Pengaruh Makroekonomi Domestik dan Rasio Keuangan terhadap Harga Saham di Jakarta Islamic Index 70

Abstract

Jakarta Islamic Index 70 (JII70) merupakan indeks saham syariah terbesar kedua di Indonesia yang merepresentasikan saham syariah berkapitalisasi besar dan likuid. Namun, penelitian mengenai faktor-faktor yang memengaruhi harga saham JII70 masih terbatas, terutama yang menggabungkan faktor makroekonomi dan rasio keuangan dalam satu model analisis. Penelitian ini bertujuan menganalisis pengaruh suku bunga, inflasi, nilai tukar, Return on Assets (ROA), Debt to Equity Ratio (DER), dan Current Ratio (CR) terhadap harga saham perusahaan yang terdaftar dalam JII70 periode 2018–2025. Penelitian ini menggunakan data panel triwulan dari 26 emiten yang dipilih melalui purposive sampling dan dianalisis menggunakan regresi data panel dengan pendekatan Random Effect Model (REM) yang diestimasi menggunakan Feasible Generalized Least Squares (FGLS). Hasil penelitian menunjukkan bahwa secara simultan seluruh variabel berpengaruh signifikan terhadap harga saham JII70. Secara parsial, inflasi dan ROA berpengaruh positif signifikan, sedangkan nilai tukar berpengaruh negatif signifikan. Sebaliknya, suku bunga, DER, dan CR tidak berpengaruh signifikan. Oleh karena itu, investor disarankan mewaspadai risiko pelemahan nilai tukar rupiah serta mencermati tingkat inflasi dan efisiensi profitabilitas perusahaan (ROA).

The Jakarta Islamic Index 70 (JII70) is the second-largest sharia stock index in Indonesia, comprising large-capitalization and liquid sharia-compliant stocks. However, research on the factors influencing JII70 stock prices remains limited, particularly studies that integrate macroeconomic factors and financial ratios within a single analytical model. This study aimed to analyze the effects of interest rate, inflation, exchange rate, Return on Assets (ROA), Debt to Equity Ratio (DER), and Current Ratio (CR) on the stock prices of companies listed in the JII70 during the 2018–2025 period. The study employed quarterly panel data from 26 issuers selected through purposive sampling. The data were analyzed using panel data regression with a Random Effects Model (REM) estimated using the Feasible Generalized Least Squares (FGLS) method. The results showed that, simultaneously, all variables had a significant effect on JII70 stock prices. Partially, inflation and ROA had significant positive effects, while the exchange rate had a significant negative effect. In contrast, interest rate, DER, and CR had no significant effects on JII70 stock prices. Therefore, investors are advised to remain cautious of the risks associated with rupiah depreciation and closely monitor inflation levels and corporate profitability, particularly ROA.