DAFTAR ISI

Hal
Kata Pengantar ...........................................................................................

Daftar Isi ......................................................................................................

iii

Daftar Tabel ................................................................................................

vii

Daftar Gambar ............................................................................................

viii

Daftar Lampiran .........................................................................................

ix

Ringkasan ....................................................................................................

BAB I PENDAHULUAN
1.1. Latar Belakang ..................................................................................

1.2. Rumusan Masalah .............................................................................

1.3. Tujuan Penelitian ..............................................................................

1.4. Manfaat Penelitian ............................................................................

BAB II LANDASAN TEORI

2.1. Penelitian Terdahulu .........................................................................

10

2.2. Pasar Modal ......................................................................................

13

2.2.1. Pengertian Pasar Modal ........................................................

12

2.2.2. Jenis-Jenis Pasar Modal .......................................................

13

2.2.3. Peranan dan Fungsi Pasar Modal ..........................................

14

2.2.4. Pasar Modal Indonesia ..........................................................

16

2.2.5. Instrumen Pasar Modal .........................................................

18

2.3. Investasi ............................................................................................

20

2.3.1. Pengertian Investasi ..............................................................

20

2.3.2. Tujuan Investasi ....................................................................

21

2.3.3. Tipe-Tipe Investasi ...............................................................

22

2.3.4. Jenis-Jenis Investasi ..............................................................

22

2.3.5. Risiko Investasi .....................................................................

23

2.4. Saham ................................................................................................

24

2.4.1. Pengertian Saham ..................................................................

24

2.4.2. Jenis-Jenis Saham .................................................................

25

2.4.3. Harga Saham .........................................................................

27

2.4.4. Analisis Penilaian Saham ......................................................

2.5. Laporan Keuangan ............................................................................

30
29

2.5.1. Pengertian Laporan Keuangan ..............................................

32

2.5.2. Analisis Rasio Keuangan ......................................................

33

2.5.2.1. Pengertian Analisis Rasio Keuangan .....................

33

2.5.2.1. Jenis-Jenis Rasio Keuangan ...................................

34

2.6. Hubungan Antar Variabel .................................................................

39

2.6.1. Hubungan ROE dengan Harga Saham ..................................

39

2.6.2. Hubungan ROI dengan Harga Saham ...................................

40

2.6.3. Hubungan EPS dengan Harga Saham ...................................

40

2.6.4. Hubungan PER dengan Harga Saham ..................................

41

2.7. Kerangka Pikir ..................................................................................

41

2.8. Hipotesis ...........................................................................................

44

BAB III METODE PENELITIAN

3.1. Jenis Penelitian ..................................................................................

45

3.2. Populasi dan Sampel Penelitian ........................................................

45

3.2.1. Populasi .................................................................................

45

3.2.2. Sampel ...................................................................................

46

3.3. Jenis dan Sumber Data ......................................................................

47

3.3.1. Jenis Data ..............................................................................

47

3.3.2. Sumber Data ..........................................................................

48

3.4. Teknik Pengumpulan Data ................................................................

48

3.5. Variabel Penelitian ............................................................................

49

3.5.1. Jenis Variabel ........................................................................

49

3.5.2. Definisi Operasional Variabel ...............................................

49

3.6. Metode Analisis Data ........................................................................

52

3.6.1. Pengujian Data ......................................................................

53

3.6.2. Koefisien Determinasi (R) ................................................

55

3.7. Pengujian Hipotesis ..........................................................................

56

BAB IV HASIL PENELITIAN DAN PEMBAHASAN

4.1. Gambaran Obyek Penelitian .............................................................
4.1.1. PT. Delta Djakarta, Tbk ........................................................

60
60

4.1.2. PT. Fast Food Indonesia, Tbk ...............................................

60

4.1.3. PT. Indofood Sukses Makmur, Tbk ......................................

61

4.1.4. PT. Mayora Indah Tbk ..........................................................

61

4.1.5. PT. Multi Bintang Indonesia, Tbk ........................................

62

4.1.6. PT. Sekar Laut, Tbk ..............................................................

63

4.1.7. PT. Siantar Top, Tbk .............................................................

63

4.1.8. PT Sierad Produce, Tbk ........................................................

63

4.1.9. PT. Tunas Baru Lampung, Tbk .............................................

64

4.1.10. PT Ultra Jaya Milk, Tbk .......................................................

64

4.2. Hasil Penelitian dan Pembahasan .....................................................

64

4.2.1. Harga Saham .........................................................................

64

4.2.2. Return On Equity (ROE) .......................................................

67

4.2.3. Return On Investment (ROI) .................................................

68

4.2.4. Earning Per Share (EPS) ......................................................

70

4.2.5. Price Earning Ratio (PER) ...................................................

71

4.3. Hasil Uji Asumsi Klasik ...................................................................

73

4.3.1. Hasil Uji Normalitas .............................................................

74

4.3.2. Hasil Uji Multikolinearitas....................................................

75

4.3.3. Hasil Uji Heteroskedastisitas ................................................

75

4.3.4. Hasil Uji Autokorelasi ..........................................................

77

4.4. Hasil Analisis Regresi Linier Berganda ............................................

4.4.1. Koefisien Determinasi (Adjusted R )...................................
4.5. Hasil Uji Hipotesis ............................................................................

