ANALISIS PENGARUH BI RATE, INFLASI, DAN NILAI TUKAR (KURS) TERHADAP INDEKS HARGA SAHAM SEKTOR PERBANKAN DI BURSA EFEK INDONESIA PERIODE 2020-2024

ABSTRACT Banking stock prices reflect company performance and investor responses to economic conditions. Their movements are influenced by macroeconomic factors, such as the BI Rate, inflation, and exchange rates, although previous studies have reported mixed findings. This study aims to analyze the effects of the BI Rate, inflation, and exchange rates on the stock prices of banking companies listed on the Indonesia Stock Exchange during the 2020–2024 period, both partially and simultaneously. This study employed a quantitative approach with a causal associative research design. Secondary data were obtained from the Indonesia Stock Exchange, Bank Indonesia, and Statistics Indonesia. The sample was selected using purposive sampling, yielding 114 observations. Data were analyzed using panel data regression with EViews 13. Due to high multicollinearity with the BI Rate, the exchange rate variable was excluded from the model. The results indicated that the Fixed Effect Model (FEM) was the most appropriate model. Partially, the BI Rate had a negative and significant effect on banking stock prices, while inflation had a negative but insignificant effect. Simultaneously, the BI Rate and inflation significantly affected banking stock prices. The coefficient of determination of 22.78% indicates that the BI Rate and inflation explained 22.78% of the variation in stock prices, while the remainder was explained by other factors outside the model. Therefore, the BI Rate was a significant macroeconomic factor influencing banking stock prices, whereas inflation had no significant effect during the study period. ABSTRAK Harga saham sektor perbankan mencerminkan kinerja perusahaan dan respons investor terhadap kondisi perekonomian. Pergerakannya dipengaruhi faktor makroekonomi, seperti BI Rate, inflasi, dan nilai tukar, meskipun penelitian terdahulu menunjukkan hasil yang beragam. Penelitian ini bertujuan menganalisis pengaruh BI Rate, inflasi, dan nilai tukar terhadap harga saham sektor perbankan yang terdaftar di Bursa Efek Indonesia periode 2020–2024, baik secara parsial maupun simultan. Penelitian menggunakan pendekatan kuantitatif dengan jenis asosiatif kausal. Data sekunder diperoleh dari Bursa Efek Indonesia, Bank Indonesia, dan Badan Pusat Statistik. Sampel ditentukan melalui purposive sampling dengan 114 observasi. Analisis dilakukan menggunakan regresi data panel dengan bantuan EViews 13. Karena multikolinearitas tinggi dengan BI Rate, variabel nilai tukar dikeluarkan dari model. Hasil pengujian menunjukkan bahwa Fixed Effect Model (FEM) merupakan model terbaik. Secara parsial, BI Rate berpengaruh negatif dan signifikan terhadap harga saham, sedangkan inflasi berpengaruh negatif tetapi tidak signifikan. Secara simultan, BI Rate dan inflasi berpengaruh signifikan terhadap harga saham sektor perbankan. Koefisien determinasi sebesar 22,78% menunjukkan bahwa BI Rate dan inflasi menjelaskan variasi harga saham sebesar 22,78%, sedangkan sisanya dijelaskan oleh faktor lain di luar model. Dengan demikian, BI Rate menjadi faktor makroekonomi yang berpengaruh signifikan terhadap harga saham sektor perbankan, sementara inflasi tidak menunjukkan pengaruh signifikan selama periode penelitian.