Pengaruh Variabel Kinerja Keuangan Perusahaan dan Makroekonomi Terhadap Harga Saham Batubara: Perbandingan Antara Emiten LQ45 Dan NonLQ45

Abstract

This study aimed to determine the effect of company financial performance and macroeconomic variables on the stock price of coal issuers LQ45 and nonLQ45 in Indonesia. The financial performance variables are Quick Ratio, Debt to Equity, Return on Equity, and Price Earnings Ratio; hence macroeconomic variables are coal price, crude oil price, inflation, China coal import, and India coal import. These variables were analyzed using panel data regression analysis with annual data of the 2009-2016 period. The results of this study indicated that there are five of eight independent variables that significant influence on the stock price at the LQ45 of coal issuers, and there are four of nine independent variables that significant influence on the stock price at the nonLQ45 of coal issuers. The overall variables used in this research represent the influence of the stock price of coal issuer equal to 91,24% for LQ45 issuers and 97,99% for nonLQ45 issuers. This study concludes that financial performance variables have more influence on LQ45 share, while macroeconomic variables have more influence on non-LQ45 stocks.Keywords: internal factor, eksternal factor, coal mining, data panel regressionAbstrak: Penelitian ini bertujuan mengetahui apakah harga saham emiten batubara pada perusahaan LQ45 dan nonLQ45 di Indonesia dipengaruhi oleh variabel kinerja keuangan (Quick Ratio, Debt to Equity, Return on Equity, Price Earning Ratio) dan variabel makroekonomi (harga batubara, harga minyak mentah, inflasi, dan tingkat impor batubara di China dan India dari Indonesia). Metode penelitian ini menggunakan analisis regresi data panel dengan menggunakan data periode 2009-2016. Hasil penelitian menunjukkan bahwa terdapat lima dari delapan variabel bebas yang berpengaruh signifikan terhadap harga saham batubara emiten LQ45, serta terdapat empat dari dari sembilan variabel bebas yang berpengaruh signifikan terhadap harga saham batubara emiten nonLQ45. Keseluruhan variabel yang digunakan dalam penelitian ini mewakili pengaruh harga saham emiten batubara sebesar 91,24% untuk emiten LQ45 dan 97,99% untuk emiten nonLQ45. Simpulan dari hasil penelitian ini yaitu, variabel kinerja keuangan lebih banyak berpengaruh pada saham LQ45 sedangkan variabel makroekonomi lebih banyak berpengaruh pada saham nonLQ45.Kata kunci: faktor internal, faktor eksternal, pertambangan batubara, regresi data panel

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