Electronic Theses and Dissertation

Dalam investasi pasar modal, investor harus mengidentifikasi faktor-faktor yang dapat mempengaruhi return saham. Model Arbitrage Pricing Theory (APT) sering digunakan untuk mengidentifikasi faktor-faktor yang dianggap mempengaruhi return saham. Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh nilai tukar, tingkat inflasi, dan suku bunga acuan terhadap return saham perbankan yang tercatat di Bursa Efek Indonesia (BEI) selama periode Agustus 2016 hingga Desember 2021. Menggunakan teknik purposive sampling, sampel yang digunakan berjumlah 39 perusahaan dari total 49 perusahaan perbankan yang tercatat di Bursa Efek Indonesia. Melalui pendekatan metode analisis Generalized Autoregressive Conditional Heteroscedasticity (GARCH) menggunakan Eviews 10, yang diujikan pada data time series. Menggunakan Akaike info criterion sebagai kriteria pemilihan model, maka GARCH dengan ordo (1,5) terpilih sebagai model untuk menguji pengaruh variabel nilai tukar, tingkat inflasi, dan suku bunga acuan terhadap return saham perbankan. Hasil penelitian menemukan bahwa nilai tukar berpengaruh negatif dan signifikan terhadap return saham perbankan, inflasi berpengaruh negatif dan signifikan terhadap return saham perbankan, dan suku bunga acuan berpengaruh negatif dan signifikan terhadap return saham perbankan.
Kata Kunci: Return Saham, Nilai Tukar, Inflasi, Dan Suku Bunga Acuan.

In capital market investment, investors must identify the factors that can affect stock returns. The Arbitrage Pricing Theory (APT) model is often used to identify factors that are considered to affect stock returns. This study aims to examine and analyze the effect of exchange rates, inflation rates, and reference interest rates on bank stock returns listed on the Indonesia Stock Exchange (IDX) during the period August 2016 to December 2021. Using a purposive sampling technique, the sample used is 39 companies. of a total of 49 banking companies listed on the Indonesia Stock Exchange. Through the approach of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) analysis method using Eviews 10, which was tested on time series data. Using the Akaike info criterion as the model selection criteria, GARCH with the order of (1.5) was chosen as the model to test the effect of the variable exchange rate, inflation rate, and reference interest rate on bank stock returns. The results of the study found that the exchange rate had a negative and significant effect on bank stock returns, inflation had a negative and significant effect on banking stock returns, and the reference interest rate had a negative and significant effect on banking stock returns. Keywords: Stock Return, Exchange Rate, Inflation, And Reference Interest Rate.