Analisis Faktor-Faktor yang Memengaruhi Harga Saham Perusahaan Sektor Properti dan Real Estate Menggunakan Regresi Data Panel

Noviyanti, Nur Afifah (2025) Analisis Faktor-Faktor yang Memengaruhi Harga Saham Perusahaan Sektor Properti dan Real Estate Menggunakan Regresi Data Panel. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Kemajuan ekonomi suatu negara ditandai oleh tingginya partisipasi masyarakat dalam investasi. Di Indonesia, jumlah investor pasar modal meningkat 10% pada tahun 2023, mencerminkan literasi keuangan yang membaik. Salah satu sektor strategis adalah properti dan real estate, yang menawarkan potensi pertumbuhan dan nilai aset yang cenderung meningkat. Namun, harga saham sektor ini sering mengalami fluktuasi akibat berbagai faktor, seperti Return on Assets (ROA), Earnings Per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), dan Net Profit Margin (NPM). Penelitian ini menganalisis pengaruh faktor-faktor tersebut terhadap harga saham perusahaan properti dan real estate menggunakan regresi data panel untuk menghasilkan analisis yang komprehensif. Hasil penelitian menunjukkan bahwa harga saham perusahaan properti dan real estate mengalami fluktuasi selama 2019 sampai 2023, dengan harga tertinggi pada LPCK di 2019 dan terendah pada LPKR di 2023. ROA tertinggi dicapai LPCK di 2019 dan terendah oleh PUDP di 2020, sementara EPS tertinggi dan terendah dicatat oleh PUDP pada 2022 dan 2020. PBV tertinggi dimiliki MTLA di 2019 dan terendah oleh PUDP di 2022. DER tertinggi tercatat pada APLN di 2021 dan terendah pada PUDP di 2023. NPM tertinggi dimiliki MMLP di 2021 dan terendah pada LPCK di 2020. Berdasarkan analisis korelasi variabel EPS, PBV, dan NPM memiliki hubungan positif terhadap harga saham, sementara ROA dan DER berkorelasi negatif. Hasil uji VIF menunjukkan tidak adanya multikolinearitas serius, sehingga semua variabel independen dapat dipertahankan dalam model regresi. Variabel PBV dan NPM berpengaruh positif dan signifikan terhadap harga saham, sedangkan DER berpengaruh negatif dan signifikan. Model terbaik yang digunakan adalah Fixed Effect Model (FEM) antar individu dengan nilai R-square sebesar 92,52%.
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The economic progress of a country is marked by high public participation in investment. In Indonesia, the number of capital market investors increased by 10% in 2023, reflecting improved financial literacy. One of the strategic sectors is property and real estate, which offers growth potential and asset values that tend to increase. However, the stock price of this sector often fluctuates due to various factors, such as Return on Assets (ROA), Earnings Per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), and Net Profit Margin (NPM). This study analyzes the influence of these factors on the stock prices of property and real estate companies using panel data regression to produce a comprehensive analysis. The results of the study show that the stock prices of property and real estate companies fluctuate from 2019 to 2023, with the highest price on LPCK in 2019 and the lowest on LPKR in 2023. The highest ROA was achieved by LPCK in 2019 and lowest by PUDP in 2020, while the highest and lowest EPS was recorded by PUDP in 2022 and 2020. The highest PBV owned by MTLA in 2019 and the lowest by PUDP in 2022. The highest DER was recorded in APLN in 2021 and lowest in PUDP in 2023. The highest NPM was owned by MMLP in 2021 and the lowest in LPCK in 2020. Based on the correlation analysis of the variables EPS, PBV, and NPM have a positive relationship with the stock price, while ROA and DER are negatively correlated. The results of the VIF test show the absence of serious multicollinearity, so all independent variables can be maintained in the regression model. The PBV and NPM variables have a positive and significant effect on the stock price, while DER has a negative and significant effect. The best model used was the Fixed Effect Model (FEM) between individuals, with an R-square value of 92.52%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Investasi, Properti dan Real Estate, Regresi Data Panel, Investment, Property and Real Estate, Panel Data Regression
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HG Finance
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Nur Afifah Noviyanti
Date Deposited:	02 Feb 2025 13:44
Last Modified:	02 Feb 2025 13:44
URI:	http://repository.its.ac.id/id/eprint/117601

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