PENGGUNAAN METODE ARBITRAGE PRICING THEORY (APT) UNTUK MENILAI RETURN SAHAM PADA PERUSAHAAN INDEKS LQ 45 YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2008 - 2015
DAFTAR ISI
ABSTRAK .............................................................................................................. i
ABSTRACT ............................................................................................................ ii
KATA PENGANTAR .......................................................................................... iii
UCAPAN TERIMA KASIH ............................................................................... iv
DAFTAR ISI ........................................................................................................ vii
DAFTAR TABEL ............................................................................................... xii
DAFTAR GAMBAR .......................................................................................... xiii
DAFTAR LAMPIRAN ...................................................................................... xiv
BAB I PENDAHULUAN
1.1 Latar Belakang Penelitian ........................................................................ 1
1.2 Identifikasi Masalah ............................................................................... 12
1.3 Tujuan Penelitian.................................................................................... 13
1.4 Manfaat penelitian .................................................................................. 14
1.5 Sistematika Skripsi ................................................................................. 15
BAB II TINJAUAN PUSTAKA
2.1 Landasan Teoritis ................................................................................... 16
2.1.1 Manajemen Keuangan ................................................................... 16
2.1.1.1 Pengertian Manajemen Keuangan............................................ 16
2.1.1.2 Tujuan Manajemen Keuangan ................................................. 17
2.1.1.3 Fungsi Manajemen Keuangan .................................................. 17
2.1.2 Pasar Modal ................................................................................... 19
2.1.2.1 Pengertian Pasar Modal............................................................ 19
2.1.2.2 Jenis-jenis Pasar Modal ............................................................. 20
2.1.2.3 Manfaat Pasar Modal ............................................................... 21
2.1.2.4 Fungsi Pasar Modal .................................................................... 22
2.1.3 Investasi ......................................................................................... 22
2.1.3.1 Pengertian Investasi .................................................................. 22
2.1.3.2 Jenis-jenis Investasi................................................................... 23
2.1.3.3 Tujuan Investasi ......................................................................... 24
2.14 Saham ............................................................................................. 24
2.1.4.1 Pengertian Saham ...................................................................... 24
2.1.4.2 Jenis-jenis Saham ...................................................................... 25
2.1.4.3 Karakteristik Saham ................................................................. 27
2.1.5 Indeks LQ 45 ................................................................................. 27
2.1.6 Arbitrage Pricing Theory (APT) ................................................... 29
2.1.6.1 Pengertian Arbitrage Pricing Theory (APT).............................. 29
2.1.6.2 Asumsi Yang Mendasari Arbitrage Pricing Theory (APT) ....... 30
2.1.6.3 Perhitungan Arbitrage Pricing Theory (APT) ........................... 31
2.1.7 Return Saham .............................................................................. 32
2.1.7.1 Pengertian Return Saham ........................................................... 32
2.1.7.2 Jenis-Jenis Return Saham........................................................... 33
2.1.7.3 Perhitungan Return Saham......................................................... 33
2.1.7.4 Faktor-faktor Yang Mempengaruhi Return Saham.................... 34
2.1.8 Variabel-variabel Makro Ekonomi ................................................ 34
2.1.8.1 Inflasi ........................................................................................ 34
2.1.8.2 Suku Bunga ................................................................................ 37
2.1.8.3 Kurs ............................................................................................ 38
2.1.8.4 Jumlah Uang Beredar ................................................................ 41
2.1.8.5 Harga Minyak Dunia .................................................................. 43
2.1.8.6 Harga Emas ................................................................................ 44
2.2 Kajian Penelitian Sebelumnya ............................................................... 46
2.2.1 Penelitian Terdahulu ....................................................................... 46
2.3 Kerangka Pemikiran ............................................................................... 51
2.3.1 Hubungan Inflasi Terhadap Return Saham .................................... 52
2.3.2 Hubungan Suku Bunga Terhadap Return Saham ........................... 52
2.3.3 Hubungan Kurs Terhadap Return Saham ....................................... 53
2.3.4 Hubungan Jumlah Uang Beredar Terhadap Return Saham ............ 53
2.3.5 Hubungan Harga Minyak Dunia Terhadap Return Saham ............. 54
2.3.6 Hubungan Harga Emas Terhadap Return Saham ........................... 54
2.4 Hipotesis Penelitian................................................................................ 57
BAB III METODOLOGI PENELITIAN
3.1 Objek Penelitian ..................................................................................... 58
3.2 Unit Analisis ............................................................................................ 58
3.3 Populasi dan Teknik Sampling ................................................................ 58
3.4 Jenis dan Sumber Data ............................................................................ 60
3.4.1 Jenis Data ....................................................................................... 60
