Mia Laksmiwati Lecturer of Faculty of Economics and Business, Universitas Budi Luhur Jl. Ciledug Raya, Petukangan Utara, Jakarta Selatan-Indonesia

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1 Volume 116 No. 4 1, ISSN: 1311 (printed version); ISSN: (online version) url: ijpam.eu THE EFFECT BI RATE, INFLATION, EXCHANGES IDR USD, TRADING VOLUME AND FREQUENCY TRADING ON THE VOLATILITY OF SHARE PRICE ON THE COMPANY INCORPORATED IN JAKARTA ISLAMIC INDEX PERIOD Mia Laksmiwati Lecturer of Faculty of Economics and Business, Universitas Budi Luhur Jl. Ciledug Raya, Petukangan Utara, Jakarta SelatanIndonesia ABSTRACT This study aims to determine the factors that affect stock price volatility in the companies belonging to the Jakarta Islamic Index period Stock investors should always pay attention to two factors: the stock returns (stock returns) and risk. To be able to predict the return and risks that may occur, should collect information about the macro economic factors and micro factors or performance of the issuer, which may affect the volatility of the stock price. Testing the data in the study using SPSS (Statistical Package for the Social Science) version, while the data analysis tools used were descriptive statistics, the classic assumption test, correlation coefficient analysis, test multiple linear regression analysis, and hypothesis testing. Companies incorporated in Jakarta Islamic Index of 3 companies from the period December 15 May 16. The results showed the BI Rate level and inflation does not influence the stock price volatility. Exchange rate USD / IDR, stock significantly influenced by the negative direction of the stock price volatility.frequency stock significant influence with a positive direction to the volatility of the stock price. Keywords Inflation, Exchange rate, Volume, Frequency, Price Volatility. INTRODUCTION 1. Background In conducting investment activity, particularly in investment in stock, an investor attention to two factors: the stock returns (stock returns) and risk. Revenue (return) earned by investors may be dividends (dividend yield) and revenue from the difference between the selling price of stock over its purchase price (capital gains) The analysis tool is already commonly used to observe the movement or fluctuations in stock prices (Jogiyanto,1). Fluctuations in stock prices can be influenced by factors that originate from internal and external. Factor of companies are generally derived from external factors such as: the announcement of the government such as changes in interest rates on savings and time deposits, foreign exchange rate, inflation, as well as various regulatory and economic deregulation issued by the government, the political turmoil in the country and exchange rate fluctuations are also a significant factor in the movement of stock prices in the stock exchange of a country (Alwi,). This study takes the object of the companies belonging to the Jakarta Islamic Index in the Indonesia Stock Exchange. It draws on research results (Shafi'i,13) which said that the current developments in the field of sharia finance industry reached 15% per year throughout the world and will continue to grow. On the other hand Islamic financial industry sector according to Finance Minister Brodjonegoro, has a strong resistance to the crisis. This may imply that the companies belonging to the Jakarta Islamic Index macroeconomic factors were not affected significantly. However, this condition must be proven by a study.. Problem Research Is there a significant influence on the level of the BI rate, inflation, foreign exchange rates, stock and frequency of on the stock price volatility companies belonging to the Jakarta Islamic Index period

2 3. Research Purposes To determine the effect of significant levels of BI rate, inflation, foreign exchange rates, stock and frequency stock price volatility of the stock company incorporated in the Jakarta Islamic Index period LITERATURE 1. Framework of Research In the concept of thinking can be seen in Figure 1: BI rate inflation foreign exchange rates volatility of the stock price stock frequency of Figure 1 :Framework of Research. Hipotesis.1. If the bank interest rate rises, as indicated by the BI Rate rises, the people will tend to invest into money markets so that investing in stocks is not attractive because there is an element of risk, so the stock price fell. H1: BI Rate level significantly influence the stock price volatility.. Increased inflation causes price increases so prices generally decreased purchasing power, reduced share of revenue for investment. H: Inflation significant effect on stock price volatility..3. At the current exchange rate of IDR depreciate against the USD, the BEI index tends to decrease. This is caused by a high return on the foreign exchange market so that investors are interested to invest their funds in the foreign exchange market. H3: The level of the exchange rate significantly influence the stock price volatility..4. The may reflect the reaction of investors on the information received. Information that received a positive update for investors that prompted him to take action to buy. This will result in increased. H4: The of stock significant effect on stock price volatility..5. Frequency is how many times the purchase and sale transactions in the shares in question at the time. Trend of the stock prices and frequency activity in the capital markets is an important indication for studying the behavior of the market as a reference in determining the capital market transactions in the capital market. 44

