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DAFTAR ISI

ABSTRAK .............................................................................................................. i

ABSTRACT ............................................................................................................ ii

KATA PENGANTAR .......................................................................................... iii

DAFTAR ISI ........................................................................................................ vii

DAFTAR TABEL ............................................................................................... xii

DAFTAR GAMBAR .......................................................................................... xiv

DAFTAR LAMPIRAN ..................................................................................... xvi

BAB I PENDAHULUAN

1.1 Latar Belakang ......................................................................................... 1

1.2 Rumusan Masalah .................................................................................... 6

1.3 Maksud dan Tujuan Penelitian ....................................................................... 8

1.4 Kegunaan Penelitian ................................................................................. 8

1.5 Lokasi dan Waktu Penelitian .......................................................................... 9

BAB II TINJAUAN PUSTAKA

2.1 Analisis Fundamental ............................................................................. 10

2.1.1 Analisis Faktor Ekonomi ..................................................................11

2.1.1.1 Ekonomi Makro ........................................................................ 12

2.1.2 Analisis Industri .................................................................................13

2.1.3 Analisis Perusahaan ........................................................................ 14

2.1.3.1 Analisis Rasio Keuangan ......................................................... 16

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2.2 Variabel Penelitian .................................................................................19

2.2.1 Return Saham ................................................................................ 19

2.2.1.1 Jenis – jenis Return ................................................................. 20

2.2.1.2 Komponen Return Saham ....................................................... 20

2.2.1.3 Metode Perhitungan Return Saham .........................................21

2.2.1.4 Faktor yang Mempengaruhi Return Saham ..............................22

2.2.2 Earning per Share (EPS) ............................................................. 23

2.2.3 Return on Equity (ROE) ............................................................... 24

2.2.4 Inflasi ........................................................................................... 25

2.2.4.1 Pengertian Inflasi ................................................................... 25

2.2.4.2 Jenis – jenis Inflasi ................................................................. 26

2.2.4.3 Faktor yang mempengaruhi Inflasi ..........................................27

2.2.4.4 Metode Perhitungan Inflasi .....................................................28

2.2.5 Suku Bunga .................................................................................. 29

2.2.5.1 Pengertian Suku Bunga .......................................................... 29

2.2.5.2 Fungsi Suku Bunga ................................................................ 29

2.2.5.3 Faktor yang mempengaruhi Suku Bunga ............................... 30

2.2.5.4 Metode Perhitungan Suku Bunga ............................................31

2.3 Matriks Penelitian Terdahulu ................................................................ 32

2.4 Kerangka Pemikiran .............................................................................. 35

2.4.1 Pengaruh Earning per Share terhadap ReturnSaham ......................35

2.4.2 Pengaruh Return on Equity terhadap Return Saham .......................36

2.4.3 Pengaruh Inflasi terhadap Return Saham ........................................36

2.4.4 Pengaruh Suku Bunga terhadap Return Saham ..............................36


2.4.5 Pengaruh Earning per Share (EPS), Return on Equity (ROE), Inflasi
dan Suku Bunga a terhadap Return Saham .......................................37

2.5 Hipotesis Penelitian .............................................................................. 37

BAB III OBJEK DAN METODE PENELITIAN

3.1 Objek Penelitian ..................................................................................... 39

3.2 Metode Penelitian ................................................................................... 39

3.2.1 Desain Penelitian ..............................................................................39

3.2.1.1 Populasi Peneliti .........................................................................40

3.2.1.2 Sampel Penelitian .......................................................................40

3.2.1.3 Unit Analisis ...............................................................................43

3.2.1.4 Jenis Investigasi ..........................................................................43

3.2.1.5 Dimensi Waktu ...........................................................................44

3.2.2 Operasionalisasi Variabel .................................................................44

3.2.3 Teknik Pengumpulan Data................................................................46

3.2.4 Jenis dan Sumber Data ......................................................................47

3.2.5 Teknik Pengolahan Data ...................................................................47

3.3 Metode Analisis Data ............................................................................. 48

3.3.1 Statistik Deskriptif ............................................................................48

3.3.2 Uji Model ..........................................................................................48

3.3.2.1 Uji Chow .....................................................................................48

3.3.2.2 Uji Hausman ...............................................................................49

3.3.3 Uji Asumsi Klasik .............................................................................49

3.3.3.1 Uji Normalitas Data ....................................................................50

3.3.3.2 Uji Multikolinearitas ...................................................................50

3.3.3.3 Uji Heteroskedastisitas ................................................................51


3.3.3.4 Uji Autokorelasi .........................................................................51

3.3.4 Analisis Regresi Berganda Data Panel .............................................52

3.4 Pengujian Hipotesis ............................................................................... 53

3.4.1 Uji Hipotesis Parsial (t-test) .............................................................53

3.4.2 Uji Hipotesis Simultan (F-test) ........................................................54

3.4.3 Uji Koefisien Determinasi ...............................................................55

3.4.4 Penetapan Tingkat Signifikan ..........................................................55

3.4.5 Pengujian Hipotesis ..........................................................................55

BAB IV HASIL PENELITIAN DAN PEMBAHASAN

4.1 Hasil Penelitian....................................................................................... 58

4.1.1 Gambaran Umum Penelitian ............................................................58

4.1.2 Gambaran Mengenai Variabel Penelitian ........................................59

4.1.2.1 Earning per Share (EPS) ......................................................... 59

4.1.2.2 Return on Equity (ROE) ........................................................... 62

4.1.2.3 Inflasi ....................................................................................... 65

4.1.2.4 Suku Bunga .............................................................................. 66

4.1.2.5 Return Saham ........................................................................... 68

4.1.3 Hasil Pengujian Statistik Deskriptif ................................................71

4.1.4 Uji Model ........................................................................................72

4.1.4.1 Uji Chow .................................................................................. 72

4.1.4.2 Uji Hausman............................................................................. 74

4.1.5 Hasil Pengujian Asumsi Klasik ........................................................74

4.1.5.1 Uji Normalitas ........................................................................... 74

4.1.5.2 Uji Multikolinearitas ................................................................. 75

4.1.5.3 Uji Heteroskedastisitas .............................................................. 76


4.1.5.4 Uji Autokorelasi ......................................................................... 77

4.1.6 Analisis Linier Berganda ..................................................................78

4.1.7 Hasil Pengujian Hipotesis .................................................................80

4.1.7.1 Uji Parsial (t-test) ....................................................................... 80

4.1.7.2 Uji Simultan (F-test) .................................................................. 84

4.1.8 Uji Koefisien Determinasi ................................................................ 85

4.2 Pembahasan ........................................................................................... 86

4.2.1 Pengaruh Earning Per Share (EPS) terhadap return saham ........... 86

4.2.2 Pengaruh Return on Equity (ROE) terhadap return saham ............. 87

4.2.3 Pengaruh Inflasi terhadap return saham ......................................... 88

4.2.4 Pengaruh Suku Bunga terhadap return saham ................................ 89

4.2.5 Pengaruh Earning per Share (EPS), Return on Equity (ROE), Inflasi
dan Suku Bunga terhadap return saham .......................................... 91

BAB V KESIMPULAN DAN SARAN

5.1 Kesimpulan ............................................................................................. 92

5.2 Saran ....................................................................................................... 93

DAFTAR PUSTAKA ...........................................................................................95

LAMPIRAN-LAMPIRAN