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Abstract

Seiring dengan perkembangan perekonomian, kontribusi variabel makroekonomi disinyalir cukup besar dalam mempengaruhi return saham. Beberapa teori sejak lama dikembangkan guna menangkap hipotesis ini. Artikel ini bertujuan untuk mengkaji literatur dan fakta empiris mengenai pengaruh variabel makroekonomi terhadap return saham pada Emerging Market Economy. Penelitian ini menggunakan pendekatan literature review dimana artikel yang relevan dikumpulkan dan dianalisis untuk memahami hubungan antara faktor eksternal makroekonomi dan kondisi pasar saham. Hasil penelitian menunjukkan bahwa metode perhitungan dengan pendekatan berbeda mempengaruhi interpretasi data pasar. Faktor-faktor seperti tingkat bunga, inflasi, dan nilai tukar memiliki dampak signifikan yang bervariasi terhadap return saham. Pertumbuhan ekonomi nampaknya menunjukkan pengaruh yang tidak selalu jelas, sehingga memerlukan analisis lebih lanjut. Pendekatan CAPM dan APT sejak lama digunakan untuk menganalisis return saham, dimana CAPM fokus pada risiko sistematik, sedangkan APT menawarkan pendekatan lebih luas dengan mempertimbangkan berbagai faktor risiko yang memungkinkan analisis yang lebih komprehensif terhadap pergerakan harga saham itu sendiri. Penelitian ini juga mengeksplorasi bagaimana pengaruh faktor-faktor makroekonomi utama seperti inflasi, tingkat bunga, nilai tukar, dan pertumbuhan ekonomi (GDP) terhadap return saham di pasar negara sedang berkembang. Temuan ini memberikan pemahaman yang lebih dalam tentang peran kritis faktor-faktor makroekonomi tersebut dalam mempengaruhi dinamika pasar modal di negara-negara sedang berkembang.

Keywords

Variabel Makroekonomi; Return Saham; CAPM; APT; Emerging Market Economy.

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Reza , F. . (2025). Dari Variabel Makroekonomi Ke Return Saham: Studi Literatur Dan Fakta Empiris Pada Emerging Market Economy. Paradoks : Jurnal Ilmu Ekonomi, 8(1), 77–97. Retrieved from https://jurnal.feb-umi.id/index.php/PARADOKS/article/view/1061
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