3.4.2 Sumber Data .................................................................................. 60
3.5 Teknik Pengumpulan Data ..................................................................... 61
3.6 Operasionalisasi Variabel....................................................................... 62
3.7 Metode Analisis...................................................................................... 66
3.7.1 Uji Asumsi Klasik .......................................................................... 66
3.7.1.1 Uji Normalitas ............................................................................ 67
3.7.1.2 Uji Autokorelasi ...................................................................... 67
3.7.1.3 Uji Multikolinearitas ............................................................... 67
3.7.1.4 Uji Heterokedastisitas ............................................................. 68
3.7.2 Metode Analisis Data ..................................................................... 68
3.7.3 Pengujian Model (Uji Statistik F) ................................................... 70
3.7.4 Koefisien Determinasi (R2) ............................................................ 71
3.7.5 Pengujian Hipotesis (Uji Statistik t) ............................................... 71
BAB IV HASIL PENELITIAN DAN PEMBAHASAN
4.1 Hasil Penelitian ........................................................................................ 72
4.1.1 Uji Asumsi Klasik .......................................................................... 72
4.1.1.1 Uji Normalitas ......................................................................... 72
4.1.1.2 Uji Autokorelasi. ..................................................................... 73
4.1.1.3 Uji Multikolinearitas ............................................................... 74
4.1.1.4 Uji Heterokedastisitas ............................................................. 75
4.1.2 Model Analisis Data ....................................................................... 75
4.1.3 Pengujian Model (Uji F) ................................................................. 78
4.1.4 Uji Koefisien Determinasi (R2) ...................................................... 79
4.1.5 Pengujian Hipotesis (Uji t) ............................................................. 79
4.2 Pembahasan ............................................................................................. 81
4.2.1 Pengaruh Tingkat Inflasi Terhadap Return Saham......................... 81
4.2.2 Pengaruh Tingkat Suku Bunga Terhadap Return Saham ............... 82
4.2.3 Pengaruh Kurs Terhadap Return Saham ........................................ 82
4.2.4 Pengaruh Jumlah Uang Beredar Terhadap Return Saham ............. 83
4.2.5 Pengaruh Harga Minyak Dunia ...................................................... 84
4.2.6 Pengaruh Harga Emas .................................................................... 85
4.3 Implikasi Penelitian ................................................................................. 85
BAB V KESIMPULAN DAN SARAN
5.1 Kesimpulan............................................................................................. 89
5.2 Saran ....................................................................................................... 89
DAFTAR PUSTAKA
LAMPIRAN - LAMPIRAN
ABSTRAK .............................................................................................................. i
ABSTRACT ............................................................................................................ ii
KATA PENGANTAR .......................................................................................... iii
UCAPAN TERIMA KASIH ............................................................................... iv
DAFTAR ISI ........................................................................................................ vii
DAFTAR TABEL ............................................................................................... xii
DAFTAR GAMBAR .......................................................................................... xiii
DAFTAR LAMPIRAN ...................................................................................... xiv
BAB I PENDAHULUAN
1.1 Latar Belakang Penelitian ........................................................................ 1
1.2 Identifikasi Masalah ............................................................................... 12
1.3 Tujuan Penelitian.................................................................................... 13
1.4 Manfaat penelitian .................................................................................. 14
1.5 Sistematika Skripsi ................................................................................. 15
BAB II TINJAUAN PUSTAKA
2.1 Landasan Teoritis ................................................................................... 16
2.1.1 Manajemen Keuangan ................................................................... 16
2.1.1.1 Pengertian Manajemen Keuangan............................................ 16
2.1.1.2 Tujuan Manajemen Keuangan ................................................. 17
2.1.1.3 Fungsi Manajemen Keuangan .................................................. 17
2.1.2 Pasar Modal ................................................................................... 19
2.1.2.1 Pengertian Pasar Modal............................................................ 19
2.1.2.2 Jenis-jenis Pasar Modal ............................................................. 20
2.1.2.3 Manfaat Pasar Modal ............................................................... 21
2.1.2.4 Fungsi Pasar Modal .................................................................... 22
2.1.3 Investasi ......................................................................................... 22
2.1.3.1 Pengertian Investasi .................................................................. 22
2.1.3.2 Jenis-jenis Investasi................................................................... 23
2.1.3.3 Tujuan Investasi ......................................................................... 24
2.14 Saham ............................................................................................. 24
2.1.4.1 Pengertian Saham ...................................................................... 24
2.1.4.2 Jenis-jenis Saham ...................................................................... 25
