PENGARUH VARIABEL MAKROEKONOMI DAN COVID-19 TERHADAP VOLATILITAS RETURN SAHAM DI BURSA EFEK INDONESIA PERIODE MARET 2017 – APRIL 2023

Dian Fordian, Mohammad Benny Alexandri, Suryanto Suryanto, Suhal Kusairi

Abstrak


Volatility in the form of fluctuations in the returns of a security or portfolio in a certain period predicts risk. Volatility prediction has an essential influence on investment decision-making. This study aims to determine and study the impact of macroeconomic variables and COVID-19 on the volatility of stock returns on the Indonesia Stock Exchange (IDX). This study used a quantitative approach. The data used is monthly data from January 2017 to April 2023. The data analysis method uses multiple linear regression. Macroeconomic variables, namely interest rates, exchange rates, inflation, and Covid-19, together affect the volatility of stock returns on the IDX. Partially, inflation and interest rates have a negative and significant effect on the volatility of stock returns on the IDX. Exchange rates have a positive and significant impact on stock return volatility. The COVID-19 coefficient has a negative and significant effect, meaning that, on average, there is a difference in stock return volatility before and after COVID-19, where stock return volatility after COVID-19 is lower than before.

Volatilitas  berupa fluktuasi  dari  return– return  suatu sekuritas atau portofolio dalam suatu periode tertentu memprediksi risiko. Prediksi volatilitas memiliki pengaruh yang penting dalam pengambilan keputusan investasi. Penelitian ini bertujuan untuk mengetahui dan mempelajari pengaruh variabel makroekonomi dan COVID-19 terhadap volatilitas return saham di Bursa Efek Indonesia (BEI). Penelitian ini menggunakan pendekatan kuantitatif. Data yang digunakan berupa data bulanan dari Januari 2017 hingga April 2023. Metode analisis data menggunakan regresi linier berganda. Variabel makro ekonomi yaitu tingkat bunga, nilai tukar, inflasi, Covid-19 secara bersama sama mempengaruhi volatilitas return saham di BEI. Secara parsial inflasi dan tingkat bunga berpengaruh negatif dan signifikan terhadap volatilitas return saham di BEI. Nilai tukar berpengaruh positif dan signifikan terhadap volatilitas return saham. Koefisien Covid-19 berpengaruh negatif dan signifikan, berarti secara rerata terdapat perbedaan volatilitas return saham sebelum dan setelah Covid-19, di mana volatilitas return saham setelah Covid-19 lebih rendah dibandingkan sebelum.



Kata Kunci


volatilitas; inflasi; nilai tukar; suku bunga; Covid-19

Teks Lengkap:

PDF

Referensi


Ahmar, A. S., & del Val, E. B. (2020). SutteARIMA: Short-term forecasting method, a case: Covid-19 and stock market in Spain. Science of the Total Environment, 729, 138883. https://doi.org/10.1016/j.scitotenv.2020.138883

Aminda, R. S. (2019). Analisis Pembentukan Portofolio Di Pasar Modal Indonesia. Ikraith-Ekonomika, 2(1), 104–113.

Anand, A., Li, T., Kurosaki, T., & Kim, Y. S. (2016). Foster-Hart optimal portfolios. Journal of Banking and Finance, 68, 117–130. https://doi.org/10.1016/j.jbankfin.2016.03.011

Angesti, Y. G., & Santioso, L. (2019). Faktor-Faktor Yang Mempengaruhi Volatilitas Harga Saham Perusahaan Manufaktur. Jurnal Ekonomi, 24(1), 46–64. https://doi.org/10.24912/je.v24i1.450

Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249

Badan Pusat Statistik. (2019). Laporan Perekonomian Indonesia 2019. BPS RI.

Badan Pusat Statistik. (2022). Laporan Perekonomian Indonesia 2022. www.bps.go.id

Bank Indonesia. (2020). Inflasi. https://www.bi.go.id/id/fungsi-utama/moneter/inflasi/default.aspx

BAPEPAM-LK. (2011). Laporan Studi Volatilitas Pasar Modal Indonesia dan Perekonomian Dunia. In BAPEPAM-LK. Jakarta.

Binti Omar, N. A., & Halim, F. A. (2016). Modelling volatility of Malaysian stock market using garch models. 2015 International Symposium on Mathematical Sciences and Computing Research, ISMSC 2015 - Proceedings, 2015, 447–452. https://doi.org/10.1109/ISMSC.2015.7594096

Bumi, O. C. (2013). Volatilitas Return Saham Di Indonesia: Pola Dan Perbandingan Dengan Malaysia Dan Singapura. Jurnal BPPK, 6(1), 61–74.

Chasanah, F. N. U., & Pangestuti, I. R. D. (2015). Analisis Pengaruh Perilaku Herding Investor Asing, Volatilitas Indeks Harga Saham Gabungan, Tingkat Inflasi, Dan Kapitalisasi Pasar Terhadap Return Pasar. Diponegoro Journal of Management, 4, 1–11.

