PENGARUH VOLATILITAS PASAR SAHAM TERHADAP KINERJA SAHAM PERBANKAN STUDI PADA BANK BRI DI BURSA EFEK INDONESIA
Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh volatilitas pasar saham terhadap kinerja saham Bank Rakyat Indonesia (BBRI) yang terdaftar di Bursa Efek Indonesia (BEI) selama periode 2021–2024. Volatilitas pasar diproksikan melalui standar deviasi return harian Indeks Harga Saham Gabungan (IHSG), sementara kinerja saham BBRI diukur berdasarkan return harian dan risiko saham. Penelitian ini menggunakan pendekatan kuantitatif dengan metode deskriptif dan kausal. Data diperoleh secara sekunder dari sumber terpercaya seperti BEI dan Bloomberg. Hasil analisis korelasi Pearson menunjukkan hubungan negatif sedang antara volatilitas IHSG dan return saham BBRI. Analisis regresi linier sederhana menunjukkan bahwa volatilitas pasar memiliki pengaruh negatif signifikan terhadap kinerja saham BBRI, dengan koefisien regresi sebesar -0,315 dan nilai signifikansi 0,019. Temuan ini mendukung teori risiko-return dan menekankan pentingnya manajemen risiko dalam pengambilan keputusan investasi, terutama di sektor perbankan yang sensitif terhadap dinamika makroekonomi. Meskipun BBRI tergolong saham blue-chip, return-nya tetap dipengaruhi oleh gejolak pasar. Penelitian ini merekomendasikan strategi diversifikasi portofolio dan pemantauan indikator volatilitas pasar sebagai upaya mitigasi risiko bagi investor dan manajer investasi.
Kata kunci: Volatilitas pasar; kinerja saham; return; risiko; BBRI; IHSG.
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DOI: https://doi.org/10.52643/jam.v16i1.6323
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