SKRIPSI ANALISIS MODEL APT PADA SAHAM SEKTOR PERTAMBANGAN DI BURSA EFEK INDONESIA

  

ABSTRAK

  ANALISIS MODEL APT PADA SAHAM SEKTOR PERTAMBANGAN DI BURSA EFEK INDONESIA Pasar Modal adalah salah satu alternatif pilihan investasi yang dapat menghasilkan tingkat keuntungan optimal bagi para investor. Untuk itu, setiap investor membutuhkan informasi tentang saham yang akan digunakan dalam menyusun strategi dalam pengambilan keputusan di pasar modal. Namun, disisi lain tidak selamanya investasi itu akan selalu menghasilkan keuntungan, tetapi bisa juga mengalami kerugian. Ada beberapa model yang dapat digunakan dalam memprediksi tingkat pengembalian dan resiko dalam suatu saham sehingga pada akhirnya investor dapat mengetahui alternatif investasi yang paling menguntungkan.

  Salah satunya adalah model Arbitrage Pricing Theory (APT). Model APT ini didasari pandangan bahwa tingkat pengembalian suatu saham akan dipengaruhi oleh systematic risk yaitu kondisi makroekonomi suatu negara.Penelitian ini dilakukan untuk menganalisis model APT dalam menjelaskan risk and return saham sektor pertambangan. Ada lima variabel makroekonomi yang digunakan, yaitu tingkat inflasi, nilai tukar rupiah terhadap dollar AS, jumlah uang beredar (M2), volume perdagangan saham, tingkat suku bunga SBI.

  Penelitian ini menggunakan data time series dan croos section. Data diperoleh dari Yahoo Finance, Bank Indonesia (BI) dan JSX Statistic dengan periode waktu bulanan periode Januari 2007 sampai Desember 2011. Populasi dalam penelitian ini adalah perusahaan sektor pertambangan yang listed di BEI 26 perusahaan dan jumlah sampel sebanyak 8 perusahaan dengan melewati tahap

  purposive sample. Teknik analisis yang dipakai dalam penelitian ini adalah regresi linier berganda dan data panel, pengolahan data dilakukan dengan eviews.

  Hasil penelitian ini menunjukkan bahwa Model APT signifikan dalam menjelaskan tiga perusahaan yaitu BUMI, MEDC, dan TINS. Dan variabel makroekonomi yang mempengaruhi return saham, secara parsial variabel makroekonomi yang mempengaruhi return saham sektor pertambangan adalah kurs, tingkat suku bunga SBI dan Volume perdagangan saham. Sedangkan secara simultan variabel makroekonomi mempengaruhi return saham sektor pertambangan.

  Kata kunci : Model APT, tingkat inflasi, nilai tukar rupiah terhadap dollar AS, jumlah uang beredar (M2), volume perdagangan saham, dan tingkat suku bunga SBI.

  

ABSTRACT

  ANALYSIS OF MODEL APT IN THE MINING SECTOR ON THE STOCK EXCHANGE INDONESIA Capital Market is one of the alternative investment options that can produce optimal levels of profits for investors. To that end, every investor needs information about a stock that will be used in developing strategies in making decisions in the stock market. However, on the other hand is not always an investment that will always make a profit, but may also suffer losses. There are several models that can be used in predicting the rate of return and risk in a stock that investors may eventually find out the most profitable investment alternatives. One is a model of the Arbitrage Pricing Theory (APT). APT model is based on the view that the rate of return on a stock will be affected by systematic risk is a negara.Penelitian macroeconomic conditions was conducted to analyze the APT models explaining risk and return in mining stocks. There are five macroeconomic variables are used, the rate of inflation, the exchange rate of rupiah against the U.S. dollar, the money supply (M2), stock trading volume, interest rate of SBI.

  This study uses time series data and Croos section. Data obtained from Yahoo Finance, Bank Indonesia (BI) and Statistics JSX with a monthly time period from January 2007 until December 2011. The population in this study is that the mining sector companies listed on the Stock Exchange 26 companies and the number of samples with as many as 8 companies through purposive sample stage. Analytical techniques used in this study were multiple linear regression and panel data, data processing is done with eviews.

  These results indicate that the APT model significant in explaining the three companies, namely EARTH, MEDC, and TINS. And macroeconomic variables that affect stock returns, partially macroeconomic variables that affect the stock return is the rate the mining sector, SBI rate and volume of stock trading. While the macroeconomic variables simultaneously affect stock returns mining sector.

  Key words: Model APT, the rate of inflation, the exchange rate of rupiah against the U.S dollar, the money supply (M2), stock trading volume, and the SBI rate.

  DAFTAR ISI ABSTRAK ...................................................................................................... i

ABSTRACT .................................................................................................... ii

KATA PENGANTAR .................................................................................... iii

DAFTAR ISI ................................................................................................... iv

DAFTAR TABEL .......................................................................................... vi

DAFTAR GAMBAR ...................................................................................... vii

DAFTAR LAMPIRAN .................................................................................. viii

BAB I PENDAHULUAN 1.1 Latar Belakang .............................................................................

  12 2.2.3 Peranan Strategis Pasar Modal ..........................................

  27 2.6.2 Volume Perdagangan Saham ............................................

  26 2.6.1.4 Mengukur Inflasi ..................................................

  25 2.6.1.3 Bobot Inflasi .........................................................

  24 2.6.1.2 Asal Inflasi ...........................................................

  22 2.6.1.1 Teori-Teori Inflasi ................................................

  20 2.6.1 Tingkat Inflasi ...................................................................

  19 2.6 Arbitrage Pricing Theory (APT) .................................................

