ABSTRAK
Penelitian ini bertujuan untuk melihat faktor-faktor yang mempengaruhi harga saham perusahaan farmasi yang go public di PT. Bursa Efek Indonesia (BEI) tahun 2006-2015, yaitu Nilai Tukar Rupiah / Dolar (Kurs), Inflasi, Return on Assets (ROA), Return on Equity (ROE) dan Debt to Equity Ratio (DER). Metode yang digunakan adalah menggunakan Vector Error Correction Model (VECM) dengan data runtun waktu kuartal dari tahun 2006 sampai 2015. Berdasarkan Hasil estimasi VECM jangka panjang Perusahaan Kalbe Farma, Tbk variabel Kurs, Inflasi, Return on Equity (ROE) dan Debt to Equity Ratio (DER) mempunyai hubungan negatif signifikan terhadap indeks harga saham. Namun variabel Return on Assets (ROA) memiliki hubungan negatif tidak signifikan terhadap indeks harga saham. Sedangkan Hasil estimasi VECM jangka pendek variabel Kurs mempunyai hubungan positif tidak signifikan terhadap indeks harga saham dan variabel Inflasi juga mempunyai hubungan negatif tidak signifikan. Namun untuk variabel Return on Assets (ROA), Return on Equity (ROE) dan Debt to Equity Ratio (DER) mempunyai hubungan positif signifikan terhadap indeks harga saham.
Hasil estimasi VECM jangka panjang Perusahaan Kimia Farma, Tbk variabel Kurs, Inflasi, Return on Assets (ROA) dan Debt to Equity Ratio (DER) mempunyai hubungan positif signifikan terhadap indeks harga saham, namun untuk variabel Return on Equity (ROE) memiliki hubungan negatif signifikan. Sedangkan Hasil estimasi VECM jangka pendek variabel Kurs mempunyai hubungan negatif tidak signifikan terhadap indeks harga saham. Namun Return on Assets (ROA), Return on Equity (ROE) dan Debt to Equity Ratio (DER) memiliki hubungan positif signifikan terhadap indeks harga saham.
Dan berdasarkan hasil Impulse Response Function (IRF), seluruh variabel menunjukkan respon yang berbeda terhadap goncangan indeks harga saham kedua perusahaan yang diteliti.Hasil analisis Variance Decompositionindeks harga saham kedua perusahaan yang diteliti menunjukkan bahwa peran dari indeks harga saham sendiri juga masih tetap dominan hingga periode pengamatan terakhir.
Kata Kunci: Kurs, Inflasi, ROA, ROE, DER, VECM
ABSTRACT
This research was aimed to find out influencing factors to the rate of go-public pharmacy company in PT. Bursa Efek Indonesia (BEI) in the year of 2006-2015, namely a Rate of Exchange/Dollar (RATE), Inflation, Return on Assets (ROA), Return on Equity (ROE) and Debt to Equity Ratio (DER). Method used was Vector Error Correction Model (VECM) with consecutive quarter time’s data from 2006 to 2015. Based on the result of long-term VECM estimation of Kalbe FarmaLtd Rate, Inflation,Return on Equity (ROE) and Debt to Equity Ratio (DER) variables had significant negative correlation to stock price index.On the other hand, Return on Assets (ROA) had insignificant negative correlation to stock price index. Meanwhile, the result of short-term VECM estimation showed that Rate variable had insignificant positive correlation to stock price index (SPI) and Inflation variable had insignificant negative correlation. However, Return on Assets (ROA), Return on Equity (ROE) and Debt to Equity Ratio (DER)had significant positive correlation to stock price index (SPI).
The result of long-term VECM estimation of Kimia Farma Ltd showed that variables of Rate, Inflation,  Return on Assets (ROA) and Debt to Equity Ratio (DER) had significant positive correlation tostock price index (SPI). On the other hand, variable of Return on Assets (ROA) had significant negative correlation. The result of short-term VECM estimation showed that Rate variablehad insignificant negative correlation to stock price index. However,Return on Assets (ROA), Return on Equity (ROE) and Debt to Equity Ratio (DER) had significant positive correlation to stock price index.
Referring to the results of Impulse Response Function (IRF) all variables showed different responses to composite stock price index shock of both subject companies. The results of Variance Decomposition stock price index of both subject companies showed that the role of stock rate index itself was still dominant until the last observation period.
Keywords : Rate ,Inflation, ROA, ROE, DER, VECM