Analisis Pengaruh Tingkat Susku Bunga Sbi, Rating Obligasi, Likuiditas Dan Maturitas Terhadap Imbal Hasilsampai Jatuh Tempo (Yield To Maturity) Obligasikorporasi Yang Terdaftar Di Bei
SKRIPSI
ANALISIS PENGARUH TINGKAT SUSKU BUNGA SBI, RATING
OBLIGASI, LIKUIDITAS DAN MATURITAS TERHADAP IMBAL
HASILSAMPAI JATUH TEMPO (YIELD TO MATURITY)
OBLIGASIKORPORASI YANG TERDAFTAR DI BEI
Oleh:
SITI FATIMAH ROSAYANI P
110522081
PROGRAM STUDI STRATA-1 AKUNTANSI
DEPARTEMEN AKUNTANSI
FAKULTAS EKONOMI DAN BISNIS
UNIVERSITAS SUMATERA UTARA
MEDAN
2015
ABSTRAK
Tujuan penelitian ini adalah untuk Untuk mengetahui pengaruh tingkat
suku bunga SBI, rating, likuiditas dan maturitasterhadap yield to maturity obligasi
secara simultan, dan untuk mengetahui pengaruh tingkat suku bunga SBI, rating,
likuiditas dan maturitas terhadap yield to maturity obligasi secara parsial.
Pengukuran tingkat suku bunga SBI, rating, likuiditas dan
maturitasterhadap yield to maturity obligasi tahun 2010-2011.Dengan metode
purposive sampling diperoleh 34 sampel perusahaan dengan 237 observasi.
Analisis data dilakukan dengan uji asumsi klasik dan pengujian hipotesis dengan
metode regresi linear berganda.
Hasil dari penelitian ini menunjukkanbahwa secara serempak/simultan
tingkat suku bunga SBI, rating, likuiditas, dan maturitas berpengaruh signifikan
terhadap yield to maturity obligasi korporasi di Bursa Efek Indonesia periode
tahun 2010-2011. Selanjutnya secara parsial hanya rating obligasi yang
berpengaruh negatif dan signifikan terhadap yield to maturity obligasi korporasi di
Bursa Efek Indonesia periode tahun 2010-2011, sedangkan variabel lainnya yaitu
tingkat suku bunga SBI, likuiditas dan maturitas tidak berpengaruh signifikan
terhadap yield to maturity obligasi korporasi di Bursa Efek Indonesia periode
tahun 2010-2011.
Kata kunci :suku bunga SBI, rating, likuiditas, dan maturitas, dan yield to
maturity
ABSTRACT
The purpose of this study was to determine the effect of SBI interest rate,
rating, liquidity and maturity of the yield to maturity of bonds simultaneously, and
to determine the effect of SBI interest rate, rating, liquidity and maturity of the
yield to maturity of bonds partially.
Measurement of SBI interest rate, rating, liquidity and maturity of the
yield to maturity of bonds in 2010-2011. With purposive sampling method
obtained 34 samples of companies with 237 observations. Data analysis was
performed with the classical assumption and hypothesis testing with multiple
linear regression method.Results from this study showed that simultaneously /
simultaneous SBI interest rate, rating, liquidity and maturity significant effect on
yield to maturity of corporate bonds in the Indonesia Stock Exchange 2010-2011
period. Furthermore, only partially bond ratings are a significant negative effect
on the yield to maturity of corporate bonds in the Indonesia Stock Exchange in
2010-2011 period, while the other variables that the SBI interest rate, liquidity and
maturity no significant effect on yield to maturity of corporate bonds on the Stock
Effects Indonesia period 2010-2011.
Keywords: SBI interest rate, rating, liquidity, and maturity, and yield to
maturity
DAFTAR ISI
Halaman
ABSTRAK ......................................................................................................
ABSTRACT ...................................................................................................
KATA PENGANTAR ...................................................................................
