Model Regresi Hierarkis Faktor Fundamental dan Makro pada Sektor Saham LQ45
DOI:
https://doi.org/10.32493/jee.v8i3.59837Keywords:
Regresi hirarki, LQ45, Fundamental, Makro ekonomiAbstract
Penelitian ini menganalisis pengaruh rasio keuangan (CR, DER, TATO, ROI) dan makroekonomi (PDB, inflasi, suku bunga) terhadap imbal hasil saham LQ45 menggunakan regresi hirarki enam tahap. Temuan utama dari penelitian ini adalah bahwa hanya current ratio yang berpengaruh positif dan signifikan sementara seluruh variabel fundamental lain dan makroekonomi tidak signifikan. Kebaruan dalam penelitian ini, pertama, berupa penerapan hierarchical regression untuk model paling parsimoni pada saham LQ45, dan yang kedua adalah perbandingan lintas negara dengan S&P 500, FTSE 100, dan BSE Sensex. Implikasi teoretis dari temuan ini yaitu memodifikasi teori likuiditas untuk konteks emerging market yang menunjukkan dominasi likuiditas di atas profitabilitas. Adapun implikasi praktis, bahwa investor perlu memprioritaskan likuiditas (CR) dalam seleksi saham dan mengabaikan fluktuasi makroekonomi jangka pendek.
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