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According to Frank and Bernanke 2001:124, GDP is the market value
of the final goods and services produced in a country during a given
period. GDP is probably the single most used economic measurement
Colander, 2001:161. GDP means the total market value of all final goods
and services produced in a given year McConell and Brue, 2002:117.
There are some components of GDP. Mankiw 2007:208-210 stated that
the
components of
GDP are
consumption C, investment I, government purchases G, and net
exports NX. The formula of GDP is:
Y = C + I + G + NX
2. Firm value
Firm value is very important to maximize shareholders’ wealth and to
achieve overall firm goals and objectives Gill and Obradovich, 2012:2. Value of
the firm or enterprise value is the value of the payoffs a firm is expected to yield
for all its claimants Penman, 2010:23. There are some indicators of firm value,
such as stock price, price to book value, and price earning ratio. In this research
the indicator used to measure firm value is stock price. The reason is because stock
price is the simplest way to measure the firm value, without calculating anything,
and investors do not have to wait for the financial report of company to know
about it. Martono and Harjito 2005:13 stated
that for the go public companies, the firm value is reflected from the market value of
their stocks. The higher of stock price will make the higher of firm value. Tandelilin
2010: 301 explained, in the appraisal of stock; it is known there are three kinds of
stock value: book value, market value, and intrinsic value. Book value is a value
which calculated based on the company’s bookkeeping. Market value is the value of
stock in the market, shown in the market price in that time, usually the closing price
is used to appraise market value. Intrinsic value is the real value of the stock. In this
research, the stock price is the closing price.
a The Influence of Inflation on Firm Value
The relationship between inflation and firm value is when the inflation
occurs, the prices of goods would increase including price of raw material
used by company, also the operational cost of company. It would lead to the
decreasing of profits that cause the return of investment would also decrease. When
the profit of company is decreasing it leads to cause investors want to sell their
stocks because the stocks have little potential to make profits. When they sell
their stock the price will decrease and the decreasing price of the stock makes the
decreasing firm value.
b The Influence of Interest on Firm Value
The relationship between interest and firm value is that when the Indonesia
Central Bank rate or BI rate is increasing, it would causes investor attracted to
invest in the risk free asset such as deposit. Because of that, investor would
pull their money in the capital market by selling their stocks and invest that money
into risk free assets. When a lot of investors sell their stocks, it causes the
stock prices decrease and automatically causes the firm value decrease. This
opinion is supported by Alam and Uddin 2009:43, if the rate of interest paid by
banks to depositors increases, people switch their capital from share market to
bank. This will lead to decrease the demand of share and to decrease the price
of share and vice versa.
c The Influence of GDP on Firm Value
GDP is the measurement of goods and services production in a country. If the
economy growth is good, it means that the purchasing ability of society is
increasing, it causes the increase of profits for the company. The increasing
of the company’s profit causes the investors want to buy its stock and causes
the stock price of company is increasing when there are a lot of investors want to
buy it, thus the firm value will also increase Tandelilin, 2010:342.
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Inflation
Figure 1. Hypothesis Model
Notes: Partial influence
Simultaneous influence 1.
Hypothesis 1: Inflation, interest, and GDP influence the firm value simultaneously.
2. Hypothesis 2: Inflation, interest, and GDP
influence the firm value partially. Aroni, 2011, Pilinkus and Boguslauskas, 2009,
Gunu and Idris, 2009.
RESEARCH METHODS The type of research used is explanatory
research with quantitative approach. Sites of this research are
www.idx.co.id to obtain data of stock
prices and financial reports of sampled companies, www.bi.go.id
to obtain the data of inflation and interest, and
www.bps.go.id to obtain the data of
GDP. Population used in this research are 86 companies which ever been listed in the LQ45
index during 2008-2012. By using purposive sampling, it is obtained that there are 14
companies as the sample of this research. RESULTS AND DISCUSSION
1.
