vi

DAFTAR ISI

Lembar Judul..................................................................................................... i

Lembar Pengesahan........................................................................................... ii

Lembar Pernyataan............................................................................................ iii

Kata Pengantar................................................................................................... iv

Daftar Isi............................................................................................................ vi

Daftar Tabel....................................................................................................... ix

Daftar Gambar................................................................................................... x

Daftar Lampiran................................................................................................. xi

Intisari................................................................................................................ xii

Abstract.............................................................................................................. xiii

BAB I PENDAHULUAN........................................................................... 1

1.1. Latar Belakang Masalah....................................................... 1

1.2. Rumusan Masalah................................................................. 5

1.3. Tujuan Penelitian.................................................................. 5

1.4. Manfaat Penelitian................................................................ 5

1.5. Sistematika Penulisan........................................................... 6

BAB II TINJAUAN PUSTAKA............................................................... 7

2.1. Landasan Teori..................................................................... 7

2.1.1. Minyak Bumi............................................................ 7

vii

2.1.2. Nilai Tukar................................................................ 12

2.1.3. Tingkat Suku Bunga................................................. 12

2.1.4. Inflasi........................................................................ 14

2.2. Penelitian Terdahulu............................................................. 17

2.3. Kerangka Konsep.................................................................. 19

2.4. Hipotesis............................................................................... 20

BAB III METODE PENELITIAN........................................................... 23

3.1. Definisi Operasional Variabel.............................................. 23

3.2. Jenis dan Sumber Data.......................................................... 25

3.3. Teknik Analisis Data............................................................ 26

BAB IV HASIL PENELITIAN DAN PEMBAHASAN......................... 30

4.1. Analisis Deskriptif Statistik.................................................. 30

4.2. Uji Asumsi Klasik................................................................. 33

4.3. Koefisien Determinasi.......................................................... 38

4.4. Uji Simultan (Uji F).............................................................. 39

4.5. Uji Parsial (Uji T)................................................................. 40

BAB V SIMPULAN DAN SARAN........................................................... 46

5.1. Simpulan............................................................................... 46

5.2. Keterbatan Penelitian............................................................ 47

5.3. Saran..................................................................................... 48

DAFTAR PUSTAKA....................................................................................... 50

viii

LAMPIRAN..................................................................................................... 52

ix

DAFTAR TABEL

Tabel 3.1. Harga Saham Perusahaan-Perusahaan dari Sub Sektor

Pertambangan Minyak dan Gas Bumi...........................................

24

Tabel 4.1. Statistik Deskriptif Harga Saham Perusahaan-Perusahaan dari

Sub Sektor Migas..........................................................................

30

Tabel 4.2. Statistik Deskriptif Harga Minyak Dunia..................................... 31

Tabel 4.3. Statistik Deskriptif Nilai Tukar USD terhadap Rupiah................ 31

Tabel 4.4. Statistik Deskriptif Tingkat Suku Bunga...................................... 32

Tabel 4.5. Statistik Deskriptif Inflasi............................................................. 32

Tabel 4.6. Pengujian Normalitas Kolmogorov-Smirnov............................... 34

Tabel 4.7. Pengujian Multikolinearitas.......................................................... 36

Tabel 4.8. Keputusan Durbin Watson............................................................ 37

Tabel 4.9. Hasil Pengujian Durbin Watson................................................... 37

Tabel 4.10. Koefisien Determinasi.................................................................. 38

Tabel 4.11. Hasil Uji F.................................................................................... 40

Tabel 4.12. Hasil Uji T.................................................................................... 41

x

DAFTAR GAMBAR

Gambar 1. Sejarah Harga Minyak Dunia West Texas Intermediate

(Periode 1986-2017)..................................................................

1

Gambar 2. Pergerakan Harga Minyak Dunia West Texas Intermediate

(Periode 2002–2017)..................................................................

2

Gambar 2.1. Kerangka Pemikiran..................................................................... 19

xi

DAFTAR LAMPIRAN

Lampiran 1. Data Harga Rata-Rata Saham Perusahaan-Perusahaan dari

Sub Sektor Pertambangan Minyak dan Gas Bumi, Harga

Minyak Dunia Jenis WTI, Nilai Tukar USD terhadap Rupiah,

Tingkat Suku Bunga, dan Inflasi..............................................

52

Lampiran 2 Harga Rata-Rata Saham Perusahaan-Perusahaan dari Sub

Sektor Pertambangan Minyak dan Gas Bumi Periode Februari

2012 s.d. Desember 2016.........................................................

54

Lampiran 3. Harga Minyak Dunia West Texas Intermediate (WTI)

Periode Februari 2012 s.d. Desember 2016.............................

56

Lampiran 4. Nilai Tukar Dollar Amerika Serikat (USD) terhadap Rupiah

Periode Februari 2012 s.d. Desember 2016.............................

57

Lampiran 5. Tingkat Suku Bunga (SBI Rate) Periode Februari 2012 s.d.

Desember 2016........................................................................

58

Lampiran 6. Tingkat Inflasi Periode Februari 2012 – Desember 2016........ 59

Lampiran 7. Regression – Uji Normalitas.................................................... 60

Lampiran 8. Regression – Uji Heteroskedastisitas....................................... 62

Lampiran 9. Regression – Uji Multikolinearitas........................................... 63

Lampiran 10. Regression – Uji Autokorelasi.................................................. 64