PENGARUH PERUBAHAN HARGA EMAS TERHADAP RETURN SAHAM DENGAN SENTIMEN PASAR SEBAGAI VARIABEL MEDIASI PADA PT ANEKA TAMBANG TBK TAHUN 2023-2025

Neng Putri Pebriani; Nurfala  Safitri

doi:10.53067/ijebef.v6i2.341

Authors

Neng Putri Pebriani Politeknik Negeri Jakarta
Nurfala Safitri Politeknik Negeri Jakarta

DOI:

https://doi.org/10.53067/ijebef.v6i2.341

Keywords:

Gold Price, Stock Return, Market Sentiment, Harga emas, return saham, sentimen pasar

Abstract

This study aims to analyze the effect of gold prices on the stock returns of PT Aneka Tambang Tbk by incorporating market sentiment as a mediating variable and gold growth as a control variable. A quantitative approach was employed using secondary daily data consisting of world gold prices, PT Aneka Tambang Tbk stock returns, the volatility of the Indonesia Composite Stock Price Index (IHSG) as a proxy for market sentiment, and gold price growth during the 2023-2025 period. After data transformation and outlier treatment, a total of 570 observations were analyzed. The data were examined using multiple linear regression, classical assumption tests, partial and simultaneous significance tests, coefficient of determination, Baron and Kenny's causal step mediation analysis, and the Sobel test with EViews 13 software. The findings indicate that gold prices have a positive and significant effect on both stock returns and market sentiment. Market sentiment also has a positive and significant effect on stock returns. In the mediation model, gold prices remained significant after market sentiment was included as a mediator, while the direct effect coefficient decreased from 0.393779 to 0.297115. These results indicate partial mediation, suggesting that market sentiment partially mediates the relationship between gold prices and stock returns. Furthermore, the Sobel test produced a t-statistic of 2.508, exceeding the critical value of 1.96, confirming the significance of the indirect effect. The control variable, gold growth, was found to have a negative and significant effect on stock returns. Overall, the findings demonstrate that fluctuations in gold prices influence stock returns both directly and indirectly through changes in investor market sentiment within the Indonesian capital market.

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