ANALISIS PENGARUH RASIO PROFITABILITAS, RASIO SOLVABILITAS, RASIO MARKET VALUE, INFLASI, DAN NILAI TUKAR TERHADAP RETURN SAHAM

(Studi Kasus Pada Sektor Agriculture yang Terdaftar di BEI Periode 2016-2019)

Analysis of the Effect of Profitability Ratio, Solvency Ratio, Market Value Ratio, Inflation, and Exchange Rate on Stock Return (Case Study of the Agriculture Sector on the IDX from 2016 to 2019)

Sektor agriculture memiliki peranan yang penting dalam perekonomian Indonesia yakni sebagai sektor penghasil bahan pangan, memberi lapangan pekerjaan bagi pekerja di sektor ini, salah satu penghasil sumber devisa negara. Penelitian ini bertujuan untuk menguji pengaruh Return on Equity (ROE), Debt to Equity Ratio (DER), Price Book to Value (PBV), inflasi dan Exchange Rate (ER) terhadap Return saham. Populasi penelitian ini adalah perusahaan pada sektor agriculture. Metode sampling yang digunakan dalam penelitian ini adalah metode purposive sampling. Alat analisis penelitian ini menggunakan Partial Least Square. Hasil ini penelitian ini menunjukkan bahwa inflasi dan Exchange Rate (ER) berpengaruh secara negatif terhadap return saham, tapi Return on Equity (ROE), Debt to Equity Ratio (DER), Price Book to Value (PBV) tidak berpengaruh terhadap return saham. Bagi para investor maka harus yang hendak berinvestasi pada sektor agriculture harus melihat kondisi makro ekonomi Indonesia terutama inflasi dan exchange rate

Kata kunci: Return on Equity (ROE), Debt to Equity Ratio (DER), Price Book to Value (PBV), Inflasi, Exchange Rate (ER), Return saham. 

The agriculture sector plays a significant function in the Indonesian economy, primarily as a food-producing sector, generating jobs for employees in this area, and one of the sources of foreign exchange for the country. This study aims to analyze the influence of Return on Equity (ROE), Debt to Equity Ratio (DER), Price Book to Value (PBV), inflation and Exchange Rate (ER) on stock returns. The population of this research are companies in the agriculture industry. The sampling approach employed in this research is purposive sampling method. This study analysis tool employs Partial Least Square. The results of this study reveal that inflation and Exchange Rate (ER) have a negative effect on stock returns, whereas Return on Equity (ROE), Debt to Equity Ratio (DER), Price Book to Value (PBV) has no effect on stock returns. For investors, those who wish to invest in the agriculture industry must look at Indonesia's macroeconomic conditions, specifically inflation and the exchange rate.

Keywords: Return on Equity (ROE); Debt to Equity Ratio (DER); Price Book to Value (PBV); Inflation; Exchange Rate (ER); Stock Returns