Analisis Pengaruh Variabel Makro Ekonomi Terhadap Return Saham Pada Bank Bumn di Bursa Efek Indonesia
Abstract
This study aims to analyze the influence of macroeconomic variables, namely BI Rate, Rupiah Exchange Rate, Inflation, and Economic Growth, on Stock Returns of State-Owned Banks listed on the Indonesia Stock Exchange. The problem to be solved is the uncertainty regarding the significant influence of these variables on stock returns, which in previous studies have produced mixed results. By understanding this relationship, it is expected to provide better insight for investors and policy makers in making investment decisions and designing economic policies. The research method used is a quantitative approach with multiple linear regression analysis, where the analysis methods include descriptive statistical analysis techniques, classical assumption tests, multiple linear analysis tests, and hypothesis tests. The results of the analysis show that simultaneously, all independent variables have a significant effect on Stock Returns, which can be proven with a probability level (F-statistic) of 0.000000, < 0.05 Probability level (F-statistic). However, partially, only Rupiah Exchange Rate, Inflation, and Economic Growth showed a significant influence, this can be proven by Rupiah Exchange Rate with a t-count value of 4.983 > 2.004 t table, then for inflation it is proven by a t-count value of 6.664 > 2.004 t-table and for economic growth it is proven by a t-count value of 2.546 > 2.004 t-table, while BI Rate has no effect, this is proven by BI Rate with a t-count value of 0.865 < 2.004 t-table. The implication of this study is the importance of considering macroeconomic factors in making investment decisions, as well as providing recommendations for further research to include micro factors and expand the scope of research objects. The contribution of this study is expected to enrich the literature on the influence of macroeconomic variables on the stock market, especially in the context of state-owned banks in Indonesia.
Downloads
References
Afiyati, H. T. (2019). Pengaruh Inflasi, BI rate, dan Nilai Tukar terhadap Return Saham. Jurnal Administrasi Bisnis (JAB)|Vol. 61 No.2, 6, 15.
Ali, K., Sari, D. R., & Putri, R. (2019). Pengaruh Inflasi, Nilai Tukar Rupiah dan Harga Emas Dunia Terhadap Indeks Harga Saham Pertambangan Pada Bursa Efek Indonesia (Periode Tahun 2016-2018). Jurnal Bisnis Darmajaya, 05(02), 90–113.
Ananda, W. C., & Santoso, A. B. (2022). Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Rupiah terhadap Return Saham pada Perusahaan Perbankan yang Terdaftar Di Bursa Efek Indonesia (2018-2020). J-MAS (Jurnal Manajemen Dan Sains), 7(2), 726. https://doi.org/10.33087/jmas.v7i2.559
Cahyani, E. D. (2019). PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR TERHADAP RETURN SAHAM. Eprintslib. Universitas Muhammadiyah Magelang, 8(5), 55.
Christine, D., Apriwandi, & Rachmat Hidayat. (2023). Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Terhadap Return Saham. Jurnal Ekuilnomi, 5(2), 237–244. https://doi.org/10.36985/ekuilnomi.v5i2.713
Darmayani, K. D. (2024). SITUASI PANDEMIC TERHADAP RETURN SAHAM PADA TERDAFTAR DI BURSA EFEK INDONESIA. POLITEKNIK NEGERI BALI.
DEWI, A. . S. U. (2020). Pengaruh Tingkat Suku Bunga SBI, Kurs, Dan Inflasi Terhadap Harga Saham Pada Perusahaan Perbankan Yang Terdaftar di Bursa Efek Indonesia Tahun 2015-2017. Repository Unmas.
Hastuti, R., Irawan, I., & Hukom, A. (2023). Pengaruh Inflasi, Nilai Tukar, Suku Bunga dan Produk Domestik Bruto terhadap Return Saham pada Perusahaan Manufaktur (The Effect of Inflation, Exchange Rate, Interest Rate and Gross Domestic Products on Stock Returns in Manufacturing Companies). Studi Ekonomi Dan Kebijakan Publik (SEKP), 2(1), 21–36.
Hernadi Moorcy, N., Alwi, M., & Yusuf, T. (2021). Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Indonesia. Jurnal GeoEkonomi, 12(1), 67–78. https://doi.org/10.36277/geoekonomi.v12i1.146
Kurniawan, A., & Yuniati, T. (2019). Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar TerhadapHarga Saham Perusahaan Perbankan. Jurnal Ilmu Dan Riset Manajemen , 8(1), 1–16.
Mulyadi, S. (2023). Pengaruh Pertumbuhan Ekonomi, Return Saham, dan Suku Bunga terhadap Indeks Saham Syariah. Jurnal Dinamika Ekonomi Syariah, 10(1), 13–23.
