ANALISIS REGRESI FAKTOR PANEL DINAMIS BLUNDELL-BOND DENGAN ESTIMASI SYSTEM-GENERALIZED METHOD OF MOMENT PADA SAHAM FARMASI DI BEI

Abstract

The pharmaceutical sector has become a concern during the Covid-19 pandemic because of the large use of drugs. Companies need to improve financial performance to increase their share prices and investors need analysis to predict future stock prices. This study aims to analyze the influence of stock prices on 10 pharmaceutical companies on the Indonesia Stock Exchange during the third quarter of 2020 to the third quarter of 2021. Based on previous research, the factors that are thought to have an effect on changes in stock prices are internal financial ratios (ROA, ROE, NPM, GPM, EPS, PER, BV, PBV, DAR, DER, CR, QR, Cash Asset Ratio) and external inflation, exchange rates, interest rates. The method used in this research is dynamic panel factor regression analysis with GMM (Generalized Method of Moment) estimation. Factor analysis to reduce the independent variables to form a factor score which is then entered into the regression. The regression model was obtained from the comparison of Arellano-Bond GMM and Blundell-Bond System. The GMM system is the development of Arellano-Bond which will produce more efficient estimates when the sample time series is short. The results of the study were obtained 3 factor scores with a total variance of 81.757% from the elimination of 6 variables that had MSA <0.5. The best model is the Blundell-Bond Twostep System which fulfills the model assumptions with RMSE 803.276.