysis technique used is multiple linear analysis with ordinary least square
method. The population in this study were 100 Companies.Samples were taken
based on certain criteria. Based on these criteria the number of samples of this
study were 36 Companies. The results of this study indicate that together
fundamental factors consisting of Dividend Payout, Asset Growth, Debt to Equity
Ratio (DER), Current Ratio ,Earning Variability, Return on Equity (ROE) and
Microeconomics consisting of Time Interest, Inflation, Exchange Rate
significantly influenceto Beta Stock. However , partial , Return on Equity ( ROE )
significantly negative effect on Beta Stock , Dividend Payout Ratio , Debt to Equity
Ratio ( DER ), Earning Variability , Interest rate is not significantly negative effect
on the Beta Stock , and Asset Growth, Current Ratio , Inflation and Exchange Rate
have no significantly positive effect on beta stocks.
Keywords: Fundamental Factors, Macroeconomics, Beta Stock.
