PENGARUH VARIABEL INTERNAL DAN EKSTERNAL PERUSAHAAN TERHADAP RISIKO SISTEMATIS SAHAM PADA KONDISI PASAR YANG BERBEDA (STUDI PADA SAHAM-SAHAM ILQ 45 DI BURSA EFEK JAKARTA)
Abstract
ABSTRAK
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Fluktuasi harga saham di pasar modal sebagai cerminan ketidakpastian kondisi pasar secara langsung maupun tidak akan berpengaruh terhadap pertimbangan investor dalam mengambil keputusan investasi. Investor yang rasional, pengambilan keputusan investasi didasarkan pada penilaian return maupun risiko yang terkandung dalam alternatif investasi. Penelitian ini bertujuan untuk mengetahui pengaruh kondisi internal dan eksternal perusahaan terhadap risiko sistematis saham pada kondisi pasar yang berbeda.
Data yang digunakan adalah data sekunder berupa data laporan keuangan harga saham. Populasi penelitian adalah seluruh emiten yang masuk dalam perhitungan indeks LQ45 selama periode 1999 sampai 2003. Pengambilan sampel dilakukan dengan teknk purposive sampling dan menghasilkan 15 emiten yang memenuhi syarat ditetapkan sebagai sampel.
Dengan melakukan analisis regresi linier berganda terhadap variabel penelitian, diperoleh hasil bahwa secara simultan variabel-variabel internal dan eksternal perusahaan berpengaruh terhadap risiko sistematis saham pada kondisi pasar bullish maupun bearish. Secara parsial, variabel TATO, DER, ROI, PER berpengaruh secara signifikan terhadap risiko sistematis saham pada kondisi pasar bullish, dengan variabel TATO yang dominan mempengaruhi. Sedangkan pada kondisi pasar bearish, variabel CR, TATO, DER, PER, PBV, dan AS berpengaruh secara signifikan terhadap risiko sistematis saham, dengan variabel AS yang dominan mempengaruhi.
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Kata kunci: risiko sistematis, pasar bullish, pasar bearishÂ
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ABSTRACT
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Fluctuation of stock price in the capital market as an indicator of uncertainty market, it can influence any investment decision of investors. Any rational investors, their investment decisions are based on return valuation and risk assessment in any investment alternatives. This research aimed to analyze effects of internal and external variables on the systematic risk of stock at different condition of market.
Secondary data used ion this research are financial report of stock price. Research population is all of emiten which involve in calculation of LQ45 indexes during periode of 1999 – 2003. Purposive sampling is used in this research and result in 15 emiten as a research sample.
Results of research show that internal and external variables simultaneously influence the systematic risk of stock at the bullish market and bearish market. Partially, variables of TATO, DER, ROI, PER significantly influence the systematic risk of stock at bullish market, the dominant variable is TATO. At the bearish market condition, variables of  CR, TATO, DER, PER, PBV, and AS significantly influence the systemnatic risk of stock, the dominant variables is AS.
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Keywords: systematic risk, bullish market, bearish market.
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