DAFTAR ISI ..................................................................................................
DAFTAR TABEL ..........................................................................................
DATAR GAMBAR ........................................................................................
DAFTAR LAMPIRAN .................................................................................
BAB I : PENDAHULUAN ...................................................................... 1
1.1. Latar Belakang Masalah .................................................................. 1
1.2. Perumusan Masalah .................................................................................. 6
1.3. Tujuan Penelitian ............................................................................. 6
1.4. Manfaat Penelitian ........................................................................... 7
BAB II : TINJAUAN PUSTAKA ............................................................. 8
2.1. Landasan Teoritis ............................................................................. 8
2.1.1. Obligasi.................................................................................. 8
2.1.2. Jenis-Jenis Obligasi ............................................................... 10
2.1.3. Risiko Obligasi ...................................................................... 17
2.1.4Yield to Maturity Obligasi ....................................................... 18
2.1.5Tingkat Suku Bunga SBI ......................................................... 21
2.1.6Peringkat Obligasi (Bond Rating) ........................................... 23
2.1.7Likuiditas ................................................................................. 26
2.1.8Maturitas .................................................................................. 29
2.2. Tinjauan Penelitian Terdahulu ......................................................... 30
2.3. Kerangka Konseptual ....................................................................... 33
2.4. Hipotesis Penelitian ......................................................................... 36
BAB III : METODOLOGI PENELITIAN .............................................. 37
3.1. Desain Penelitian ............................................................................. 37
3.2. Jenis dan Sumber Data ..................................................................... 37
3.3. Populasi dan Sampel Penelitian ....................................................... 38
3.4. Teknik Pengumpulan Data ............................................................... 40
3.5. Definisi Operasional dan Metode Pengukuran Variabel.................. 40
3.6. Metode Analisis Data ....................................................................... 43
3.6.1. Pengujian Asumsi Klasik ...................................................... 43
3.6.1.1. Uji Normalitas Data ...................................................... 43
3.6.1.2. Uji Multikolinieritas ..................................................... 44
3.6.1.3. Uji Heteroskedastisitas ................................................. 45
3.6.1.4. Uji Auto Korelasi ......................................................... 46
3.6.2. Pengujian Hipotesis ............................................................... 46
3.6.2.1. Pengujian Menyeluruh atau Simultan(Uji F) ............... 47
3.5.2.2. Pengujian Individu atau Parsial (Uji t) ......................... 48
3.5.2.3. Uji Koefisien Determinasi (� 2 ) ................................... 49
3.6.3. Tempat dan Jadwal Penelitian ............................................... 49
BAB IV : HASIL PENELITIAN DAN PEMBAHASAN......................... 50
4.1. Regresi Linier Berganda .................................................................. 50
4.1.1. Pengujian Asumsi Klasik (Tahap 1) ...................................... 50
4.1.1.1. Uji Asumsi Normalitas Residual .............................. 50
4.1.1.2.Uji Asumsi Multikolinieritas ..................................... 53
4.1.1.3. Uji Asumsi Heterokedastisitas ...................................... 54
4.1.1.4. Asumsi Autokorelasi ................................................. 56
4.1.2. Pengujian Asumsi Klasik (Tahap 2) ...................................... 57
4.1.2.1. Uji Asumsi Normalitas Residual .............................. 57
4.1.2.2. Uji Asumsi Multikolinieritas .................................... 59
4.1.2.3. Uji Asumsi Heterokedastisitas ...................................... 61
4.1.2.4. Asumsi Autokorelasi ................................................. 62
