Determinan Makroekonomi dan Berbasis Pasar terhadap Return Saham Bank Central Asia: Pendekatan ARDL Bounds Testing, 2016–2025
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Bank Central Asia (BBCA) merupakan salah satu saham terbesar dan paling aktif diperdagangkan di Bursa Efek Indonesia, tetapi return bulanannya berfluktuasi pada masa pandemi, pengetatan moneter global, dan tekanan terhadap rupiah. Penelitian ini bertujuan menganalisis pengaruh inflasi, nilai tukar rupiah, yield obligasi pemerintah tenor 10 tahun, volume perdagangan, kapitalisasi pasar, dan periode pandemi COVID-19 terhadap return saham BBCA. Arbitrage Pricing Theory digunakan untuk membenarkan pemilihan variabel, sedangkan Present Value Model digunakan untuk menurunkan arah pengaruh yang diharapkan. Data bulanan periode Januari 2016 hingga Desember 2025 dianalisis dengan pendekatan Autoregressive Distributed Lag (ARDL) bounds testing. Uji batas (F = 14,71; k = 6) mengonfirmasi adanya hubungan jangka panjang. Dalam jangka panjang, inflasi (positif, berlawanan dengan hipotesis), kapitalisasi pasar (positif), depresiasi nilai tukar (negatif), dan periode pandemi (negatif) signifikan, sedangkan yield obligasi dan volume perdagangan tidak signifikan. Dalam jangka pendek, depresiasi dan volume perdagangan menurunkan return, sedangkan pengaruh inflasi berbeda pada setiap lag. Hubungan kapitalisasi pasar dan return sebagian bersifat mekanis karena keduanya dibentuk dari harga yang sama. Dengan demikian, sensitivitas BBCA terhadap faktor sistematis berbeda antarhorizon waktu.
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