ANALISIS PENGARUH INFLASI, SUKU BUNGA DAN ALIRAN MODAL ASING TERHADAP HARGA SAHAM DENGAN KINERJA KEUANGAN DAN NILAI KURS SEBAGAI VARIABEL INTERVENING

Studi Kasus pada Saham LQ-45 di Bursa Efek Indonesia

Abstract

The purpose of this study is, first, to examine the effect of inflation, interest rate and exchange rates on the financial performance (ROA). Second, to examine the effect of inflation, interest rate and the inflow of foreign funds to the exchange rate. Third, to examine the effect of inflation, interest rates, foreign fund inflows, exchange rates and ROA on stock prices. Fourth, examine the role of ROA as an intervening variable in determining the effects of inflation, interest rates and exchange rates on stock prices, and Fifth, to examine the role of the exchange rate as an intervening variable in determining the effects of inflation, interest rate, the foreign capital inflow to the stock price. The sample was LQ45 shares listed on the Indonesia Stock Exchange. The sampling technique is purposive sampling. The data used time series quarterly data from 2009 up to 2012. The analytical method used in this study is multiple regression  and path analysis. The results of this research show that, first: that the inflation has negative and no significant effect on ROA, the interest rate has positive and   not significant  effect on ROA and interest rate has positive and not significant effect on ROA. Second, that the  inflation has positive and not  significant effect on exchange rate, the interest rates has positive and significant  effect on the exchange rate, the foreign capital inflow  has positive and not significant  effect on the exchange rate. Third, the inflation has positive and   not significant  effect on stock prices, the interest rate has positive and  not significant  effect on stock prices, the foreign fund inflow has positive and significant effect  on stock prices, the ROA has  negative and significant effect on stock prices, the exchange rate has positive and  not  significant  effect on stock prices, Fourth, Testing of intervening variables indicate that ROA does not mediate or not be intervening variables from the variable inflation, interest rate and exchange rate effect on stock price. Variable exchange rate does not mediate or not an intervening variable of the variable inflation, interest rate and  the foreign capital inflow effect on the stock price.