4.1.3. Pengujian Hipotesis ............................................................... 63
4.1.3.1. Uji Hipotesis Simultan .............................................. 64
4.1.3.2. Koefisien Determinasi .............................................. 65
4.1.3.3. Uji Hipotesis Parsial ................................................. 66
4.1.4. Persamaan Regresi ................................................................ 69
BAB V : KESIMPULAN DAN SARAN..................................................... 71
5.1. Kesimpulan ...................................................................................... 71
5.2. Keterbatasan Penelitian .................................................................... 71
5.3. Saran ............................................................................................... 72
DAFTAR PUSTAKA
LAMPIRAN
DAFTAR TABEL
No. Tabel
2.1
2.2
2.3
3.1
3.2
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
JudulHalaman
Simbol Peringkat PT. PEFINDO ................................................ 24
Definisi Peringkat Obligasi PT. PEFINDO ................................ 25
Ringkasan Tinjauan Penelitian Terdahulu .................................. 32
Daftar Sampel Penelitian............................................................. 39
Definisi Operasioanal dan Pengukuran Variabel ........................ 42
Hasil Pengujian Normalitas Kolmogorov-Smirnov .................... 51
Hasil Pengujian Multikolinieritas ............................................... 54
Hasil Pengujian Autokorelasi ...................................................... 56
Hasil Pengujian Normalitas Kolmogorov-Smirnov .................... 50
Hasil Pengujian Multikolinieritas ............................................... 60
Hasil Pengujian Autokorelasi ...................................................... 63
Hasil Uji Hipotesis Simultan....................................................... 64
Koefisien Determinasi ................................................................. 65
Hasil Uji Hipotesis Parsial .......................................................... 67
DAFTAR GAMBAR
No. Gambar
2.1
4.1
4.2
4.3
4.4
4.5
4.6
JudulHalaman
Kerangka Konseptual .................................................................. 33
Histogram .................................................................................... 52
Normal P-P Plot Uji Normalitas ................................................. 52
Scatterplot Uji Heterokedastisitas ............................................... 55
Histogram .................................................................................... 58
Normal P-P Plot Uji Normalitas ................................................. 59
Scatterplot Uji Heterokedastisitas ............................................... 62
DAFTAR LAMPIRAN
No. Lampiran
1
2
JudulHalaman
Regresi Linier Berganda (Tahap 1) ...................................................
Regresi Linier Berganda (Tahap 2) ...................................................
ANALISIS PENGARUH TINGKAT SUSKU BUNGA SBI, RATING
OBLIGASI, LIKUIDITAS DAN MATURITAS TERHADAP IMBAL
HASILSAMPAI JATUH TEMPO (YIELD TO MATURITY)
OBLIGASIKORPORASI YANG TERDAFTAR DI BEI
Oleh:
SITI FATIMAH ROSAYANI P
110522081
PROGRAM STUDI STRATA-1 AKUNTANSI
DEPARTEMEN AKUNTANSI
FAKULTAS EKONOMI DAN BISNIS
UNIVERSITAS SUMATERA UTARA
MEDAN
2015
ABSTRAK
Tujuan penelitian ini adalah untuk Untuk mengetahui pengaruh tingkat
suku bunga SBI, rating, likuiditas dan maturitasterhadap yield to maturity obligasi
secara simultan, dan untuk mengetahui pengaruh tingkat suku bunga SBI, rating,
likuiditas dan maturitas terhadap yield to maturity obligasi secara parsial.
Pengukuran tingkat suku bunga SBI, rating, likuiditas dan
maturitasterhadap yield to maturity obligasi tahun 2010-2011.Dengan metode
purposive sampling diperoleh 34 sampel perusahaan dengan 237 observasi.
Analisis data dilakukan dengan uji asumsi klasik dan pengujian hipotesis dengan
metode regresi linear berganda.
Hasil dari penelitian ini menunjukkanbahwa secara serempak/simultan
tingkat suku bunga SBI, rating, likuiditas, dan maturitas berpengaruh signifikan
terhadap yield to maturity obligasi korporasi di Bursa Efek Indonesia periode
tahun 2010-2011. Selanjutnya secara parsial hanya rating obligasi yang
berpengaruh negatif dan signifikan terhadap yield to maturity obligasi korporasi di
Bursa Efek Indonesia periode tahun 2010-2011, sedangkan variabel lainnya yaitu
tingkat suku bunga SBI, likuiditas dan maturitas tidak berpengaruh signifikan
terhadap yield to maturity obligasi korporasi di Bursa Efek Indonesia periode
tahun 2010-2011.
