ANALISIS PENGARUH RASIO KEUANGAN DAN TOTAL ASSET TERHADAP HARGA SAHAM DENGAN BETA SAHAM SEBAGAI VARIABEL

MODERATING (STUDI EMPIRIS PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA)

ABSTRAK

Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh rasio keuangan yang terdiri dari (ROE, ROA, DER, EPS) dan total asset secara simultan dan parsial terhadap harga saham dengan beta saham sebagai variabel moderating pada perusahaan perbankan yang terdaftar di Bursa Efek Indonesia. Populasi dalam penelitian ini adalah seluruh perusahaan perbankan yang terdaftar di Bursa Efek Indonesia dari tahun 2005 sampai tahun 2009. Sampel penelitian diambil dengan menggunakan metode purposive sampling sehingga menghasilkan 20 bank. Metode analisis yang digunakan adalah analisis regresi linier berganda dengan uji residual. Hasil pengujian hipotesis pertama secara simultan menunjukkan semua variabel independen berpengaruh terhadap harga saham dengan nilai signifikan 0,000. Sedangkan secara parsial hanya variabel EPS dan TA yang berpengaruh terhadap harga saham dengan nilai signifikan 0,000. ROE, ROA, DER tidak berpengaruh terhadap harga saham. Pengujian hipotesis kedua diperoleh hasil bahwa beta saham bukan variabel moderating.

Kata Kunci: Rasio Keuangan (ROE, ROA, DER, EPS), Total Asset, Beta Saham, dan Harga Saham.

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ANALYZE THE EFFECT OF FINANCIAL RATIOS AND TOTAL ASSETS SIMULTANEOUSLY AND PARTIALLY ON THE STOCK PRICE WITH BETA OF BANKING STOCK AS A MODERATING (EMPIRIC STUDY OF THE BANKING COMPANIES LISTED IN INDONESIA STOCK EXCHANGE)

ABSTRACT

This research aims to examine and analyze the effect of financial ratios (ROE, ROA, DER, EPS) and total assets simultaneously and partially on the stock price with beta of banking stock as a moderating variable in the banking companies listed in Indonesia Stock Exchange. The population in this research are all banking companies listed in Indonesia Stock Exchange from 2005 until 2009. The research sample was taken by using purposive sampling method resulting in 20 banks. The method of analysis used is multiple linear regression analysis with residual test. The first hypothesis simultaneously shows all the independent variables affect the share price with significant value of 0,000. While only partial and EPS, TA variables that influence the stock price with significant value of 0,000. ROE, ROA, DER did not affect stock prices. Testing the second hypothesis showed that beta of banking stock is not moderating variable.

Keywords: Financial Ratios (ROE, ROA, DER, EPS), Total Assets, Beta of Banking Stock, and Stock Price.

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