Pemodelan Harga Saham Sektor Konstruksi Bangunan, Properti dan Real Estate di JII 70 Tahun 2013-2018 Menggunakan Regresi Data Panel (FEM Cross-section SUR)

Bagus Rahmatullah, Imam Safawi Ahmad, Santi Puteri Rahayu
Submission Date: 2019-07-23 17:22:52
Accepted Date: 2020-02-04 00:00:00

Abstract


Persaingan bisnis di era pasar bebas saat ini semakin ketat. Setiap perusahaan membutuhkan modal agar dapat lebih berkembang dan tetap eksistensi. Salah satu cara perusahaan untuk memperoleh modal adalah dengan menawarkan saham di Bursa Efek Indonesia. Namun harga saham yang diperdagangkan dapat berubah tiap waktu, sehingga para investor perlu melakukan analisis terhadap kinerja perusahaan yang ditinjau dari rasio keuangan perusahaan dan makro ekonomi di Indonesia terlebih dahulu agar memperoleh keuntungan baik dari dividen maupun capital gain. Berdasarkan analisis menggunakan regresi data panel diperoleh estimasi model data panel yang sesuai untuk pemodelan harga saham 12 perusahaan terdaftar di Jakarta Islamic Index (JII) 70 tahun 2013-2018 adalah Fixed Effect Model dengan Cross-section SUR. Secara simultan, semua variabel independen yang terdiri dari Current Ratio (CR), Debt to Equity Ratio (DER), Return on Equity (ROE), Return on Asset (ROA), Price to Book Value (PBV), Earning Per Share (EPS), Price Earning Ratio (PER), kurs rupiah, dan suku bunga secara bersama-sama berpengaruh signifikan. Namun secara parsial hanya variabel CR, DER, ROE, PBV, EPS, Kurs Rupiah, dan Suku Bunga yang berpengaruh signifikan terhadap harga saham dengan koefisien determinasi sebesar 96,15%.

Keywords


Data Panel; Fixed Effect Model; Harga Saham; SUR

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