Kata kunci :suku bunga SBI, rating, likuiditas, dan maturitas, dan yield to
maturity
ABSTRACT
The purpose of this study was to determine the effect of SBI interest rate,
rating, liquidity and maturity of the yield to maturity of bonds simultaneously, and
to determine the effect of SBI interest rate, rating, liquidity and maturity of the
yield to maturity of bonds partially.
Measurement of SBI interest rate, rating, liquidity and maturity of the
yield to maturity of bonds in 2010-2011. With purposive sampling method
obtained 34 samples of companies with 237 observations. Data analysis was
performed with the classical assumption and hypothesis testing with multiple
linear regression method.Results from this study showed that simultaneously /
simultaneous SBI interest rate, rating, liquidity and maturity significant effect on
yield to maturity of corporate bonds in the Indonesia Stock Exchange 2010-2011
period. Furthermore, only partially bond ratings are a significant negative effect
on the yield to maturity of corporate bonds in the Indonesia Stock Exchange in
2010-2011 period, while the other variables that the SBI interest rate, liquidity and
maturity no significant effect on yield to maturity of corporate bonds on the Stock
Effects Indonesia period 2010-2011.
Keywords: SBI interest rate, rating, liquidity, and maturity, and yield to
maturity
DAFTAR ISI
Halaman
ABSTRAK ......................................................................................................
ABSTRACT ...................................................................................................
KATA PENGANTAR ...................................................................................
DAFTAR ISI ..................................................................................................
DAFTAR TABEL ..........................................................................................
DATAR GAMBAR ........................................................................................
DAFTAR LAMPIRAN .................................................................................
BAB I : PENDAHULUAN ...................................................................... 1
1.1. Latar Belakang Masalah .................................................................. 1
1.2. Perumusan Masalah .................................................................................. 6
1.3. Tujuan Penelitian ............................................................................. 6
1.4. Manfaat Penelitian ........................................................................... 7
BAB II : TINJAUAN PUSTAKA ............................................................. 8
2.1. Landasan Teoritis ............................................................................. 8
2.1.1. Obligasi.................................................................................. 8
2.1.2. Jenis-Jenis Obligasi ............................................................... 10
2.1.3. Risiko Obligasi ...................................................................... 17
2.1.4Yield to Maturity Obligasi ....................................................... 18
2.1.5Tingkat Suku Bunga SBI ......................................................... 21
2.1.6Peringkat Obligasi (Bond Rating) ........................................... 23
2.1.7Likuiditas ................................................................................. 26
2.1.8Maturitas .................................................................................. 29
2.2. Tinjauan Penelitian Terdahulu ......................................................... 30
2.3. Kerangka Konseptual ....................................................................... 33
2.4. Hipotesis Penelitian ......................................................................... 36
BAB III : METODOLOGI PENELITIAN .............................................. 37
3.1. Desain Penelitian ............................................................................. 37
3.2. Jenis dan Sumber Data ..................................................................... 37
3.3. Populasi dan Sampel Penelitian ....................................................... 38
3.4. Teknik Pengumpulan Data ............................................................... 40
3.5. Definisi Operasional dan Metode Pengukuran Variabel.................. 40
3.6. Metode Analisis Data ....................................................................... 43
3.6.1. Pengujian Asumsi Klasik ...................................................... 43
3.6.1.1. Uji Normalitas Data ...................................................... 43