2.1.4.3 Karakteristik Saham ................................................................. 27
2.1.5 Indeks LQ 45 ................................................................................. 27
2.1.6 Arbitrage Pricing Theory (APT) ................................................... 29
2.1.6.1 Pengertian Arbitrage Pricing Theory (APT).............................. 29
2.1.6.2 Asumsi Yang Mendasari Arbitrage Pricing Theory (APT) ....... 30
2.1.6.3 Perhitungan Arbitrage Pricing Theory (APT) ........................... 31
2.1.7 Return Saham .............................................................................. 32
2.1.7.1 Pengertian Return Saham ........................................................... 32
2.1.7.2 Jenis-Jenis Return Saham........................................................... 33
2.1.7.3 Perhitungan Return Saham......................................................... 33
2.1.7.4 Faktor-faktor Yang Mempengaruhi Return Saham.................... 34
2.1.8 Variabel-variabel Makro Ekonomi ................................................ 34
2.1.8.1 Inflasi ........................................................................................ 34
2.1.8.2 Suku Bunga ................................................................................ 37
2.1.8.3 Kurs ............................................................................................ 38
2.1.8.4 Jumlah Uang Beredar ................................................................ 41
2.1.8.5 Harga Minyak Dunia .................................................................. 43
2.1.8.6 Harga Emas ................................................................................ 44
2.2 Kajian Penelitian Sebelumnya ............................................................... 46
2.2.1 Penelitian Terdahulu ....................................................................... 46
2.3 Kerangka Pemikiran ............................................................................... 51
2.3.1 Hubungan Inflasi Terhadap Return Saham .................................... 52
2.3.2 Hubungan Suku Bunga Terhadap Return Saham ........................... 52
2.3.3 Hubungan Kurs Terhadap Return Saham ....................................... 53
2.3.4 Hubungan Jumlah Uang Beredar Terhadap Return Saham ............ 53
2.3.5 Hubungan Harga Minyak Dunia Terhadap Return Saham ............. 54
2.3.6 Hubungan Harga Emas Terhadap Return Saham ........................... 54
2.4 Hipotesis Penelitian................................................................................ 57
BAB III METODOLOGI PENELITIAN
3.1 Objek Penelitian ..................................................................................... 58
3.2 Unit Analisis ............................................................................................ 58
3.3 Populasi dan Teknik Sampling ................................................................ 58
3.4 Jenis dan Sumber Data ............................................................................ 60
3.4.1 Jenis Data ....................................................................................... 60
3.4.2 Sumber Data .................................................................................. 60
3.5 Teknik Pengumpulan Data ..................................................................... 61
3.6 Operasionalisasi Variabel....................................................................... 62
3.7 Metode Analisis...................................................................................... 66
3.7.1 Uji Asumsi Klasik .......................................................................... 66
3.7.1.1 Uji Normalitas ............................................................................ 67
3.7.1.2 Uji Autokorelasi ...................................................................... 67
3.7.1.3 Uji Multikolinearitas ............................................................... 67
3.7.1.4 Uji Heterokedastisitas ............................................................. 68
3.7.2 Metode Analisis Data ..................................................................... 68
3.7.3 Pengujian Model (Uji Statistik F) ................................................... 70
3.7.4 Koefisien Determinasi (R2) ............................................................ 71
3.7.5 Pengujian Hipotesis (Uji Statistik t) ............................................... 71
BAB IV HASIL PENELITIAN DAN PEMBAHASAN
4.1 Hasil Penelitian ........................................................................................ 72
4.1.1 Uji Asumsi Klasik .......................................................................... 72
4.1.1.1 Uji Normalitas ......................................................................... 72
4.1.1.2 Uji Autokorelasi. ..................................................................... 73
4.1.1.3 Uji Multikolinearitas ............................................................... 74
4.1.1.4 Uji Heterokedastisitas ............................................................. 75
4.1.2 Model Analisis Data ....................................................................... 75
4.1.3 Pengujian Model (Uji F) ................................................................. 78
4.1.4 Uji Koefisien Determinasi (R2) ...................................................... 79
4.1.5 Pengujian Hipotesis (Uji t) ............................................................. 79
4.2 Pembahasan ............................................................................................. 81
4.2.1 Pengaruh Tingkat Inflasi Terhadap Return Saham......................... 81
4.2.2 Pengaruh Tingkat Suku Bunga Terhadap Return Saham ............... 82
4.2.3 Pengaruh Kurs Terhadap Return Saham ........................................ 82
4.2.4 Pengaruh Jumlah Uang Beredar Terhadap Return Saham ............. 83
4.2.5 Pengaruh Harga Minyak Dunia ...................................................... 84
4.2.6 Pengaruh Harga Emas .................................................................... 85
4.3 Implikasi Penelitian ................................................................................. 85
BAB V KESIMPULAN DAN SARAN
5.1 Kesimpulan............................................................................................. 89
5.2 Saran ....................................................................................................... 89
DAFTAR PUSTAKA
LAMPIRAN - LAMPIRAN