  18 2.5 Capital Asset Pricing Model (CAMP) ........................................

  16 2.4 Resiko ..........................................................................................

  15 2.3 Tingkat Pengembalian Saham .....................................................

  13 2.2.4 Instrument Pasar Modal ....................................................

  11 2.2.2 Jenis dan Fungsi Pasar Modal ...........................................

  1 1.2 Perumusan Masalah .....................................................................

  11 2.2.1 Definisi Pasar Modal .........................................................

  10 2.2 Pasar Modal ................................................................................

  10 2.1.4.2 Investasi Tidak Langsung ....................................

  9 2.1.4.1 Investasi Langsung ...............................................

  9 2.1.4 Tipe-tipe Investasi .............................................................

  8 2.1.3 Proses Keputusan Investasi ...............................................

  8 2.1.2 Proses Investasi .................................................................

   2.1 Investasi 2.1.1 Definisi Investasi ...............................................................

  7 BAB II TINJAUAN PUSTAKA

  6 1.4 Manfaat Penelitian .......................................................................

  6 1.3 Tujuan Penelitian .........................................................................

  28

  2.6.3 Jumlah Uang Beredar ........................................................

  29 2.6.3.1 Pendekatan Transaksional ....................................

  29 2.6.3.2 Liquidity Approach ..............................................

  29 2.6.4 Kurs ....................................................................................

  30 2.6.4.1 Jenis Nilai Tukar ..................................................

  31 2.6.4.2 Sistem Valuta Asing ............................................

  32 2.6.5 Suku Bunga ........................................................................

  33 2.7 Kerangka Konseptual ..................................................................

  34 2.8 Hipotesis ......................................................................................

  35 BAB III METODE PENELITIAN 3.1 Jenis Penelitian .........................................................................

  36 3.2 Batasan Operasional .................................................................

  36 3.3 Definisi Operasional .................................................................

  36 3.4 Skala Pengukuran Variabel ......................................................

  37 3.5 Jenis Data ..................................................................................

  38 3.6 Metode Pengumpulan Data ......................................................

  38 3.7 Teknik Analisis Data ................................................................

  39 3.7.1 Uji Akar Unit ..................................................................

  40 3.7.2 Uji Asumsi Klasik ..........................................................

  41 3.7.2.1 Multikolinieritas .................................................

  41 3.7.2.2 Uji Autokorelasi .................................................

  42 3.7.3 Uji Kesesuain ..................................................................

  43 3.7.3.1 Uji F Statistik ......................................................

  43 3.7.4 Analisis Data Panel.........................................................

  44 3.7.4.1 Model Data Panel ...............................................

  46 BAB IV HASIL PENELITIAN DAN PEMBAHASAN 4.1 Statistik Deskriptif Masing-Masing ..........................................

  48 4.2 Statistik Deskriptif Variabel Makroekonomi ............................

  55 4.3 Pengujian Stasioneritas Data .....................................................

  50 4.4 Pengujian Model APT ...............................................................

  62 4.5 Pengujian Asumsi Klasik ..........................................................

  63 4.5.1 Pengujian Multikolinearitas ............................................

  62 4.5.2 Pengujian Autokorelasi ...................................................

  63 4.6 Analisis Hasil Persamaan Regresi Data Panel ..........................

  65 4.7 Pengujian Hipotesis ...................................................................

  66 4.7.1 Pengujian teknik analisis regresi berganda .....................

  66 4.7.2 Pengujian teknik analisis data panel ...............................

  71 4.8 Analisis Model APT .................................................................

  74 BAB V KESIMPULAN DAN SARAN 5.1 Kesimpulan ...............................................................................

  77 5.2 Saran .........................................................................................

  78

  DAFTAR PUSTAKA .....................................................................................

  80 LAMPIRAN ....................................................................................................

  81

  DAFTAR TABEL

  Gambar Judul Halaman 3.1 Sampel Penelitian ..............................................................

  39 4.1 Deskriptif Statistik Emiten Perusahaan .............................

  49 4.2 Variabel Makroekonomi ....................................................

  55 4.3 Pengujian Stasioneritas Data .............................................

  61 4.4 Output APT .......................................................................

  62 4.5 Pengujian Multikorelasi ....................................................

  63 4.6 Pengujian Autokorelasi .....................................................

  64 4.7 Pooled Least Square Model FEM .....................................

  65 4.8 Analisis Inflasi ...................................................................

  67 4.9 Analisis Kurs .....................................................................

  69 4.10 Analisis M2 .......................................................................

  69 4.11 Analisis VPS ......................................................................

  70 4.12 Analisis SBI .......................................................................

  71

  DAFTAR GAMBAR

  Gambar Judul Halaman 2.7 Kerangka Konseptual .................................................

  34 4.1 PT. Bumi Resources, Tbk ..........................................

  49 4.2 PT. Delta Dunia Makmur, Tbk ...................................

  50 4.3 PT. Tambang Batubara Bukit Asam, Tbk ..................

  51 4.4 PT. Petrosea, Tbk .......................................................

  52 4.5 PT. Medco Energi Internasional. Tbk ........................

  52 4.6 PT. Timah Persero, TBK ............................................

  53 4.7 PT. Citatah, Tbk .........................................................

  54 4.8 PT. Mitra Investindo, Tbk ..........................................

  54 4.9 Pergeseran Tingkat Inflasi ..........................................

  55 4.10 Pergerakan Tingkat Kurs ............................................

  57 4.11 Pergerakan Jumlah Uang Beredar ..............................

  58 4.12 Pergerakan Volume Perdagangan Saham...................

  59 4.13 Pergerakan Tingkat SBI .............................................

  60 .