%0 Thesis
%9 Master
%A YUNINGSIH, YUYUN
%A UNIVERSITAS SULTAN AGENG TIRTAYASA,
%A FAKULTAS EKONOMI DAN BISNIS,
%A MAGISTER EKONOMI,
%B MAGISTER EKONOMI
%D 2025
%F eprintuntirta:60145
%I UNIVERSITAS SULTAN AGENG TIRTAYASA
%K Stock Return Volatility, Exchange Rate, Inflation, Dow Jones, Libor,  ASEETS, ROA, CAR, GMM (Generalized Method of Momen)  Volatilitas Return Saham, Kurs, Inflasi, Dow Jones, Libor,  ASEETS, ROA, CAR, GMM (Generalized Method of Moment).
%P 133
%T KEBIJAKAN MONETER, FAKTOR MAKRO EKONOMI,  FAKTOR GLOBAL DAN KARAKTERISTIK BANK PADA  VOLATILITAS HARGA SAHAM PERBANKAN DI  INDONESIA
%U https://eprints.untirta.ac.id/60145/
%X This study aims to identify the effect of BI rate (BI rate = BI), exchange rate  (exchange rate = KR), inflation (inflation = IF), Dow Jones = DJ), London  interbank offered rate (LBR), assets (ASSET), return on assets (ROA), capital  adequacy ratio (CAR) on stock return volatility (VRS) in the banking sector in  Indonesia in the period 2020Q1 to 2024Q4. The estimation results using the  GMM panel show that BI has a positive and significant effect on stock return  volatility. However, KR has a negative and significant effect on VRS. While IF  has a positive and significant effect on stock return volatility. Meanwhile, LBR  and return on assets have a positive and significant effect on stock return  volatility. While Dow Jones, assets and CAR have a negative effect on stock  return volatility. These findings imply that Bank Indonesia and OJK are expected  to pay attention to the impact of monetary policy, such as interest rates and money  supply, on banking sector stock volatility. Policies that are too aggressive or  inconsistent can increase market uncertainty. Therefore, more integrated policy  coordination is needed to maintain the stability of the financial sector, especially  in the capital market.
%Z Penelitian ini bertujuan untuk mengidentifikasi pengaruh dari BI rate (BI rate =  BI), kurs (exchange rate =KR), inflasi (inflation =IF), dow jones = DJ), london  interbank offered rate (LBR), asset (ASSET), return on assets (ROA), capital  adequacy ratio (CAR) terhadap volatilitas return saham (volatility return stock =  VRS) pada sektor perbankan di Indonesia pada periode 2020Q1 sampai dengan  2024Q4. Hasil estimasi menggunakan panel GMM menunjukan bahwa BI  memiliki pengaruh positif dan signifikan terhadap volatility return stock. Akan  tetapi KR memiliki pengaruh negatif dan signifikan terhadap VRS. Sedangkan IF  memiliki pengaruh positif dan signifikan terhadap volatility return stock.  Sementara itu, LBR dan return on assets memiliki pengaruh positif dan signifikan  terhadap volatility return stock. Sedangkan dow jones, asset dan CAR memiliki  pengaruh negatif terhadap volatility return stock.. Temuan tersebut memberi  implikasi bahwa Bank Indonesia dan OJK diharapkan dapat memperhatikan  dampak kebijakan moneter, seperti suku bunga dan jumlah uang beredar, terhadap  volatilitas saham sektor perbankan. Kebijakan yang terlalu agresif atau tidak  konsisten dapat memperbesar ketidakpastian pasar. Oleh karena itu, dibutuhkan  koordinasi kebijakan yang lebih terintegrasi untuk menjaga stabilitas sektor  keuangan, khususnya di pasar modal.