PENGARUH SUKU BUNGA REVERSE REPO RATE DAN INFLASI TERHADAP RETURN SAHAM (Studi Empiris Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2018)

Authors

  • Sandi Rendy Tumundo
  • Syaikhul Falah
  • Bill J.C Pangayow

DOI:

https://doi.org/10.52062/jakd.v15i1.1463

Abstract

This research aims to see the influence of the interest rate (reverse) repo rate directly and indirectly through inflation on the return of shares as well as interest rates (reverse) The repo rate to inflation and inflation on the return of shares, the financial sector companies listed on the Indonesia Stock Exchange in June year 2016 to December year 2018.
Results showed that the interest rate (reverse) repo rate has no significant effect either directly and indirectly through inflation on return of shares, can be seen from the analysis of the line and calculation of Sobel test in get t count is-3.64 whereas T table is 2.0518 (significance 0.05) then, in the view of T count (-3.64) < T table (2.0518) meaning there is no while the interest rate (reverse) repo rate has a significant effect on inflation in the see of simple regression rates of reverse repo rate against inflation based on T-Test sig value of 0.05 < 0.05, and inflation also significantly and partial impact on the stock return with the value of the significance test T is 0.041. (0.041 < 0.05) and T count
2.150 > 2.0518 t tables.

Downloads

Download data is not yet available.

References

Afiyanti, H. T. (2018). Pengaruh Inflasi, BI Rate dan Nilai Tukar Terhadap Return Saham (Studi Pada

Perusahaan Subsektor Food & Beverages Yang Terdaftar Di Bursa Efek Indonesia Periode 2013-

. Jurnal Administrasi Bisnis, 61(2).

Ali Fikri, M. A. ( S. I. P. (2018). Pengaruh Kebijakan BI 7 Day (Reverse) Repo Rate Terhadap Return

Saham DI Bursa Efek Indonesi. Jurnal JOCE IP 12. Retrieved from

http://scholar.google.co.id/citations?user=xJHYQ6MAAAAJ&hl=en

Alimi, R. S. (2014). Inflation and Financial Sector Performance: The Case of Nigeria. Timisoara

Journal of Economics and Business, 7(1), 55–69. https://doi.org/10.2478/tjeb-2014-0003

Anari, A., & Kolari, J. (2016). Dynamics of interest and inflation rates. Journal of Empirical Finance.

https://doi.org/10.1016/j.jempfin.2016.08.008

Antonio, M. S. (2014). Terhadap Return Saham Syariah. Bisnis Dan Manajemen, 1(1), 1–5.

Asari, F. F. A. H., Baharuddin, N. S., Jusoh, N., Mohamad, Z., Shamsudin, N., & Jusoff, K. (2011). A

Vector Error Correction Model ( VECM ) Approach in Explaining the Relationship Between

Interest Rate and Inflation Towards Exchange Rate Volatility in Malaysia. World Applied

Sciences Journal.

Bambang Sudarsono, B. S. (2016). Faktor-Faktor Yang Mempengaruhi Return Saham Pada

Perusahaan Property Dan Real Estate Yang Terdaftar Pada Bursa Efek Indonesia Tahun 2009 S/D

Bisnis Dan Ekonomi (JBE).

Baron, R., & Kenny, D. (1986). A.(1986). The moderator-mediator variable distinction in social ….

Journal of Personality and Social Psychology, 51(6), 1173–1182. Retrieved from

http://scholar.google.com/scholar?hl=en&q=Baron+Kenny+1986&btnG=Search&as_sdt=100000

&as_ylo=&as_vis=0#1

Bencivenga, V. R., & Smith, B. D. (1993). Some consequences of credit rationing in an endogenous

growth model. Journal of Economic Dynamics and Control. https://doi.org/10.1016/S0165-

(06)80006-0

Bernholz, P., & White, L. H. (2004). Monetary regimes and inflation: History, economic and political

relationship. Journal Des Economistes et Des Etudes Humaines. https://doi.org/10.2202/1145-

1120

Bodie, Z. (1976). COMMON STOCKS AS A HEDGE AGAINST INFLATION. The Journal of

Finance. https://doi.org/10.1111/j.1540-6261.1976.tb01899.x

Bosupeng, M. (University of B. (2016). The Effects of Chinese Interest Rates and Inflation: A

Decomposition of The Fisher Effect. MPRA.

