Analisis Pengaruh Rasio Keuangan Profitabilitas Terhadap Return Saham Yang Tergabung Dalam Indeks LQ45 Menggunakan Metode Vector Error Correction Model (VECM)

Utami, Inneke (2022) Analisis Pengaruh Rasio Keuangan Profitabilitas Terhadap Return Saham Yang Tergabung Dalam Indeks LQ45 Menggunakan Metode Vector Error Correction Model (VECM). Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Jumlah investor Indonesia mengalami peningkatan pesat dalam beberapa tahun terakhir, hal ini membuktikan bahwa investasi sudah menjadi pilihan untuk sarana penanaman modal, menabung, maupun sumber penghasilan. Bursa Efek Indonesia menyebutkan bahwa investasi yang banyak diminati adalah investasi dalam bentuk saham. Adapun dalam berinvestasi saham, ada beberapa hal lainnya yang perlu dipahami seperti metode analisis yang biasa digunakan untuk investasi jangka panjang, yaitu analisis fundamental, salah satunya melalui analisis rasio keuangan perusahaan profitabilitas yang mengukur kemampuan perusahaan berdasarkan pendapatannya. Rasio profitabilitas yang dianalisis dalam penelitian ini adalah Return on Asset (ROA), Return on Equity (ROE), dan Earning per share (EPS), dimana metode yang digunakan merupakan metode multivariate time series, yaitu Vector Error Correction Model (VECM). Tujuan dari penelitian ini adalah menganalisis pengaruh dari ROA, ROE, dan EPS terhadap return saham perusahaan yang tergabung dalam LQ45 pada periode Agustus 2021, dimana dalam penelitian ini menggunakan data saham KLBF dan ANTM. Secara kausalitas jangka pendek, masing-masing rasio, ROA, ROE, dan EPS, tidak memberikan pengaruh terhadap return saham KLBF dan ANTM, akan tetapi keseluruhan variabel saling menyesuaikan untuk mencapai ekuilibrium jangka panjang. Pengaruh yang diberikan masing-masing variabel independen ROA, ROE, dan EPS juga berbeda terhadap masing-masing return saham, dimana berdasarkan variance decomposition, ROA dan EPS memberikan pengaruh yang lebih besar terhadap return saham dibandingkan ROE.
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The number of Indonesian investors has increased rapidly in recent years, this proves that investment has become an option for investment, saving, and income sources. The Indonesia Stock Exchange stated that the investment that is in great demand is an investment in the form of shares. As for investing in stocks, there are several other things that need to be understood, such as the analytical methods commonly used for long-term investments, namely fundamental analysis, one of which is through analysis of company profitability ratios that measure the company's ability based on its income. The profitability ratios analyzed in this study are Return on Assets (ROA), Return on Equity (ROE), and Earnings per share (EPS), where the method used is a multivariate time series method, namely the Vector Error Correction Model (VECM). The purpose of this study is to analyze the effect of ROA, ROE, and EPS on stock returns of companies incorporated in LQ45 in the period August 2021, which in this study uses stock data from KLBF and ANTM. In short-term causality, each ratio, ROA, ROE, and EPS, has no effect on KLBF and ANTM stock returns, but all variables adjust to each other to achieve long-term equilibrium. The influence given by each independent variable ROA, ROE, and EPS is also different on each stock return, where based on variance decomposition, ROA and EPS have a greater influence on stock returns than ROE.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	EPS, Return Saham, ROA, ROE, Saham, EPS, Stock Return, ROA, ROE, Stock
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Inneke Utami
Date Deposited:	08 Feb 2022 08:08
Last Modified:	08 Feb 2022 08:08
URI:	http://repository.its.ac.id/id/eprint/93150

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