Pemodelan Harga Saham Sektor Konstruksi Bangunan, Properti Dan Real Estate di JII 70 Tahun 2013-2018 Menggunakan Regresi Data Panel (FEM Cross-section SUR)

Rahmatullah, M Bagus (2019) Pemodelan Harga Saham Sektor Konstruksi Bangunan, Properti Dan Real Estate di JII 70 Tahun 2013-2018 Menggunakan Regresi Data Panel (FEM Cross-section SUR). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Persaingan bisnis di era pasar bebas saat ini semakin ketat. Setiap perusahaan membutuhkan modal agar dapat lebih berkembang dan tetap eksistensi. Salah satu cara perusahaan untuk memperoleh modal adalah dengan menawarkan saham di Bursa Efek Indonesia. Namun harga saham yang diperdagangkan dapat berubah tiap waktu, sehingga para investor perlu melakukan analisis terhadap kinerja perusahaan yang ditinjau dari rasio keuangan perusahaan dan makro ekonomi di Indonesia terlebih dahulu agar memperoleh keuntungan baik dari dividen maupun capital gain. Berdasarkan analisis menggunakan regresi data panel diperoleh estimasi model data panel yang sesuai untuk pemodelan harga saham 12 perusahaan terdaftar di Jakarta Islamic Index (JII) 70 tahun 2013-2018 adalah Fixed Effect Model dengan Cross-section SUR. Secara simultan, semua variabel independen yang terdiri dari Current Ratio (CR), Debt to Equity Ratio (DER), Return on Equity (ROE), Return on Asset (ROA), Price to Book Value (PBV), Earning Per Share (EPS), Price Earning Ratio (PER), kurs rupiah, dan suku bunga secara bersama-sama berpengaruh signifikan. Namun secara parsial hanya variabel CR, DER, ROE, PBV, EPS, Kurs Rupiah, dan Suku Bunga yang berpengaruh signifikan terhadap harga saham dengan koefisien determinasi sebesar 96,15%.
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Nowadays business competition in the free market is getting tougher. Every company needs capital to growth and to keep its existence. One of the methods to acquire capital is by offering company’s stocks in Indonesia Stock Exchange. However, stock price traded may change every time, so that investors have to analyzing companies performance in terms of financial ratio and macoroeconomic in Indonesia beforehand to obtain gains from dividend or capital gain. Based on the analysis using panel data regression obtained by the best estimation model of panel data for modeling stock price of twelve companies listed in Jakarta Islamic Index (JII) 70 2013-2018 is using fixed effect model with Cross-section SUR. Simultaneously, all independent variables consist of Current Ratio (CR), Debt to Equity Ratio (DER), Return on Equity (ROE), Return on Asset (ROA), Price to Book Value (PBV), Earning Per Share (EPS), Price Earning Ratio (PER), USD/IDR Exchange Rate, dan Interest Rate influence significantly. However, partially only the CR, DER, ROE, PBV, EPS, USD/IDR Exchange Rate, dan Interest Rate have a significant effect on stock prices with a coefficient of determination of 96,15%.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Data Panel, Fixed Effect Model, Harga Saham, SUR
Subjects:	H Social Sciences > HA Statistics > HA31.3 Regression. Correlation. Logistic regression analysis. H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments
Divisions:	Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User:	M. Bagus Rahmatullah
Date Deposited:	23 Jul 2026 02:33
Last Modified:	23 Jul 2026 02:33
URI:	http://repository.its.ac.id/id/eprint/66290

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