HUBUNGAN ANTARA RISIKO SISTEMATIK DENGAN HARGA SAHAM PADA INDEKS LIQUID 45 YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI)

MEGA SELVIA, EVI (2012) HUBUNGAN ANTARA RISIKO SISTEMATIK DENGAN HARGA SAHAM PADA INDEKS LIQUID 45 YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI). S1 thesis, Universitas Negeri Jakarta.

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Abstract

EVI MEGA SELVIA. Correlation of Systematic Risk With Stock Price At Index Liquid 45 Listed in Indonesian Stock Exchange. The course study of Economics Education, Concentration Accounting Education, Department of Economics and Administration, Faculty of Economics, State University of Jakarta, in June 2012. This study aims to obtain accurate data and reliable about how far the relationship between systematic risk with the stock price at index LQ 45 listed in Indonesian Stock Exchange. The study was conducted over two months from May 2012 until June 2012. The research method used is survey method with the correlational approach, whereas the data obtained from Pusat Data Pasar Modal at Istitute Business and Informatics Indonesia (IBII) about stock price monthly, Bank Indonesia rate, and indeks liquid 45. Samples were taken as many as 32 corporation from 45. To get the data of variable X (systematic risk) and the data variable Y (stock price) calculated using the regression of market returns with stock returns and the data variable Y (Stock Price) using the average closing share price. Test requirements analysis is performed by finding the regression equation. The regression equation obtained was Y = 6321,21 – 1940,88 X. Next is a test for normality of estimated regression error on X by using the liliefors test and earned Lo = 0.1516 compared Ltabel at 0.05 significance level at 0.1566 then the Lo < Lt. This means that the error estimate of Y on X is normally distributed. To test the significance regression obtained Fcount -2,85 < F table 4,17 this means that regression is not significance . While the linearity test result Fcount 0,06 <F table 249,95, this means that the model used is linear regression. Product Moment Coefficient Correlation test produces rxy= -0,32. Then followed by coefficients significant test using t test. The results obtained are tcount at 1,8753, while the Ttable on dk = n-2 = 30 and 0.05 significance level is 2,037, meaning tcount < Ttable. In addition, the coefficient of determination test obtained by 10,49% which means that the stock price was set at 10,49% by the presence of systematic risk. Conclusions of this study there is no relationship between systematic risk with stock prices in the index liquid 45 listed on the Stock Exchange. This means that if the higher the systematic risk of a stock, the lower the share price.

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