3 H5: The frequency significant effect on stock price volatility. RESEARCH METHODOLOGY In this study, the data used is secondary data. The subjects of this study is a publicly listed company on the Indonesian Stock Exchange were included in the Jakarta Islamic Index. Companies included in Jakarta Islamic Index as many as 3 companies, assessed each semester, so for this study were drawn todate period is December 15 May 16. Testing data on the research is done by using SPSS (Statistical Package for the Social Science)version, while the data analysis tools used were descriptive statistics, the classic assumption test, correlation coefficient analysis, test analysismultiple linear regression, and hypothesis testing(priyatno,14). RESULTS of THE RESEARCH Description data was obtained from the processing / measurement of various free variables: inflation, BI Rate, Exchange rate USDIDR, stock and frequency of and the dependent variable in the form of share price volatility than thirty public companies incorporated in Jakarta Islamic Index. The amount of data each variable because only 6 of 13 companies whose data can be processed. The initial processing are multi colinierities between BI variables with a variable rate Exchange rate USD / IDR. Through simulation data processing, variable BI rate not eventually used for providing value Asymp. Sig. smaller than.5 when compared to if the variable rate of USD / IDR unused. 1. Correlation Correlation test aims to determine whether there is a correlation or relationship between the independent variable (X) and dependent variable (Y). Table 1: Correlation Lnshare price volatility Lninflatio n Ln Exchange rate Lnstock Lnfrequency of Pearson Correlatio n Lnshare price volatility 1,,3,4,43,16 Lninflation,3 1,,95,94,144 LnExchange rate,4,95 1,,11,45 Lnstock Lnfrequency of,43,94,11 1,,693,16,144,45,693 1, Sig. (1 tailed) Lnshare price volatility.,46,3,, Lninflation,46.,,144,51 LnExchange rate,3,.,91, Lnstock Lnfrequency of,,144,91.,,,51,,. N Lnshare price volatility

4 Table 1: Correlation Lnshare price volatility Lninflatio n Ln Exchange rate Lnstock Lnfrequency of Pearson Correlatio n Lnshare price volatility 1,,3,4,43,16 Lninflation,3 1,,95,94,144 LnExchange rate,4,95 1,,11,45 Lninflation LnExchange rate Lnstock Lnfrequency of Source: SPSS output Stepwise Based on table 1 shows the correlation of each independent variable on the dependent variable: 1) The correlation between inflation and stock price volatility. If seen from the significant value of.46 is greater than.5 means that there is no significant relationship between inflation and stock price volatility. ) The correlation between the rate of USD / IDR with share. If price volatility seen from the significant value of.3 is greater than.5 means that there is no significant relationship between the rate of USD / IDR with stock price volatility. 3) The correlation between the of stock with stock price volatility. If seen from the significant value of. less than.5 means that there is a significant correlation between the of stock with volatility stock price. The correlation coefficient between the of stock with stock price volatility amounted to.43, which means the correlation is quite the negative relationship. 4) The correlation between the frequency of with stock price volatility If seen from the significant value of. is greater than.5 means that there is no significant relationship between the frequency of with share price volatility.. Determination Table Determination Change Statistics M od el R R Squar e Adjus ted R Squar e Std. Error of the Estimate R Squar e Chan ge F Ch an ge d f 1 d f Sig. F Cha nge Durbi n Wats on 1,4 3 a, ,146555,16 4, 6 1 1,,6 9 1 b,4,469,99499,315 6, , 3, 3 c,536,55,6191,59 15, , 1,59 3. Source: SPSS output Stepwise 444

