The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index

Oktavian Yodha Utama, Siti Puryandani

Abstract

This study aims to determine the effect of BI rate, USD to IDR exchange rates, and gold price on stock returns listed in the SRI KEHATI Index for the period January to December 2018. The population in this research is companies listed on the Indonesia Stock Exchange. The sample is determined by using a purposive sampling method. Some criteria of the sample are companies that: had entered to the SRI KEHATI index respectively from January to December 2018, reported the 2018 monthly financial report, were not suspended by the IDX during the study period, so that obtained a sample of 23 companies with total data is 268. This study used quantitative data analysis in the form of time-series data from January to December 2018. The data collection method used in this study is the documentation method. The analytical tool in this study is the multiple regression analysis. In this study, data is processed by using the SPSS program 21. The results show that the BI rate has a significant positive effect on stock returns, the USD to IDR exchange rate has a significant negative effect on stock returns, and gold price does not have a significant effect on stock returns.

Keywords

Stock Returns, BI Rate, USD to IDR Exchange Rate, Gold Price, SRI KEHATI Index.

Full Text:

PDF

References

Afiyanti, H. T., & Topowijono. (2018). Pengaruh Inflasi, BI Rate dan Nilai Tukar terhadap Return Saham (Studi pada Perusahaan Subsektor Food & Beverages yang Terdaftar di Bursa Efek Indonesia Periode 2013-2016). Jurnal Administrasi Bisnis, 61(2).

Agyei-Ampomah, S., Gounopoulos, D., & Mazouz, K. (2014). Does Gold Offer Better Protection against Losses in Sovereign Debt Bonds than Other Metals? Journal of Banking and Finance, 40(1), 507-521.

Alfi, A. N. (2019, March). KINERJA 2018 : Penjualan ICBP Tumbuh 7,9% Jadi Rp38,41 Triliun. Bisnis.Com. Retrieved from https://market.bisnis.com/read/20190322/192/903132/kinerja-2018-penjualan-icbp-tumbuh-79-jadi-rp3841-triliun

Andes, P., Puspitaningtyas, Z., & Lukman, S. (2017). Pengaruh Inflasi, Kus Rupiah, dan Suku Bunga terhadap Return Saham Perusahaan Manufaktur. Jurnal Akuntansi Keuangan dan Bisnis, 10(2), 8-16.

Apriyani, N., Rindayati, W., & Wiliasih, R. (2018). Analisis Pengaruh Variabel EPS dan Makroekonomi terhadap Return Saham Jakarta Islamic Index Sektor Pertanian. Jurnal Al-Muzara’ah, 3 (1), 44-61.

Baur, D. G., & Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds, and Gold. The Financial Review, 45(3), 217-229.

Baur, D. G., & McDermott, T. K. (2010). Is Gold a Haven? International Evidence. Journal of Banking and Finance, 34(8), 1886-1898.

Bredin, D., Conlon, T., & Potì, V. (2015). Does Gold Glitter in the Long-run? Gold as a Hedge and Haven Across Time and Investment Horizon. International Review of Financial Analysis, 41, 320-328.

El Hedi Arouri, M., Lahiani, A., & Nguyen, D. K. (2015). World Gold Prices and Stock Returns in China: Insights for Hedging and Diversification Strategies. Economic Modelling, 44, 273-282.

Ghozali, I. (2011). Aplikasi Analisis Multivariate dengan Program SPSS (Kelima). Semarang: Badan Penerbit Universitas Diponegoro.

Gumilang, R. C., Hidayat, R. R., & N P, M. G. W. E. (2014). Pengaruh Variabel Makro Ekonomi, Harga Emas dan Harga Minyak Dunia terhadap Indeks Harga Saham Gabungan (Studi pada Bursa Efek Indonesia Periode 2009-2013). Jurnal Administrasi Bisnis (JAB), 14(2), 1-9.

Hanafi. (2004). Manajemen Keuangan. Yogyakarta: BPFE UGM.

Handiani, S. (2014). Pengaruh Harga Emas Dunia, Harga Minyak Dunia dan Nilai Tukar Dolar Amerika/Rupiah terhadap Indeks Harga Saham Gabungan pada Periode 2008-2013. E-Journal Graduate Unpar, 1(1), 94-105.

Hidayat, L. R., Setyadi, D., & Azis, M. (2017). Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar Rupiah serta Jumlah Uang Beredar terhadap Return Saham. Forum Ekonomi, 19(2), 148.