Boyd, J. H., Levine, R., & Smith, B. D. (2001). The impact of inflation on financial sector

performance. Journal of Monetary Economics. https://doi.org/10.1016/S0304-3932(01)00049-6

Chopin, M., & Zhong, M. (2001). Stock Returns, Inflation and Macroeconomy: The Long- and ShortRun Dynamics. SSRN. https://doi.org/10.2139/ssrn.294500

Derang, M. (1998). Penggunaan Suku Bunga Sebagai Sasaran operasional Kebijakan Moneter di

Indonesia. Jurnal Buletin Ekonomi Moneter Dan Perbankan, 1(1), 25. Retrieved from

www.bi.go.id

Dwita Vidyarini, R. R. (Fakultas E. U. N. P. (2012). Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar

Terhadap Return Saham Sektor Restoran Hotel Dan Pariwisata. Jurnal Kajian Manajemen Bisnis,

, 59–74. Retrieved from http://ejournal.unp.ac.id/index.php/jkmb/article/view/4770/3734

Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. American Economic

Association Stock Returns The American Economic Review.

Fama, E. F., Fisher, L., Jensen, M. C., Roll, R., Review, I. E., & Feb, N. (1969). The Adjustment of

Stock Prices to New Information To New Information. International Economic Review.

https://doi.org/10.2307/2525569

Faoriko, A. (Fakultas E. U. N. Y. (2013). Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Rupiah,

Terhadap Return Saham Di Bursa Efek Indonesia. Retrieved from

https://eprints.uny.ac.id/16422/1/lengkap finis.pdf

Fisher, I. (Yale U. (1930). THE THEORY OF INTEREST. THE MACMILLAN .COMPANY.

GESKE, R., & ROLL, R. (1983). The Fiscal and Monetary Linkage between Stock Returns and

Inflation. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1983.tb03623.x

Jurnal Akuntansi & Keuangan Daerah Volume 15, Nomor 1, Mei 2020: 27–45

Ghozali, I. (2011). Aplikasi Analisis Multivariate dengan Program SPSS. Semarang: Badan Penerbit

Universitas Dipenogoro.

Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan Program IBM SPSS 23. (8th ed.). semarang:

Badan Penerbit Universitas Dipenogoro.

Hidayat, L. R., Setyadi, D., & Azis, M. (2018). Pengaruh Inflasi dan Suku Bunga dan Nilai Tukar

Rupiah serta Jumlah Uang Beredar terhadap Return Saham. Forum Ekonomi.

https://doi.org/10.29264/jfor.v19i2.2121

Hurd, M. (2009). No Title. Econ Papers, Vol. 1: 54.

Karim, A. (2015). Analisis Pengaruh Faktor Internal Dan Eksternal Terhadap Return Saham

Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2010-2012.

Media Ekonomi Dan Manajemen.

Kurniasari, W., Wiratno, A., & Yusuf, M. (2018). Pengaruh Inflasi Dan Suku Bunga Terhadap Return

Saham Dengan Profitabilitas Sebagai Variabel Intervening Di Perbankan Yang Terdaftar Di

Bursa Efek Indonesia Tahun 2013-2015. Journal of Accounting Science, 2(1), 67.

https://doi.org/10.21070/jas.v2i1.1216

Lanzafame, M., Nogueira, R., & (Universita degli Studi di Messina Italy IBMEC Business School

Brazil). (2013). Inflation targeting and interest rates. Munich Personal RePEc Archive, 1–28.

Mallik, G., & Bhar, R. (2011). Has the link between inflation uncertainty and interest rates changed

after inflation targeting? Journal of Economic Studies.

https://doi.org/10.1108/01443581111177358

Mankiw, N. G. (Economics at H. U. (2010). Macroeconomics. (S. Dorger, Ed.) (Seventh Ed). New

Yorks: Worth publisher ISBN-13: 978-1 -4292-1887-0 ISBN-10: 1 -4292-1887-8.

Nasir, A., & Mirza, A. (2013). Pengaruh Nilai Kurs, Inflasi, Suku Bunga Deposito Dan Volume

Perdagangan Saham Terhadap Return Saham Pada Perusahaan Perbankan Yang Terdaftar Di

Bursa Efek Indonesia. Jurnal Ekonomi, Bisnis.

