摘要：this studyanalyze the effect of the movement of macroeconomic variables (SBI,exchange rate,inflation,oil prices and Composite Stock Price Index (JCI)) and predict the stock price of the individual returns and return a proxy INDEX in plantation sub–sector.This study used the analytical techniques of multifactor APT model of equation (Multivariate Regression Model) to determine the effect of macroeconomic variables on stock returns in plantation sub–sector group.Furthermore,the formation of the share price index estimation model APT as a proxy (proxy INDEX) was done.Methods Vector Error Correction Model (VECM) was used to study the response of stock returns and risk to changes in macroeconomic variables.Factor in world oil prices and a significant negative effect on stock returns AALI,LSIP,SGRO,SMAR,TBLA,UNSP and return the proxy INDEX.exchange rates factors provide a positive and significant affect to stock returns AALI,LSIP,SMAR,TBLA and return the proxy INDEX.SBI Factors had a significantly negative affect to the return TBLA,while the SBI had positive affect to return AALI,SMAR and return the proxy INDEX.Inflation factor had a significantly positive effect to returns TBLA and had a significantly negative effect to the change in return INDEX proxy.Agricultural index and JCI index had a significantly positive effect to stock returns AALI,LSIP,SGRO,SMAR,TBLA,UNSP and return the proxy INDEX.
其他摘要：Penelitian ini menganalisis pengaruh pergerakan variabel makroekonomi (Suku Bunga
SBI, nilai tukar valas Dollar Amerika, Inflasi, tingkat perubahan harga minyak dan Indeks Harga
Saham Gabungan) dan meramalkan harga saham terhadap return individual dan return INDEKS
proksi subsektor perkebunan. Studi ini menggunakan teknik analisis model persamaan multifaktor
APT (Multivariate Regression Model), untuk mengetahui pengaruh variabel makroekonomi
terhadap return saham kelompok subsektor perkebunan. Selanjutnya dilakukan pembentukan
indeks dari harga saham model estimasi APT sebagai sebuah proksi (proxy INDEX). Metode
Vector Autoregression (VAR)/Vector Error Correction Model (VECM) digunakan untuk
mengetahui respon return dan risiko saham terhadap perubahan variabel makroekonomi. Faktor
harga minyak dunia berpengaruh negatif dan signifikan terhadap return saham AALI, LSIP,
SGRO, SMAR, TBLA, UNSP dan return proxy INDEX. Faktor nilai tukar memberikan pengaruh
positif dan signifikan terhadap return saham AALI, LSIP, SMAR, TBLA dan return proxy
INDEX. Faktor SBI berpengaruh negatif secara signifikan terhadap return TBLA, sementara itu
SBI berpengaruh positif terhadap return AALI, SMAR dan return proxy INDEX. Faktor inflasi
berpengaruh positif secara signifikan terhadap return TBLA dan berpengaruh negatif secara
signifikan terhadap perubahan return proxy INDEX. Faktor Indeks Pertanian dan IHSGberpengaruh positif secara signifikan terhadap return saham AALI, LSIP, SGRO, SMAR, TBLA, UNSP dan return proxy
INDEX.
