Pengaruh Faktor Fundamental dan Teknikal Terhadap Harga Saham Properti di Bursa Efek Jakarta

Abstract

Property was one of sectors that suffer very much during 2005. This caused the securities property price decrease on stock exchange. The objective of this research is to understand fundamental factor and technical that influence securities price on property sector. The fundamental factors used in this research are 14 financial ratios which are current ratio, quick ratio, leverage ratio, debt to equity ratio, inventory turn over, fixed asset turn over, total asset turn over, gross profit margin, operating profit margin, net operating margin, return on investment, return on equity, price earning ratio dan price book value. The technical factors used are trading volume and individual stock price’s index. The sample method uses purposive sampling method. Population are 32 companies, only 16 companies are selected, because the financial statement are complete in 2001 until 2003, and securities were active traded in stock exchange. Hypotesis testing was done through the multiple regression analysis and prior to that classic assumption test including normality, multicolinierity, heteroscedasticity, autocorelation and linearity model test was conducted. From normality and multicolinierity test, 8 variables are excluded; current ratio, debt to equity ratio, inventory turn over, total asset turn over, gross profit margin, net profit margin, return on equity and price earning ratio because there are not normal and have colinierity. The findings of this study reveal that the fundamental factor which are leverage ratio, fixed asset turn over, quick ratio, operating profit margin, return on investment, price book value and technical factor which are trading volume and individual stock price’s index simultaneously influence and significant the stock price. The fundamental factor which are leverage ratio, operating profit margin, price book value and technical factor which are trading volume and individual stock price’s index partially influence and significant on alpha 5%. The individual stock price’s index even is high significant.

Properti merupakan salah satu sektor yang terpuruk pada tahun 2005. Hal ini mengakibatkan harga saham properti di Bursa Efek Jakarta juga terpuruk. Penelitian ini dilakukan dengan tujuan untuk mengetahut faktor-faktor fundamental dan teknikal yang memiliki pengaruh terhadap harga saham di sektor properti. Adapun faktor fundamental yang dipergunakan dalam penelitian ini adalah 14 rasio keuangan perusahaan yang terdiri dari current ratio, quick ratio, leverage ratio, debt to equity ratio, inventory turn over, fixed asset turn over, total asset turn over, gross profit margin, operating profit margin, net operating margin, return on investment, return on equity, price earning ratio dan price hook value. Faktor teknikal vang dipergunakan adalah volume perdagangan dan indeks harga saham individu. Metode pengambilan sampel menggunakan metode purposive sampling. Jumlah populasi 32 perusahaan properti, diambil sebagai sampel 16 perusahaan, karena memiliki laporan keuangan secara lengkap pada tahun 2001 sampai 2003 dan sahamnya aktif diperdagangkan di bursa. Pengujian hipotesis dilakukan dengan menggunakan analisis regresi linier berganda dengan terlebih dahulu melakukan uji asumsi klasik yang meliputi uji normalitas, multi kolonieritas, hateroskedastisitas dan autokorelasi, ditambah dengan uji linearitas model. Dari uji normalitas data dan multikolinieritas, 8 variabel dikeluarkan karena tidak memenuhi asumsi normalitas dan kolinieritas, yaitu current ratio, debt to equity ratio, inventorv turn aver, total asset turn over, grass profit margin, net profit margin, return on equity dan price earning ratio. Hasil penelitian menuniukkan, bahwa secara serempak, faktor fundamental yang terdiri dari leverage ratio, , fixed asset turn over, quick ratio, operating profit margin, return on investment, price hook value dan faktor teknikal yang terdiri dari volume perdagangan dan indeks harga saham individu memiliki pengaruh signifikan terhadap harga saham. Secara parsial, faktor fundamental yang terdiri dari leverage ratio, operating profit margin, price book value dan faktor teknikal yang terdiri dari volume perdagangan dan indeks harga saham individu memiliki pengaruh signifikan terhadap harga saham pada alpha 5%. Indeks harga saham individu bahkan sangat signifikan.