Nayeem Abdullah, M. (2015). The Impact of Financial Leverage and Market Size on Stock Returns on

the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector.

International Journal of Economics, Finance and Management Sciences, 3(1), 10.

https://doi.org/10.11648/j.ijefm.20150301.12

Njindan Iyke, B., & Ho, S. Y. (2018). Real exchange rate volatility and domestic consumption in

Ghana. Journal of Risk Finance. https://doi.org/10.1108/JRF-01 -2017-0010

Oktiar, T. (2017). Pengaruh Debt To Equity Ratio, Return on Equity, Tingkat Suku Bunga, Dan Inflasi

Terhadap Return Saham Perusahaan Subsektor Property Dan Real Estate Yang Terdaftar Di

Bursa Efek Indonesia Periode 2007-2012. Jurnal Akuntansi, 2(2).

https://doi.org/10.24964/ja.v2i2.37

Pandey, K. N. (2016). Research methodology. Studies in Systems, Decision and Control (Vol. 60).

https://doi.org/10.1007/978-81 -322-2785-4_4

Pratama, I., & Tjun, L. T. (2017). Pengaruh Suku Bunga Acuan dan Nilai Kurs Tengah Valuta Asing

Terhadap Return Saham. Jurnal Akuntansi, 9(November), 180–185.

Purnomo, T. H., & widyawati, nurul. (2013). Pengaruh nilai tukar, suku bunga, dan inflasi terhadap

return saham pada perusahaan properti. Jurnal Ilmu & Riset Manajemen.

Ratna, M., & Ginting, M. (2015). Pengaruh Tingkat Suku Bunga, Nilai Tukar Dan Inflasi Terhadap

Harga Saham ( Studi Pada Sub-Sektor Perbankan Di Bursa Efek Indonesia Periode 2011 -2015 ).

Jurnal Adminisrasi Bisnis, 35(2), 77–85.

Suyati, S., & Studi Akuntansi Fakultas Ekonomika dan Bisnis, P. (2015). Pengaruh Inflasi,Tingkat

Suku Bunga Dan Nilai Tukar Rupiah/Us Dollar Terhadap Return Saham Properti Yang Terdaftar

Di Bursa Efek Indonesia. Serat Acitya-Jurnal Ilmiah UNTAG Semarang, 4(3), 2302–2752.

Terra, P. R. S., & Jorgensen, J. J. (2006). Revisiting the Causality between Stock Returns and

Inflation: Evidence from Advanced and Emerging Markets. SSRN.

https://doi.org/10.2139/ssrn.889961

Warjiyo, P. (2004). Mekanisme Transmisi Kebijakan Moneter Di Indonesia. Seri Kebanksentralan

No.11.

Willis, Robert J; Kezdi, G. (2011). Household Stock Market Beliefs and Learning. Nber.

https://doi.org/10.3386/w17614

Wiradharma A, M. S., & Sudjarni, L. K. (2016). Pengaruh Tingkat Suku Bunga, Tingkat Inflasi, Nilai

Kurs Rupiah dan Produk Domestik Bruto terhadap Return Saham. E-Jurnal Manajemen, Unud.

Jurnal Akuntansi & Keuangan Daerah Volume 15, Nomor 1, Mei 2020: 27–45

Zuleli, R., & Wulansari Yusniar, M. (2013). Pengaruh Tingkat Keuntungan Pasar , Nilai Tukar Rupiah

, Inflasi , Dan Tingkat Suku Bunga , Terhadap Return Saham Industri Food And Baverage Tahun

-2009 Studi Pada Bursa Efek Indonesia. Jurnal Wawasan Manajemen, 1(1), 105–128

Additional Files

Published

2020-12-13

How to Cite

Tumundo, S. R., Falah, S., & Pangayow, B. J. (2020). PENGARUH SUKU BUNGA REVERSE REPO RATE DAN INFLASI TERHADAP RETURN SAHAM (Studi Empiris Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2018). JURNAL AKUNTANSI DAN KEUANGAN DAERAH, 15(1), 27–45. https://doi.org/10.52062/jakd.v15i1.1463

Issue

Section

Artikel