Classical Assumption Test a
Normality Test
Table 1. Normality Test Result
One-Sample Kolmogorov-Smirnov Test
Unstandardiz ed Residual
N 70
Normal Parameters
a
Mean .0000000
Std. Deviation
.77293275 Most
Absolute .110
Extreme Differences
Positive .110
Negative -.097
Kolmogorov-Smirnov Z .922
Asymp. Sig. 2-tailed .364
a. Test distribution is Normal.
Source: processed data From the Table 1 above, the value of
asymptotic significance is 0.364, 0.364 0.05, this value shows that the residual is
normally distributed.
b Multicollinearity Test
Table 2. Multicollinearity Test Result
Independent Variables
Tolerance VIF
Inflation 0.053
18.784 Interest
0.020 50.978
GDP 0.069
14.596 Source: processed data
Based on the Table 2 above, the VIF value of all independent variables are
greater than 10, it means that the regression model has multicollinearity
problem. The mulcollinearity problem occurs because the three independent
variables
have a
relationship. The
relationship of the three independent variables is if the GDP is high it indicates
that the purchasing ability of society is increasing. Buying products and services
the society needs the addition of money supply, along with the increasing of
demand of money it will cause the increasing of the prices inflation. When
the inflation increases continuously and makes a high inflation, Government will
adjust it by increase the interest rate
www.bps.co.id , accessed on May 3
rd
2014. The way to solve the multicollinearity
problem is by removing a variable with highest VIF value. According to Hasan
2010:295, the multicollinearity problem can be solved by removing one or more
independent variables which have high correlation in the regression model. From
the Table 1.2 above, interest is the variable with highest VIF value. Thus, it is needed
to remove the interest variable from the model
in order
to solve
the multicollinearity problem.
Interest GDP
Firm Value
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Table 3. Multicollinearity Test Result after Removing Interest Variable
Independent Variables
Tolerance VIF
Inflation 0.495
2.022 GDP
0.495 2.022
Source: processed data Based on the Table 3 above, it can be
seen that the VIF value of the two independent variables are below 10. It
means that there is no multicollinearity problem.
c Autocorrelation Test
Table 4. Autocorrelation Test Result
dL dU
4-dU DW Value
1.5542 1.6715 2.3285 2.277
Source: processed data Based on the Table 4 above, the DW
value is between dL and 4-dU, 1.5542 2.277 2.3285. It can be concluded that the
regression model has no autocorrelation problem.
d Heteroskedasticity Test
Source: processed data
Figure 2. Scatterplot Chart
Based on the figure 2 above, the dots do not spread randomly, form any pattern, also
it is spread in the below and above 0 in the Y wagon. Thus, it can be concluded that
there is a heteroskedasticity problem, since data in the regression model has a
homoskedasticity. The assumption of homoskedasticity stated that the dependent
variable has the same variant in all the variant of the independent variables. The
infraction of homoskedasticity assumption is heteroskedasticity Uthami, et al,
2013:7. But in this case, the variant of independent variables are all constant or
have the same variant for all dependent
variable’s variant. 2.
Multiple Linear Regressions Analysis Since the interest variable is no longer
Figure 3. New Hypothesis Model
Notes: Simultaneous influence
Partial influence Hypothesis 1: Inflation and GDP influence the
firm value simultaneously. Hypothesis 2: Inflation and GDP influence the
firm value partially. Aroni, 2011, Pilinkus and Boguslauskas, 2009,
Gunu and Idris, 2009.
The result of multiple linear regression analysis is, based on the value of standardized
coefficient, it is obtained that the equation of the regression model is:
Firm value = 4.920 – 0.151 + 0.309 + e
This equation means that if the inflation and GDP are constant then the firm value will be
4.920. The regression coefficient of inflation is
– 0.151 it means that inflation has negative influence on firm value. If the inflation
increases for 1 unit, the firm value will decreases for 0.151 and if the inflation
decreases for 1 unit, then the firm value will increases for 0.151. The regression coefficient
of GDP is 0.309 it means that GDP has positive influence on firm value. If GDP
increases for 1 unit then firm value will also increases for 0.309 and if GDP decreases for
1 unit, then the firm value will decreases for 0.309.
