FAKTOR FUNDAMENTAL EKONOMI MAKRO TERHADAP
HARGA SAHAM LQ45
I Gusti Ayu Purnamawati
Desak Nyoman Sri Werastuti
Fakultas Ekonomi dan Bisnis Universitas Pendidikan Ganesha
Jl. Udayana (Kampus Tengah) Singaraja-Bali
Korespondensi dengan Penulis:
I Gusti Ayu Purnamawati: Telp. +62 362 23957
The capital market was an important element that provided benefits for the economic progress through investment development in a country. LQ45 index was the list of 45 excellent chosen stocks 45 which were the most liquid and most active in the sale of the shares on the Stock Exchange. This study aimed to determine the effect of macroeconomic fundamentals on LQ45 stock price. The population used in this study was LQ45 shares in Indonesia Stock Exchange in 2007-2012. The method used in this study was the Error Correction Model (ECM). The dependent variable in this study was the stock price of LQ45, while the independent variables were the rate of economic growth, inflation, the value of U.S. dollar against rupiah exchange rate, and SBI interest rate. The results showed that the rate of economic growth and a variable SBI interest rate had a negative effect in the short-term and long-term of LQ45 stock price. Inflation variable had a positive effect in the short-term and long-term of LQ45 stock price. While the exchange rate variable had a negative effect in the short-term and it had positive impact in long-term on the LQ45 stock price.
Key words: economic growth rate, exchange rate, inflation, macroeconomic fundamentals, SBI interest rate, stock price.