Pengaruh Inflasi, Tingkat Suku Bunga Bank Indonesia (BI Rate), Harga Minyak, dan Dollar Indeks (DXY) terhadap Return Harga Saham Sektor Industri Barang Konsumsi

Abstract

Penelitian ini bertujuan untuk mengetahui pengaruh tingkat inflasi, tingkat suku bunga bank Indonesia (BI Rate), harga minyak, dan Dollar Indeks (DXY) terhadap return harga saham sektor industri barang konsumsi periode 2016 hingga 2018. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) dengan model Generalized Error Distribution (GED) digunakan sebagai analisis metode dalam penelitian ini. Hasilnya BI Rate memiliki pengaruh positif signifikan terhadap return harga saham sektor industri barang konsumsi, harga minyak berpengaruh negatif signifikan terhadap return harga saham sektor industri barang konsumsi. Inflasi dan Dollar Indeks (DXY) tidak berpengaruh signifikan terhadap return harga saham sektor industri barang konsumsi.

This study aims to determine the effect of the inflation rate, Bank Indonesia interest rates (BI Rate), oil prices, and Dollar Index on the stock price returns of the consumer goods industry sector for the period of 2016 to 2018. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with the Generalized Error Distribution model (GED) was used as a method analysis in this study. The result is that the BI Rate has a significant positive effect on stock prices in the consumer goods industry sector, oil prices have a significant negative effect on stock prices in the consumer goods industry sector. Inflation and the Dollar Index (DXY) do not significantly influence the stock price return of the consumer goods industry sector.