Pasaribu, E., Ekaputri, R. A., & Yefriza, Y. (2023). Effectiveness of Monetary Policy in Indonesia. Integrated Journal of Business and Economics, 7(2), 445. https://doi.org/10.33019/ijbe.v7i2.645
Pasaribu, E., Febriani, R. E., & Septriani. (2020). Efektifitas Transmisi Kebijakan Moneter Indonesia Jalur Nilai Tukar Pada Masa Pandemi Covid-19. Pareto, 3(3(2)), 35–50. https://doi.org/https://doi.org/10.32663/pareto.v3i2.1493
Septiani, S. M. (2019). PENGARUH INFLASI, BI RATE, KURS (USD) DAN PERTUMBUHAN EKONOMI TERHADAP RETURN SAHAM (Studi pada Perusahaan Subsektor Farmasi yang Terdaftar di BEI Periode 2011-2017). Repository Universitas Widyatama.
Shabrina, S., Ruliana, T., & Dewi, C. K. (2020). Farmasi Yang Terdaftar Di Bursa Efek Indonesia. Jurnal Manajemen Dan Akutansi, 17(2), 16–167.
Sinaga, A. N., Eric, E., Rudy, R., & Wiltan, V. (2020). Current Ratio, Debt to Equity Ratio, Return on Equity, Dividend Payout Ratio dan Size terhadap Return Saham Perusahaan Trade, Service & Investment Indonesia. Journal of Economic, Bussines and Accounting (COSTING), 3(2), 311–318. https://doi.org/10.31539/costing.v3i2.1043
Sitanggang, H., & Munthe, K. (2019). Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Terhadap Return Saham Pada Perusahaan Manufaktur Di Bursa Efek Indonesia Pada Periode 2013-2016. Jurnal Manajemen Dan Bisnis, 18, 101–113. https://doi.org/10.54367/jmb.v18i2.424
subekti, A. T. (2023). KAJIAN INFLASI DAN DAMPAKNYA TERHADAP PERTUMBUHAN EKONOMI DIKOTA JAMBITAHUN 2022Study Of Inflation And Its Impact On Economic Growth In The City Of Jambi In 2022. Khanza Intelektual, 7, 1–14. https://doi.org/10.37250/newkiki.v4i1.200
Sugiyono. (2017). Memahami Penelitian Kualitatif. Alfabeta. Bandung.
Suharyanto, A. Z. (2021). THE EFFECT OF INFLATION, INTEREST RATE, AND EXCHANGE RATE ON STOCK RETURNS IN FOOD & BEVERAGES COMPANIES. Journal of Applied Management (JAM), 19(3).
Sulia Sukmawati, U., Kusnadi, I., & Ayuni, S. (2020). Pengaruh Inflasi, Pertumbuhan Ekonomi, Dan Nilai Tukar Rupiah Terhadap Harga Saham Syariah Pada Jakarta Islamic Index Yang Lesting Di Bursa Efek Indonesia Tahun 2015-2019. Jurnal Alwatzikhoebillah : Kajian Islam, Pendidikan, Ekonomi, Humaniora, 6(2), 54–69. https://doi.org/10.37567/alwatzikhoebillah.v6i2.338
Usman, B., Hasnam, M. G., Nurazi, R., Baihaqi, & Aujirapongpan, S. (2024). Exploring investor attention in Shariah markets, macroeconomic influences, and corporate performance: Insights from Indonesia. Social Sciences and Humanities Open, 10(April), 101015. https://doi.org/10.1016/j.ssaho.2024.101015
Wardoyo, D. U., Perdana, N. A. R., & Khotimah, D. K. (2022). Analisis Implementasi ISAK 35 Terhadap Laporan Keuangan Masjid Syamsul Ulum Periode 2021. Jurnal Publikasi Ekonomi Dan Akuntansi, 2(3), 356–369. https://doi.org/10.51903/jupea.v2i3.387
Wiarta, I., Daniyanti, D., & Etriya, E. (2020). ANOMALI RETURN PADA PASAR MODAL INDONESIA (Studi Pada Bank BUMN di Bursa Efek Indonesia). Journal Development, 8(2), 152–157. https://doi.org/10.53978/jd.v8i2.158
Widiana, A., & Yustrianthe, R. H. (2020). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Badan Usaha Milik Negara. Jurnal Ilmiah Akuntansi Kesatuan, 8(3), 425–432. https://doi.org/10.37641/jiakes.v8i3.382
Widianti, A. P. (2024). PENGARUH INFLASI DAN SUKU BUNGA (BI) TERHADAP RETURN SAHAM PADA BANK BUMN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2017-2021. LOBI, 1(Maret), 1–14.
Yosepha R, & Ermalina. (2021). Return Saham Pada Bank BUMN Yang Terdaftar Di Bursa Efek Indonesia. Indonesian Journal of Economics Application, 3(1), 107–118. http://ojs.itb-ad.ac.id/index.php/IJEA
Bila bermanfaat silahkan share artikel ini
Berikan Komentar Anda terhadap artikel Analisis Pengaruh Variabel Makro Ekonomi Terhadap Return Saham Pada Bank Bumn di Bursa Efek Indonesia
Pages: 67-75
Copyright (c) 2024 Bayu Mirama Herman, Azansyah Azansyah

This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).