Angraini, Lestari Ayu (2022) Pengaruh sentimen investor dan faktor ekonomi makro terhadap return dan volatilitas pasar saham di Indonesia. Masters thesis, Universitas Pelita Harapan.
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Abstract
Penelitian yang bertujuan untuk menguji pengaruh sentimen investor dan faktor ekonomi makro terhadap return dan volatilitas pasar saham di Indonesia ini berguna untuk pengambilan keputusan investor dalam mengoptimalkan portofolio. Penelitian menggunakan volume perdagangan, market turnover, share turnover, dan jumlah IPO yang dianalisis dengan menggunakan Principal Component Analysis (PCA) sebagai indeks sentimen investor. Faktor ekonomi makro yang digunakan berupa indeks produksi industri (IPI), suku bunga, nilai tukar, dan inflasi. Return saham agregat (IHSG) dan volatilitas digunakan sebagai variabel terikat. Penelitian kuantitatif dengan data time series ini menggunakan data bulanan periode tahun 2011 hingga 2020. Melalui analisis GARCH ditemukan sentimen investor tidak mempengaruhi return, namun mempengaruhi volatilitas return pasar saham. Terkait faktor ekonomi makro, IPI mempengaruhi return, dengan pengaruh positif. Sedangkan nilai tukar dan inflasi mempunyai pengaruh negatif terhadap return. Suku bunga tidak mempengaruhi return pasar saham di Indonesia.
Item Type: | Thesis (Masters) | ||||||||
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Uncontrolled Keywords: | sentimen investor ; ekonomi makro ; return ; volatilitas ; IHSG ; GARCH | ||||||||
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||||||
Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management Current > Faculty/School - UPH Karawaci > Business School > Master of Management |
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Depositing User: | Users 22994 not found. | ||||||||
Date Deposited: | 14 Feb 2022 03:34 | ||||||||
Last Modified: | 10 Mar 2022 06:41 | ||||||||
URI: | http://repository.uph.edu/id/eprint/46142 |
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