Pengaruh Foreign Ownership dan Nilai Tukar Rupiah terhadap Return Saham dengan Volatilitas Pasar sebagai Variabel Moderasi

Jhonatan Sitompul; Idham Lakoni; Putra Yuliansyah

doi:10.31004/riggs.v5i2.10980

Authors

Jhonatan Sitompul Universitas Prof. Dr. Hazairin
Idham Lakoni Universitas Prof. Dr. Hazairin
Putra Yuliansyah Universitas Prof. Dr. Hazairin, SH

DOI:

https://doi.org/10.31004/riggs.v5i2.10980

Keywords:

Foreign Ownership, Nilai Tukar Rupiah, Return Saham, Volatilitas Pasar, Bursa Efek Indonesia

Abstract

Penelitian ini bertujuan menganalisis pengaruh foreign ownership dan nilai tukar rupiah terhadap return saham, serta menguji peran moderasi volatilitas pasar pada kedua hubungan tersebut. Studi ini dimotivasi oleh dominasi kepemilikan asing di Bursa Efek Indonesia (BEI) yang mencapai 40–55 persen kapitalisasi pasar selama 2018–2022 dan volatilitas nilai tukar rupiah yang meningkat akibat tekanan global serta pandemi COVID-19. Belum adanya model terintegrasi yang menggabungkan kedua variabel tersebut dengan moderasi volatilitas pasar menjadi kesenjangan penelitian yang diisi oleh studi ini. Penelitian menggunakan pendekatan kuantitatif asosiatif-kausal dengan regresi data panel Fixed Effect Model (FEM) dan Moderated Regression Analysis (MRA) pada 120 perusahaan non-keuangan BEI periode 2018–2022 (600 observasi firm-year) yang dipilih melalui purposive sampling. Hasil menunjukkan bahwa foreign ownership berpengaruh positif dan signifikan terhadap return saham (β = 0,412; p < 0,010), mencerminkan efek signaling dan monitoring investor asing. Nilai tukar rupiah berpengaruh negatif dan signifikan (β = −0,683; p < 0,010), di mana depresiasi rupiah menekan profitabilitas dan ekspektasi return investor. Secara simultan keduanya signifikan (F = 38,720; p < 0,010; R² = 0,412). Volatilitas pasar memperkuat pengaruh negatif nilai tukar terhadap return saham (β = −0,892; p < 0,010), namun tidak memoderasi hubungan foreign ownership dan return saham (β = 0,041; p = 0,516). Strategi lindung nilai nilai tukar perlu ditingkatkan pada periode volatilitas tinggi, sementara kepemilikan asing dapat dipertahankan sebagai indikator kualitas portofolio yang stabil.

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