Danish, G., & Haymans, A. (2012). Pembentukan Portofolio Saham Optimum Dengan Metode ELTON-GRUBER dan Variabel Makro yang Mempengaruhinya. May.

Dewi, N. M. A. K., & Suaryana, I. G. N. A. (2016). Tingkat Suku Bunga terhadap Volatilitas Harga Saham. E-Jurnal Akuntansi Universitas Udayana, 17, 1112–1140.

Elton, E. J., Gruber, M. J., Brown, St. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory And Investment Analysis. Wiley.

Fabozzi, F. J., & Drake, P. P. (2009). Capital Markets, Financial Management, and Investment Management. John Wiley & Sons, Inc.

Fabozzi, F. J., & Modigliani, F. (1996). Capital Market (2nd editio). Prentice Hall, Inc.

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.1016/0002-8703(53)90182-3

Faustine, I. S., & Ananda, C. F. (2022). Pengaruh Inflasi, Nilai tukar, Volume Perdagangan, Dan Order Imblance Terhadap Volatilitas Harga Saham Pada Perusahaan Sektor Kesehatan Yang Terdaftar Dalam BEI Tahun 2021. Contemporary Studies In Economic, Finance, And Banking, 1(3), 408–422. https://csefb.ub.ac.id/index.php/csefb/article/view/46

Ginting, E. P. (2021). Pengaruh Volume Perdagangan dan Makro Ekonomi terhadap Volatilitas Harga Saham (Studi pada Perusahaan Sektor Farmasi yang Terdaftar pada Bursa Efek Indonesia Periode Tahun 2016- 2020). Jurnal Ilmiah Mahasiswa FEB, 9(2), 1–16.

Granger, C. W. J., Huangb, B. N., & Yang, C. W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asianflu. Quarterly Review of Economics and Finance, 40(3), 337–354. https://doi.org/10.1016/s1062-9769(00)00042-9

Großer, G., & Weinert, G. (2019). World economic outlook (International Monetary Fund). In Intereconomics (Vol. 26, Issue 1). International Monetary Fund. https://doi.org/10.1007/BF02928895

Gujarati, D. N. (2003). Basic Econometrics. The McGraw-Hili Companies.

Hadady, H., Peranginangin, J., & Muharam, H. (2018). Symmetric and asymmetric shock models of stock return volatility in Indonesia stock exchange. International Journal of Civil Engineering and Technology, 9(8), 1034–1047.

Hans, K. (2020, June). Bisnis Rill, Pasar Saham, dan Pandemi Covid-19. Kontan.Co.Id. https://kolom.kontan.co.id/news/bisnis-rill-pasar-saham-dan-pandemi-Covid-19

Hartaty, H., Jasanta, P., & Harjum, M. (2018). Symmetric and asymmetric shock models of stock return volatility in Indonesia stock exchange. International Journal of Civil Engineering and Technology (IJCIET), 9(8), 1034–1047. https://www.researchgate.net/profile/Jasanta_Peranginangin_Peranginangin/publication/327365140_Symmetric_and_asymmetric_shock_models_of_stock_return_volatility_in_Indonesia_stock_exchange/links/5b8a5533299bf1d5a735d950/Symmetric-and-asymmetric-shock-model

Hasan, A., & Zaman, A. (2017). Volatility nexus between stock market and macroeconomic variables in Bangladesh: An extended garch approach. Scientific Annals of Economics and Business, 64(2), 233–243. https://doi.org/10.1515/saeb-2017-0015

Husnan, S. (2015). Dasar-Dasar Teori Portofolio & Analisis Sekuritas (5th ed.). UPP STIM YKPN.

Hutauruk, M. R. (2021). Dampak Situasi Sebelum dan Sesudah Pandemi COVID-19 Terhadap Volatilitas Harga Saham LQ45. Jurnal Riset Akuntansi Dan Keuangan, 9(2), 241–252. https://doi.org/10.17509/jrak.v9i2.32037

Ivo, R., & Laksmiwati, M. (2017). BI rate, inflation, exchanges IDR - USD, and gold on the index of Kompas 100 in Jakarta Islamic Index Period 2012 - 2016. International Journal of Economic Research, 14(4), 411–417.

Jannah, R., & Haridhi, M. (2016). Pengaruh Kebijakan Dividen, Earning Volatility, Dan Leverage Terhadap Volatilitas Harga Saham Pada Perusahaan Non-Financing Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010-2014. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 1(1), 133–148.

Jogiyanto, H. (2016). Teori Portofolio dan Analisis Investasi (10th ed.). BPFE Yogyakarta.

Khan, S. A. N. U. (2016). Modeling volatility on the Karachi Stock Exchange, Pakistan. Journal of Asia Business Studies, 10(3).

Lahmiri, S., & Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons and Fractals, 138, 109936. https://doi.org/10.1016/j.chaos.2020.109936

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19. https://doi.org/10.3390/ijerph17082800

Liu, H. Y., Wang, Y., He, D., & Wang, C. (2020). Short term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics. https://doi.org/10.1080/00036846.2020.1776837

Liummah, K., Nastiti, A., & Suharsono, A. (2012). Analisis Volatilitas Saham Perusahaan Go Public dengan Metode ARCH-GARCH. Jurnal Sains Dan Seni ITS, 1(1), 259–264.

