PENGARUH RASIO FUNDAMENTAL DAN FAKTOR MAKRO EKONOMI TERHADAP RETURN SAHAM (Pada Saham Jakarta Islamic Indeks (JII) Periode 2015-2020)

Nurhayati Gustina, NIM: 19208012049 (2021) PENGARUH RASIO FUNDAMENTAL DAN FAKTOR MAKRO EKONOMI TERHADAP RETURN SAHAM (Pada Saham Jakarta Islamic Indeks (JII) Periode 2015-2020). Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study was conducted to examine the effect of fundamental ratios (EPS, PER, PBV, ROE, DER) and macroeconomic factors (Inflation, Interest Rates, Exchange Rates) on stock returns listed on the Jakarta Islamic Index (JII) for the 2015-2015 period. 2020 and resulted in 84 purposive sampling data observations with panel data regression. This study results that simultaneously the ratio of fundamentals and macroeconomic factors affect the stock return of Jakarta Islamic Index (JII) during the observation period. From the results of hypothesis testing that has been carried out, it is found that partially fundamental ratios such as PER and PBV have a significant positive effect on stock returns of the Jakarta Islamic Index (JII), while the ratio of EPS, ROE and DER does not have a significant effect on stock returns on the index. from 2015-2020. Then for the macroeconomic factors tested in this study, it is known that macroeconomic factors such as inflation, interest rates and exchange rates do not have a significant influence in influencing stock returns at JII with a negative relationship direction.

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