78
80
81

4.5.1. Hasil Pengujian Hipotesis Pertama .......................................

82

4.5.2. Hasil Pengujian Hipotesis Kedua ..........................................

86

4.6. Pembahasan Hasil Penelitian ............................................................

88

4.6.1. Pengaruh ROE, ROI, EPS, dan PER terhadap Harga Saham

88

4.6.2 Pengaruh ROE terhadap Harga Saham .................................

88

4.6.3. Pengaruh ROI terhadap Harga Saham ..................................

89

4.6.4. Pengaruh EPS terhadap Harga Saham ..................................

89

4.6.5. Pengaruh PER terhadap Harga Saham ..................................

91

4.7. Implikasi Hasil Penelitian .................................................................

92

4.7.1. Pengaruh ROE, ROI, EPS, dan PER terhadap Harga Saham

92

4.7.2 Pengaruh ROE terhadap Harga Saham .................................

92

4.7.3. Pengaruh ROI terhadap Harga Saham ..................................

93

4.7.4. Pengaruh EPS terhadap Harga Saham ..................................

94

4.7.5. Pengaruh PER terhadap Harga Saham ..................................

95

BAB V KESIMPULAN DAN SARAN

5.1. Kesimpulan .......................................................................................

96

5.2. Saran .................................................................................................

97

Daftar Pustaka ............................................................................................

99

Lampiran .....................................................................................................

101

DAFTAR TABEL
Tabel 3.1. Daftar Perusahaan Food and Beverages yang Terdaftar di BEI Tahun
2006-2009 ..................................................................................

47

Tabel 3.2 . Interpretasi nilai R (koefisien korelasi) .....................................

56

Tabel 4.1. Harga Saham Penutupan (Closing Price) ..................................

66

Tabel 4.2. Return on Equity (ROE) Tiap Perusahaan.................................

67

Tabel 4.3. Return on Investment (ROI) Tiap Perusahaan ...........................

69

Tabel 4.4. Earning Per Share (EPS) Tiap Perusahaan ..............................

70

Tabel 4.5. Price Earning Ratio (PER) Tiap Perusahaan ............................

72

Tabel 4.6. Hasil Uji Multikolinearitas ........................................................

75

Tabel 4.7. Uji Asumsi Autokorelasi ...........................................................

77

Tabel 4.8. Uji Asumsi Autokorelasi Runs Test ..........................................

78

Tabel 4.9. Ringkasan Hasil Analisis Regresi Berganda .............................

79

Tabel 4.10. Koefisien Determinasi .............................................................

81

Tabel 4.11. Uji Model Regresi Secara Simultan ...........................................

82

Tabel 4.12. Hipotesis Koefisien Model Regresi Secara Simultan ................

83

Tabel 4.13. Uji Hipotesis Koefisien Regresi Variabel X1 ............................

84

Tabel 4.14. Uji Hipotesis Koefisien Regresi Variabel X2 ............................

84

Tabel 4.15. Uji Hipotesis Koefisien Regresi Variabel X3 ............................

85

Tabel 4.16. Uji Hipotesis Koefisien Regresi Variabel X4 ............................

86

Tabel 4.17. Variabel Dominan ......................................................................

87

DAFTAR GAMBAR
Gambar 2.1. Kerangka Pikir ...................................................................

43

Gambar 2.2. Model Hipotesis .................................................................

44

Gambar 4.1. Uji Normalitas P-P Plot .....................................................

74

Gambar 4.2. Scatter Plot Uji Heteroskedastisitas ...................................

76

DAFTAR LAMPIRAN
Lampiran 1

Laba Bersih Setelah Bunga dan Pajak Perusahaan

Food and Beverages Tahun 2006-2009 ................................

Lampiran 2

Ekuitas Perusahaan Food and Beverages Tahun

2006-2009 .............................................................................

Lampiran 3

113

Earning Per Share (EPS) Perusahaan Food and Beverages

Tahun 2006-2009 .................................................................

Lampiran 9

111

Return On Investment (ROI) Perusahaan Food and

Beverages Tahun 2006-2009 ................................................

Lampiran 8

109

Return On Equity (ROE) Perusahaan Food and Beverages

Tahun 2006-2009 .................................................................

Lampiran 7

107

Harga Pasar Per Saham Perusahaan Food and Beverages

Tahun 2006-2009 ..................................................................

Lampiran 6

105

Jumlah Saham Beredar Perusahaan Food and Beverages

Tahun 2006-2009 ..................................................................

Lampiran 5

103

Total Aktiva Perusahaan Food and Beverages Tahun

2006-2009 ..............................................................................

Lampiran 4

101

115

Price Earning Ratio (PER) Perusahaan Food and Beverages

Tahun 2006-2009 .................................................................

117

Lampiran 10 Data Mentah Untuk Diolah ...................................................

119

Lampiran 11 Hasil SPSS ............................................................................

120