3.6.1.2. Uji Multikolinieritas ..................................................... 44
3.6.1.3. Uji Heteroskedastisitas ................................................. 45
3.6.1.4. Uji Auto Korelasi ......................................................... 46
3.6.2. Pengujian Hipotesis ............................................................... 46
3.6.2.1. Pengujian Menyeluruh atau Simultan(Uji F) ............... 47
3.5.2.2. Pengujian Individu atau Parsial (Uji t) ......................... 48
3.5.2.3. Uji Koefisien Determinasi (� 2 ) ................................... 49
3.6.3. Tempat dan Jadwal Penelitian ............................................... 49
BAB IV : HASIL PENELITIAN DAN PEMBAHASAN......................... 50
4.1. Regresi Linier Berganda .................................................................. 50
4.1.1. Pengujian Asumsi Klasik (Tahap 1) ...................................... 50
4.1.1.1. Uji Asumsi Normalitas Residual .............................. 50
4.1.1.2.Uji Asumsi Multikolinieritas ..................................... 53
4.1.1.3. Uji Asumsi Heterokedastisitas ...................................... 54
4.1.1.4. Asumsi Autokorelasi ................................................. 56
4.1.2. Pengujian Asumsi Klasik (Tahap 2) ...................................... 57
4.1.2.1. Uji Asumsi Normalitas Residual .............................. 57
4.1.2.2. Uji Asumsi Multikolinieritas .................................... 59
4.1.2.3. Uji Asumsi Heterokedastisitas ...................................... 61
4.1.2.4. Asumsi Autokorelasi ................................................. 62
4.1.3. Pengujian Hipotesis ............................................................... 63
4.1.3.1. Uji Hipotesis Simultan .............................................. 64
4.1.3.2. Koefisien Determinasi .............................................. 65
4.1.3.3. Uji Hipotesis Parsial ................................................. 66
4.1.4. Persamaan Regresi ................................................................ 69
BAB V : KESIMPULAN DAN SARAN..................................................... 71
5.1. Kesimpulan ...................................................................................... 71
5.2. Keterbatasan Penelitian .................................................................... 71
5.3. Saran ............................................................................................... 72
DAFTAR PUSTAKA
LAMPIRAN
DAFTAR TABEL
No. Tabel
2.1
2.2
2.3
3.1
3.2
4.1
4.2
4.3
4.4
4.5
4.6
4.7
4.8
4.9
JudulHalaman
Simbol Peringkat PT. PEFINDO ................................................ 24
Definisi Peringkat Obligasi PT. PEFINDO ................................ 25
Ringkasan Tinjauan Penelitian Terdahulu .................................. 32
Daftar Sampel Penelitian............................................................. 39
Definisi Operasioanal dan Pengukuran Variabel ........................ 42
Hasil Pengujian Normalitas Kolmogorov-Smirnov .................... 51
Hasil Pengujian Multikolinieritas ............................................... 54
Hasil Pengujian Autokorelasi ...................................................... 56
Hasil Pengujian Normalitas Kolmogorov-Smirnov .................... 50
Hasil Pengujian Multikolinieritas ............................................... 60
Hasil Pengujian Autokorelasi ...................................................... 63
Hasil Uji Hipotesis Simultan....................................................... 64
Koefisien Determinasi ................................................................. 65
Hasil Uji Hipotesis Parsial .......................................................... 67
DAFTAR GAMBAR
No. Gambar
2.1
4.1
4.2
4.3
4.4
4.5
4.6
JudulHalaman
Kerangka Konseptual .................................................................. 33
Histogram .................................................................................... 52
Normal P-P Plot Uji Normalitas ................................................. 52
Scatterplot Uji Heterokedastisitas ............................................... 55
Histogram .................................................................................... 58
Normal P-P Plot Uji Normalitas ................................................. 59
Scatterplot Uji Heterokedastisitas ............................................... 62
DAFTAR LAMPIRAN
No. Lampiran
1
2
JudulHalaman
Regresi Linier Berganda (Tahap 1) ...................................................
Regresi Linier Berganda (Tahap 2) ...................................................