TY  - THES
A1  - YUNINGSIH, YUYUN
N1  - 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.
N2  - 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.
TI  - KEBIJAKAN MONETER, FAKTOR MAKRO EKONOMI,
FAKTOR GLOBAL DAN KARAKTERISTIK BANK PADA
VOLATILITAS HARGA SAHAM PERBANKAN DI
INDONESIA
PB  - UNIVERSITAS SULTAN AGENG TIRTAYASA
M1  - masters
Y1  - 2025///
ID  - eprintuntirta60145
AV  - restricted
EP  - 133
UR  - https://eprints.untirta.ac.id/60145/
KW  - Stock Return Volatility
KW  -  Exchange Rate
KW  -  Inflation
KW  -  Dow Jones
KW  -  Libor
KW  - 
ASEETS
KW  -  ROA
KW  -  CAR
KW  -  GMM (Generalized Method of Momen)
Volatilitas Return Saham
KW  -  Kurs
KW  -  Inflasi
KW  -  Dow Jones
KW  -  Libor
KW  - 
ASEETS
KW  -  ROA
KW  -  CAR
KW  -  GMM (Generalized Method of Moment).
ER  -