PENGARUH FAKTOR INTERNAL DAN EKSTERNAL TERHADAP RETURN SAHAM DENGAN MODERASI GOOD CORPORATE GOVERNANCE (GCG)
Authors: Bagaswara Alexander , Wati Lela Nurlaela 
Published: October 2020

ABSTRAKTujuan penelitian ini untuk menganalisis pengaruh faktor eksternal dan internal perusahaan terhadap return saham dengan moderasi Good Corporate Governance (GCG) pada sektor perbankan yang terdaftar di BEI tahun 2014-2018. Penelitian ini menggunakan 20 perusahaan sebagai sampel dari total 42 perusahaan sektor perbankan yang terdaftar di Bursa Efek Indonesia dan menerbitkan annual report tahun 2014-2018 (100 panel data). Metode analisis yang digunakan adalah metode analasis regresi data panel dengan menggunakan software Eviews. Hasil penelitian menunjukkan bahwa tingkat suku bunga dan kurs (faktor eksternal), aktivitas, dan mekanisme GCG (faktor internal) berpengaruh signifikan terhadap retrun saham. Namun, inflasi dan profitabilitas tidak berpengaruh terhadap return saham. Begitu pula dengan GCG yang diproksi oleh dewan komisaris independen tidak mampu memperkuat pengaruh Profitabilitas dan Aktivitas terhadap return saham. Implikasi dari hasil penelitian ini, manajemen agar terus meningkatkan efektifitas dan efisiensi agar kinerja perbankan terus meningkat karena akan berdampak terhadap harga dan return saham. Bagi investor, agar memperhatikan rasio Total Asset Turn Over untuk menilai tingkat efektifitas dan efisiensi perbankan sebelum menginvestasikan dana di perusahaan juga melihat mekanisme Corporate Governance di perbankan. Investor juga harus memperhatikan nilai kurs dan tingkat suku bunga saat mau menginvestasikan dananya di perbankan karena berdampak terhadap return saham. Kata Kunci: Return Saham, Kinerja Keuangan, GCG, Inflasi, Kurs, Tingkat Bunga. ABSTRACTThe purpose of this study is to analyze the influence of external and internal factors on stock returns moderated by Good Corporate Governance (GCG) in the banking sector listed on the IDX in 2014-2018. This study uses 20 companies as a sample of a total of 42 banking sector companies listed on the Indonesia Stock Exchange and publishes the 2014-2018 annual report (100 panel data). The analytical method used is the panel data regression analysis method using Eviews software. The results showed that the interest rate and exchange rate (external factors), activity, and the GCG mechanism (internal factors) had a significant effect on stock retraction. However, inflation and profitability have no effect on stock returns. Likewise, GCG which is proxied by the independent board of commissioners is not able to strengthen the effect of Profitability and Activity on stock returns. The implication of this research is that management should continue to improve effectiveness and efficiency so that banking performance will continue to increase because it will have an impact on stock prices and returns. For investors, to pay attention to the Total Asset Turn Over ratio to assess the level of effectiveness and efficiency of banks before investing funds in the company, also see the mechanism of corporate governance in banking. Investors must also pay attention to exchange rates and interest rates when they want to invest their funds in banks because they have an impact on stock returns.Keywords: Stock Return, Financial Performance, GCG, Inflation, Exchange Rates, Interest Rates.