Lubis, D. S. (2016). Analisis Nilai Dan Ramalan Inflasi Dengan Metode ARCH DAN GARCH. At-Tijaroh: Jurnal Ilmu Manajemen Dan Bisnis Islam, 2(1).

Mankiw, N. G. (2010). Macroeconomic (Seventh Ed). Worth Publishers.

Markowitz, H. (1952). Portfolio Selecion. Journal of Finance, 7(1), 77–91.

Mazumder, S. (2020). How important is social trust during the COVID-19 crisis period? Evidence from the Fed announcements. Journal of Behavioral and Experimental Finance, 28, 100387. https://doi.org/10.1016/j.jbef.2020.100387

Mulyana, E., Aminda, S. A., & Suparmono. (2022). Pengaruh Volume Perdagangan, Dividend Payout Ratio Dan Inflasi Terhadap Volatilitas Harga Saham. Jurnal Ilmu Manajemen, 5(2), 194–202.

Nopirin. (1992). Ekonomi moneter (Buku I). BPFE-YOGYAKARTA.

Oktavianti, R., & Saryadi, S. (2020). Pengaruh Dividend Payout Ratio, Firm Size, Dan Leverage Terhadap Volatilitas Harga Saham (Studi Pada Perusahaan Indeks LQ-45 Yang …. Jurnal Ilmu Administrasi Bisnis, 1–14. https://ejournal3.undip.ac.id/index.php/jiab/article/view/27226

Pranita, E. (2020). Diumumkan Awal Maret, Ahli: Virus Corona Masuk Indonesia dari Januari. KOMPAS.Com. https://www.kompas.com/sains/read/2020/05/11/130600623/diumumkan-awal-maret-ahli--virus-corona-masuk-indonesia-dari-januari

PT Bursa Efek Indonesia. (2018). Laporan Tahunan 2018 - Towards the Journey of EXCELLENCE. PT Bursa Efek Indonesia.

Rijanto, Y. A. (2009). Dampak Rumor Terhadap Volatilitas Harga Saham Oleh Y.Arief Rijanto.pdf. 261–285.

Romli, H., Wulandari, M. F., & Pratiwi, T. S. (2017). Faktor-Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada PT Waskita Karya Tbk. Ilmiah Ekonomi Global Masa KIni, 8(01), 1–5.

Salvatore, D. (2013). International economics [electronic resource] / Dominick Salvatore. – 11th ed. In Through the Global Lens. John Wiley & Sons, Inc.

Sari, L. K., Achsani, N. A., & Sartono, B. (2018). Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia. Jurnal Ekonomi Dan Pembangunan Indonesia, 18(1), 35. https://doi.org/10.21002/jepi.v18i1.717

Satriawan, I. W. B. (2017). Prediksi Volatilitas Saham Perusahaan Pertambangan Batu Bara Dengan Metode Artifial Neural Networks- Generalized Aautoregressive Conditional Heteroscedasticity. E-Proceeding of Engineering, 4(3), 5184–5194.

Sekaran, U., & Bougie, R. (2009). Research Methods for Business (FIfth Edit). John Wiley & Sons Ltd.

Selpiana, K. R., & Badjra, I. B. (2018). Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, dan Firm Size terhadap Volatilitas Harga Saham. E-Jurnal Manajemen Universitas Udayana, 7(3), 1682. https://doi.org/10.24843/ejmunud.2018.v7.i03.p20

Setiajji, H. (2018). Dolar AS Jatuh Nilai Rupiah Terkuat Sejak September 2017. https://www.cnbcindonesia.com/market/20180108114748-17-861/nilai-rupiah-terkuat-sejak-september-2017

Sharpe, W. F. (1990). Investments / William F. Sharpe, Gordon J. Alexander. (4th ed). Englewood Cliffs, N.J. : Prentice Hall, c1990.

Sudarwan, I. A. (2020). Mencermati Arah dan Peluang Pasar Modal di Tengah Pandemi. Bisnis.Com. https://market.bisnis.com/read/20200514/7/1240407/mencermati-arah-dan-peluang-pasar-modal-di-tengah-pandemi

Sunariah. (2011). Pengantar Pengetahuan Pasar Modal (Edisi 6). UPP STIM YKPN.

Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, May, 101691. https://doi.org/10.1016/j.frl.2020.101691

Widiarta, I. K. G. (2011). Analisis Volatilitas Indeks Harga Saham Gabungan dan Individual dengan Exponential Moving Average dalam Menghitung Risiko Saham Melalui Estimasi Beta. Jurnal Ilmu Manajemen Dan Bisnis, 2(2), 74. https://doi.org/10.17509/jimb.v2i2.13088




DOI: https://doi.org/10.24198/adbispreneur.v9i1.50743

Refbacks

  • Saat ini tidak ada refbacks.