ANALISIS PENGARUH VARIABEL MAKRO EKONOMI TERHADAP HARGA SAHAM EMITEN SUB SEKTOR SEMEN DI BURSA EFEK INDONESIA TAHUN 1993 – 2013

This research has an objective to explore the factors that take a big role to the emittance stock price in cement subsector in Indonesia Stock Exchange (IDX). PT. Indocement Tunggal Prakartsa (INTP), PT. Holcim Indonesia (SMCB), and PT. Semen Indonesia (SMGR) are the companies that belong to the emittance stock in cement subsector in this research. This research uses the stock price of PT. Indocement Tunggal Prakartsa (INTP), PT. Holcim Indonesia (SMCB), and PT. Semen Indonesia (SMGR), inflation, SBI Interest Rate, economy growth, and exchange rate of US Dollar towards IDR. The Data of this research is in the form of secondary quantitative data, in the period of 1993-2013 in the kind of time series, and Vector Autoregression First Difference (VAR FD) approach. VAR Approach is employed to detect the two way dynamic causality among the dependent and independent variables. Based on the estimation result, PT. Indocement Tunggal Prakarsa Tbk (INTP) on first difference is SBI interest rate variable and economic growth has a negative and non-significant relationship, while inflation and exchange rate IDR towards USSD is positive non-significant. In the other side, PT Holcim Indonesia (SMCB) on the first difference is inflation give negative impact and non-significant, while USSD exchange rate toward IDR and economic growth is positive and non-significant. The stock price of PT Semen Indonesia (SMGR) on the first difference is SBI Interest rate and economic growth give a negative impact, while inflation and USSD exchange rate towards IDR is positive. To increase the stock price, PT Indocement Tunggal Prakarsa Tbk and PT Semen Indonesia (SMGR)needs to take the attention to the SBI interest rate and PDB rate. In the case of PT. Holcim Indonesia (SMCB), they need to take their attention to inflation only. Keyword: Emittance stock price in cement subsector, inflation, SBI interest rate, economic growth, and USSD exchange rat