Pengaruh Faktor Makro Ekonomi Terhadap Return Saham Perusahaan Rokok yang Terdaftar di Bursa Efek Indonesia Periode 2019–2024

Barus, Rohit (2026) Pengaruh Faktor Makro Ekonomi Terhadap Return Saham Perusahaan Rokok yang Terdaftar di Bursa Efek Indonesia Periode 2019–2024. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Penelitian ini berjudul Pengaruh faktor makro ekonomi terhadap return saham perusahaan rokok yang terdaftar di Bursa Efek Indonesia periode 2019–2024. Faktor makro ekonomi yang digunakan dalam penelitian ini meliputi inflasi, suku bunga, nilai tukar, return market, dan Produk Domestik Bruto (PDB) industri. Penelitian ini menggunakan pendekatan kuantitatif dengan data sekunder dan sampel sebanyak tiga perusahaan rokok. Metode analisis yang digunakan adalah regresi linear berganda untuk menguji pengaruh variabel independen terhadap return saham, baik secara parsial maupun simultan. Hasil penelitian menunjukkan bahwa secara parsial inflasi, suku bunga, nilai tukar, dan PDB industri tidak terbukti berpengaruh terhadap return saham perusahaan rokok. Sebaliknya return market berpengaruh secara parsial terhadap return saham perusahaan rokok. Secara simultan inflasi, suku bunga, nilai tukar, return market, dan PDB industri berpengaruh terhadap return saham perusahaan rokok. Hasil ini mengindikasikan bahwa pergerakan return saham perusahaan rokok lebih dipengaruhi oleh kondisi pasar secara keseluruhan dibandingkan faktor makro ekonomi secara individual. Kata Kunci: Faktor Makro Ekonomi, Return Saham, Return Market, Perusahaan Rokok, Bursa Efek Indonesia. / This study is entitled "The Influence of Macroeconomic Factors on Stock Returns of Cigarette Companies Listed on the Indonesia Stock Exchange for the 2019–2024 Period." The macroeconomic factors used in this study include inflation, interest rates, exchange rates, market returns, and industrial Gross Domestic Product (GDP). This study uses a quantitative approach with secondary data and a sample of three cigarette companies. The analytical method used is multiple linear regression to test the influence of independent variables on stock returns, both partially and simultaneously. The results show that partially inflation, interest rates, exchange rates, and industrial GDP have no effect on cigarette company stock returns. Conversely, market returns have a partial effect on cigarette company stock returns. Simultaneously, inflation, interest rates, exchange rates, market returns, and industrial GDP have an effect on cigarette company stock returns. These results indicate that the movement of cigarette company stock returns is more influenced by overall market conditions than individual macroeconomic factors. Keywords: Macroeconomic Factors, Stock Returns, Market Returns, Cigarette Companies, Indonesia Stock Exchange.

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