Husnul, H. M., Hidayat, R. R., & Sulasmiyati, S. (2017). Analisis Pengaruh Inflasi, Kurs (IDR/USD), Produk Domestik Bruto dan Harga Emas Dunia terhadap Indeks Harga Saham Gabungan (Studi pada Indonesia Periode 2008 - 2016). Jurnal Administrasi Bisnis (JAB), 53(1), 66-74.

Investing.com. (2018). Data Historic IDX SRI-KEHATI. Retrieved March 1, 2020, from https://id.investing.com/indices/sri-kehati-historical-data

Jogiyanto, H. (2010). Teori Portofolio dan Analisis Investasi (Ketujuh). Yogyakarta: BPFE.

Krondahl, E., & Lindahl, O. (2012). Perceptual Safe Havens: a Study of Gold, Oil, Palladium, Wheat, Bonds, USD, and Stocks. Degree Project Master of Science in Business and Economics, School of Economics and Management Departement of Business Administration Lund University.

Prasetioningsih, D. (2018). Pengaruh Nilai Tukar Rupiah terhadap Return Saham yang Terdaftar di Bursa Efek Indonesia (Studi Kasus Perusahaan LQ45 Periode Januari 2012-Desember 2015). Journal of Management, 4(4).

Rahman, G. D., & Khairunnisa. (2016). Pengaruh Tobin’s Q, Inflasi, Suku Bunga, dan Nilai Tukar terhadap Return Saham (Studi pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia Tahun 2011-2014). E-Proceeding of Management ISSN: 2355-9357, 331-338, 3(1), 331-338.

Raraga, F., Chabachib, M., & Muharam, H. (2012). Analisis Pengaruh Harga Minyak dan Harga Emas terhadap Hubungan Timbal-balik Kurs dan Indeks Harga Saham Gabungan (IHSG) di Bursa Efek Indonesia (BEI) 2000-2013. Jurnal Bisnis Strategi, 21(1), 72-94.

Robiyanto, R. (2018a). Gold VS Bonds: What is the Safe Haven for the Indonesian and Malaysian Capital Market? Gadjah Mada International Journal of Business, 20(3), 277-302.

Robiyanto, R. (2018b). The Effect of Gold Price Changes, USD/IDR Exchange Rate Changes and Bank Indonesia (BI) Rate on Jakarta Composite Index (JCI)’S Return and Jakarta Islamic Index (JII)’S Return. Jurnal Manajemen dan Kewirausahaan, 20(1), 45-52.

Rozi, A. (2018). Anlisis Tingkat Suku Bunga BI, Kurs Rupiah, Harga Emas Dunia, Harga Minyak Dunia, Indeks Hang Seng terhadap Indeks Harga Saham Gabungan (Studi Kasus pada IHSG di Bursa Efek Indonesia Periode 2005-2012). Jurnal Manajemen Jambi, 1(2), 1-11.

Wang, L. (2012). Investment in Gold: an Empirical Study of the Gold Return from the 90s to 21st. Working Paper Copenhagen Business School.

Widhiatmoko, S. W., & Dillak, V. J. (2018). Pengaruh Inflasi, Kurs Valuta Asing, dan Tingkat Suku Bunga SBI terhadap Return Saham (Studi pada Perusahaan Sektor Properti yang Terdaftar di BEI Tahun 2013-2016). E-Proceeding of Management, 5(2), 2172-2179.

Widya, P., Adnyana, P., Suwena, K. R., & Sujana, I. N. (2017). Pengaruh Tingkat Inflasi, Suku Bunga, dan Kurs Valuta Asing terhadap Return Saham pada Perusahaan Property dan Real Estate di Bursa Efek Indonesia Periode 2012-2016. Ejournal Jurusan Pendidikan Ekonomi, 10(2).

Wiradharma, M. S., & Sudjarni, L. K. (2016). Pengaruh Tingkat Suku Bunga, Inflasi, Nilai Kurs Rupiah, dan Produk Domestik Bruto terhadap Return Saham. E-Journal Manajemen UNUD, 5(6), 3392-3420.

Yunita, Y., Nurlita, E., & Robiyanto, R. (2018). Pengaruh Suku Bunga, Kurs Rupiah, dan Harga Emas terhadap Return Saham Sektor Pertambangan di Bursa Efek Indonesia. Prosiding SENDI-U. ISBN: 978-979-364999-3., 978-979.

Yunita, Y., & Robiyanto, R. (2018). The Influence of Inflation Rate, Bi Rate, and Exchange Rate Changes to the Financial Sector Stock Price Index. Jurnal Manajemen dan Kewirausahaan, 20(2), 80-86.


View Counter: Abstract - 240 and PDF - 158

Refbacks

  • There are currently no refbacks.