PENGARUH FAKTOR FUNDAMENTAL PERUSAHAAN DAN EKONOMI TERIIADAP RETARNSAHAM

• Main Authors: , Atik Apriani, , Prof. Dr. Eduardus Tandelilin, MBA.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2013
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/125424/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65592
• Institution: Universitas Gadjah Mada

The global financial crisis affects the country's economy in Indonesia, especially on the state of the stock market index, interest rates and the dollar exchange rate, so that the capital market is not considered an attractive investment option. Manufacturing companies is selected as the population in this study because it has the highest number of companies, an industrial sector which shares most of the trading activity, it is estimated to have influence on the dynamics of stock trading on the stock exchange. To determine whether a company's stock is a viable investment alternative, then the first thing to do is to analyze fundamental factors. Parameters were tested to determine the fundamental factor that may affect the company's stock return is ROA and EPS. Besides macroeconomic factors also cannot be denied affecting the assessment of a stock. Parameters tested for the condition is the sensitivity rate on stock price movements, and the sensitivity of inflation to changes in stock prices. The type of data in this study is secondary data, including ROA, EPS foreign exchange rates and inflation and stock returns. Sample of firms in this study were 113 companies in the manufacturing industry. Empirical testing of the model used in this study is multiple regression, then testing them to test the model (F test), Hypothesis Testing (T Test), and the coefficient of determination (R2 Test). Based on the test results, it is concluded that the variables that influence stock returns is ROA, EPS and exchange rate sensitivity to changes in stock prices, while the other does not give the effect is the sensitivity of inflation to changes in stock prices does not affect the magnitude of stock returns.