Pengaruh Faktor Fundamental Perusahaan, Makro Ekonomi, Return Market terhadap Return Saham Perusahaan Property dan Real Estate di BEI Periode 2015-2025

Situmorang, Ivander Noel (2026) Pengaruh Faktor Fundamental Perusahaan, Makro Ekonomi, Return Market terhadap Return Saham Perusahaan Property dan Real Estate di BEI Periode 2015-2025. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Penelitian ini menguji pengaruh faktor fundamental perusahaan (profitabilitas, solvabilitas, likuiditas, dan aktivitas), variabel makroekonomi (PDB, inflasi, suku bunga, dan nilai tukar), serta return market terhadap return saham pada sektor properti dan real estat di Bursa Efek Indonesia periode 2015–2025. Menggunakan pendekatan kuantitatif dengan teknik purposive sampling, diperoleh sampel sebanyak 10 perusahaan (110 observasi). Analisis regresi data panel berbasis EViews 13 menunjukkan bahwa secara parsial, rasio-rasio fundamental perusahaan tidak berdampak signifikan terhadap return saham. Sebaliknya, PDB dan nilai tukar berasosiasi negatif signifikan, sedangkan inflasi (pada tingkat signifikansi 10%), suku bunga, dan return market berpengaruh positif signifikan. Secara simultan, seluruh variabel independen terbukti memengaruhi return saham secara signifikan (p<0,05) dengan koefisien determinasi (R^2) sebesar 0,8021. Temuan ini menegaskan pentingnya integrasi analisis makroekonomi dan kondisi pasar bagi investor maupun manajemen dalam perumusan strategi investasi dan bisnis. Kata Kunci: Profitabilitas, Solvabilitas, Likuiditas, Aktivitas, PDB, Inflasi, Suku Bunga, Nilai Tukar, Return Market, Return Saham / This study examines the effects of corporate fundamental factors (profitability, solvency, liquidity, and activity), macroeconomic variables (GDP, inflation, interest rates, and exchange rates), and market returns on stock returns within the property and real estate sector of the Indonesia Stock Exchange from 2015 to 2025. Utilizing a quantitative approach with a purposive sampling method, a final sample of 10 companies yielding 110 observations was selected. Panel data regression analysis conducted via EViews 13 indicates that, partially, company fundamental ratios have no significant impact on stock returns. Conversely, GDP and exchange rates demonstrate a statistically significant negative association, whereas inflation (at a 10% significance level), interest rates, and market returns exert a statistically significant positive effect. Simultaneously, the full set of independent variables significantly drives stock returns (p<0.05), with a coefficient of determination (R^2) of 0.8021. These findings underscore the critical need for integrating macroeconomic and market condition analyses into investment decisions and corporate business strategies. Keywords: Profitability, Solvency, Liquidity, Activity, Gross Domestic Product (GDP), Inflation, Interest Rates, Exchange Rates, Market Return, Stock Return

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