5 Table shows that the value of Adjusted R Square of.55 or 5.5%, which means that the variable of stock, stocks frequency and rate of USD / IDR able affect the stock price volatility of 5.5%. The remaining 4.5% is influenced by other variables outside the research variables such as the price of oil, gold and others. 3. Multiple Linear Regression Table 3Regression Unstandardi zed Coefficients Standardi zed Coefficie nts 95.% Confidence Interval for B Correlations Collinearity Statistics Model B St d. Er ror Beta t S i g. Low er Bou nd Up per Bo un d Zer o ord er Part ial P ar t Tol e ran ce V I F 1 (Constant) Ln stock vol (Constant) Ln stock vol Ln stocks freq (Constant) 44, 4 4,5 34 5,9 39, 9, , 653 Lnstock vol,,66 1,51 11, 6,,9,64,43,, 1,4,1 Lnstocks freq,9,9,95 9,96,, 1, 6,16,664,6 5,3,6 5 Ln Exchange rate, 35,559, 4,, 3,3 4 1,1 9,4,336,4 3,15 1,4 4. Table 3 is based on the linear regression equation Y volatility = 44,44, +,9 frequency,35 rate of USD/IDR Interpretation of regression as follows: 1) Constants: If the of stock, stocks frequency and exchange rate USD / IDR, the volatility of share price of ) The regression coefficient variable stock =. If the frequency of and exchange rate USD / IDR is worth staying and s increased by one unit then the volatility of stock prices will fall by., and vice versa. 3) The regression coefficient variable frequency stock =.9 If the of stock and exchange rate USD / IDR worth staying and frequency stock increased by one unit then the volatility of the stock price will rise by.9, and vice versa. 4) The regression coefficient variable rate of USD / IDR =

6 If the stock and frequency fixedvalue stocks and exchange rate USD / IDR rose by one unit then the volatility of the stock price will drop by,35, and vice versa. CLOSING 1. Conclusion BI Rate and Inflation does not affect the stock price volatility 1.. Exchange rate USD / IDR and have significant influence with the negative direction of the stock price volatility 1.3. Frequency have significant influence with the positive direction of the stock price volatility. Managerial implications.1. Companies that are members of the Jakarta Islamic Index, should pay attention on variable rate of USD/IDR, and frequency because these three variables significantly influence the movements or stock price volatility. (Anastasia and Finanti,14).. Investors should always watch the movement or trend of the exchange rate USD / IDR and share price movements of issuers incorporated in the Jakarta Islamic Index (Rashid Sabri,: Gumanti,13) 3. Research Limitations The data used in this research is secondary data on macroeconomic variables (BI Rate, inflation and foreign exchange rates: exchange rate of USD / IDR) and related to the performance of stocks in the capital market, especially the 3 companies joined in Jakarta Islamic Index, the period of observation in this study is relatively short for the years 1115 and the number of samples is relatively small and confined to the companies listed in the Jakarta Islamic Index joined in, only 6 companies were used as a sample. 4. Suggestion 1. Researchers further should add macro variables such as the price of gold, oil prices, income per capita, the level of national opinion Gross so that research results more comprehensive (Attari,13: Maslan,15; Muhammad Antonio, 13). 4.. In addition to macroeconomic variables, can also be other variables outside Indonesia as conditions index for the current international market in the era of globalization there is no restriction information (Muhammad Antonio, 13; Rashid Sabri,) 4.3. Adding sample, so it is not only companies belonging to the Jakarta Islamic Index, but it could take all companies listed in Indonesia Stock Exchange Extending the period of the study, given investors see longterm predictions than the predictions of a relatively short period of time. REFERENCES Alwi, Iskandar Z,. Pasar Modal Teori dan Aplikasi, Yayasan Pancur Siwah, Jakarta. Duwi Priyatno. 14. Pengolahan Data SPSS. Yogyakarta: CV ANDI OFFSET Eduardus Tandelilin,1, Portofolio dan investasi: Teori dan aplikasi,kanisius Yogyakarta Jogiyanto Hartono, 13, Teori Portofolio dan Analisis Investasi,edisi,BPFE UGM Yogyakarta Jones, P Charles,1, Investment : Principles and Concept edition 11, John Wiley,USA Sugiyono. 13. Metode Penelitian Bisnis. Cetakan Ke Tujuh Belas. IKAPI. Alfabeta. Bandung. Attari,Muhammad Irfan Javaid (13), Therelationship between Macroeconomic Volatility and Stock Market Volatility : Empirical Evidence from Pakistan.Pakistan Journal of Commerce and Social Sciences 13, vol. (), 393. Ambarwati, Sri Dwi Ari.. Pengaruh Return Saham, Volume Perdagangan Saham dan Varian Return Saham Terhadap Bid Ask Spread Saham Pada Perusahaan Manufaktur yang Tergabung Dalam Indeks LQ45 Periode 35. Jurnal Siasat Bisnis. Vol. 1.No. 1. Yogyakarta: Bagian Penerbitan FEUPN Veteran. Maslan Putra Paloh, 15.Pengaruh Inflasi,Nilai Tukar dan Suku Bunga SBI Terhadap Volatilitas Harga Saham pada perusahaan LQ 45 Periode 1,Jurnal Manajemen Keuangan 446

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