3. Hypothesis Test
1. F Test Simultaneous Influence
Table 5. F Test Result
N df1 df2
Calculated F
F Table
Sig 70
2 67
6.897 3.13
0.002 Source: processed data
Inflation
GDP Firm Value
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level of significance is lesser than the standardized level of significance, 0.002
0.05 and the value of calculated F is greater than the value of F table 6.897
3.13, thereby H
is rejected means that there is a significant influence among all
the independent variables on firm value. 2.
t Test Partial Influence
Table 6. t Test Result
Variable s
N df Calculate
d t t Table
Sig Inflation
7 6
7 2.473
1.9960 1
0.01 6
GDP 7
6 7
0.190 1.9960
1 0.85
Source: processed data Based on the Table 6, it can be
concluded that the inflation’s level of significance is lesser than the standardize
level of significance 0.016 0.05 and the value of calculated t is greater than the
value of t table 2.473 1.99601, thereby H
is rejected, means that there is a significant influence of inflation on firm
value. The GDP’s level of significance is
greater than the standardize level of significance 0.850 0.05 and the value of
calculated t is lesser than the value of t table 0.190 1.99601 thereby H
is accepted, means that there is no significant
influence of GDP on firm value. 4.
Determination Coefficient
Table 7 Determination Coefficient
Model R
R square Adjusted
R Square 1
0.413 0.171
0.146 Source: processed data
Based on the Table 7, it is obtained that the firm value is influenced by inflation and
GDP as much 14.6. The rest of it, as much 85.4, is influenced by other variables that
are not mentioned in this research.
5. Discussion of The Results
a Hypothesis 1
Based on the statistical result in Table 5, the level of significance of F is lesser
than the standardize level of significance, 0.002 0.05 and the value of calculated F
is greater than the value of F table 6.897 3.13, thereby H
is rejected means that there is a significant influence among all
b Hypothesis 2
The result of t-test can be seen in the Table 6. The result of statistical
calculation shows that inflation has negative significant influence on firm
value. Thus, the second hypothesis stating that inflation influences the firm value
partially is accepted. This study predicts that the reason of
inflation has negative significant influence on firm value is because when the
inflation is high, investor tends to pull their money in the capital market and
invest it in the risk free asset such as deposit or treasury bill for example:
Indonesia Central Bank Certificate. It may happen because when the inflation is high
the price of all goods will also become high, then it makes the operational cost of
company will be increase. The increasing of the operational cost would cause the
decreasing of profit because the product price of the company would also increase.
This situation may lead to the decreasing
of society’s purchasing ability. Also, when the inflation is high, the government
will try to adjust the condition by increasing the interest rate.Thus, the stock
price may decrease when the inflation increase. The significant influence reflects
that inflation is very considered by the investors in making investment decision.
This result supports the studies conducted by Atfi 2009 and Chandrawati 2010.
Their results show that inflation has significant influence on stock price as the
indicator of firm value. The result of the statistical calculation
shows that GDP has positive insignificant influence on firm value. Thus, the second
hypothesis stating that GDP has partial influence on firm value is rejected. GDP
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the society’s economy condition is good. Thus, investors thought that although the
GDP is high or increase it does not mean that all or a lot of society are able to buy
the products of companies. Thereby, it makes GDP has insignificant influence on
firm value. This result supports the result of the research conducted by Chostanti
2011. The result shows that GDP has insignificant influence on Jakarta Islamic
Index. Based on the beta standardized value,
it is obtained that among these two independent variables, inflation is the
most dominant variable in influencing the firm value. It can be seen from the beta
standardize value of inflation as much 0.391.
CONCLUSIONS AND RECOMMENDATIONS
A. Conclusions