%A NIM.: 1430316013 Jeihan Ali Azhar
%O Promotor: Prof. Dr. H. Hadri Kusuma, MBA dan Dr. H. Syafiq Mahmadah Hanafi, S.Ag., M.Ag
%T PENGARUH FAKTOR FUNDAMENTAL DAN FAKTOR MAKROEKONOMI TERHADAP HARGA SAHAM DENGAN RISIKO SISTEMATIS SEBAGAI VARIABEL MEDIASI
%X This dissertation aims at testing empirically both direct and indirect influences of fundamental factors (i.e. liquidity, leverage, profitability) and macroeconomic factors (i.e. dollar rate, inflation, and Bank of Indonesia (BI) rate) over the stock prices under the systematic risks as a mediation variable. The samples were sharia-category stocks within Jakarta Islamic Index (JII) group which were incorporated into the Jakarta Stock Exchange (JSE) of 2015-2019 period. Using purposive sampling method, 14 stock samples were selected. The quantitative approaches being applied were multiple linear regression analysis and path analysis with the newest version of SmartPLS software. The results show that first, the six independent variables, namely the fundamental factors (i.e. leverage, liquidity, and profitability) and the macroeconomic factors (i.e. dollar rate, inflation, and BI rate), partially do not influence significantly over the stock prices; second, both factors have significant positive influence over systematic risk (beta); third, Sobel Test results show that the six independent variables influence significantly over stock prices under the systematic risk (beta) mediation. The implications of the dissertation are as follow. (1) Theoretically, the results give empirical evidence that despite the absence of influence over the price of stocks that were joined in the Jakarta Islamic Index (JII) of 2015-2019 period, the systematic risk has proven to mediate both fundamental (i.e. leverage, liquidity, and profitability) and macroeconomic (i.e. dollar rate, inflation, amd BI rate) factors over them. This means that the price of stocks of Jakarta Islamic Inddex (JII) is resistant to the fundamental and macroeconomic factors’ dynamic changes, but still risks are not impossible. (2) Practically, companies are expected to be able to maintain the systematic risks and financial ratio balance in a normal level. Companies ought to be able to lower their systematic risks to a reasonable level when investing to provide secure feelings to investors, which, in turn, will raise the stock price as investors’ eagerness to invest arises. In addition, macroeconomic factors should not be forgotten by both companies and investors.
%K Faktor Fundamental, Faktor Makroekonomi, Risiko Sistematis, Harga Saham
%D 2022
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib49980