Analysis of determinant factors in influencing stock return: Panel data analysis approach
DOI:
https://doi.org/10.35877/454RI.daengku1205Keywords:
Trading Volume, Market Value Added, Devidend Payout Ratio, Book Value Per Share, Systematic Risk, Stock returnAbstract
The goal of this study was to examine the influence of trading volume, market value added, dividend payment ratio and systematic risk on stock return of businesses listed on the Indonesia Stock Exchange in the construction and building sub-sector. Purposive sampling was used, with 35 samples drawn from financial reports covering the years 2011-2017. The analytical approach used was panel data regression analysis. trading volume and market value added have a substantial impact on stock returns. Meanwhile, dividend payment ratio and systematic risk have no effect on stock returns. Construction and building industry sub-sector businesses were chosen as a sample in this study. Furthermore, there are few comparable studies that employ samples from industrial construction and building sub-sector businesses. The sample was chosen because it is seen as a constant contributor to the country's economic success. This is evident in the long-term development of government infrastructure, such as toll roads, airports, public housing, and other public amenities. According to Central Statistics Agency (BPS) study, the construction sector is one of the three key contributors to Indonesia's economic development. This is what makes this study interesting. Researchers should find the research useful in broadening their knowledge and skills on the subject issue, debating the research item, and applying principles learnt in lectures. Companies are required to provide information that would assist them in developing strategic plans and making decisions that will improve their performance. a limited number of samples and a short time period (just 2011 to 2017), which is most likely leading the data computation findings to be less than optimal Furthermore, not all firms provide dividends on a yearly basis.
References
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Faitullah, F. (2016). Analisis Pengaruh EPS, ROA, ROE, EVA, dan MVA Terhadap Harga Saham Pada Perusahaan Subsektor Farmasi yang Terdaftar di Bursa Efek Indonesia. Jurnal Manajemen Dan Bisnis Sriwijaya, 14(3), 297–320. https://doi.org/10.29259/jmbs.v14i3.3971
Farsio, F., Degel, J., & Degner, J. (2000). Economic Value Added (EVA) and Stock Returns. The Financier, 7(1).
Fauza, M., & Mustanda, I. (2016). Pengaruh Profitabilitas, Earning Per Share (Eps) Dan Dividend Payout Ratio (Dpr) Terhadap Harga Saham. E-Jurnal Manajemen Universitas Udayana, 5(12), 253587.
Ferguson, R., Rentzler, J., & Yu, S. (2005). Does Economic Value Added (EVA) Improve Stock Performance Profi tability? Journal of Applied Finance, 15.
Hanafi, M. I., & Handayani, S. R. (2019). Pengaruh Struktur Modal dan Profitabilitas Terhadap Harga Saham (Studi Pada Sektor Property dan real Estate yang Terdaftar Pada Bursa Efek Indonesia Periode Tahun 2015-2017). Jurnal Administrasi Bisnis (JAB), 74(1), 1–9.
Hunjra, A. I., Ijaz, M., Chani, D. M. I., Hassan, S. ul, & Mustafa, U. (2014). Impact of Dividend Policy, Earning Per Share, Return on Equity, Profit after Tax on Stock Prices. International Journal of Economics and Empirical Research, 2(3), 109–115.
Jogiyanto, H. (2010). Teori portofolio dan analisis investasi. Edisi Ketujuh. BPFE. Yogyakarta.
Kusuma, R. A., & Topowijono. (2018). Pengaruh Economic Value Added (EVA) Dan Market Value Added (MVA) Terhadap Return Saham. Jurnal Administrasi Bisnis, 61(3), 65–72. https://doi.org/10.29406/jmm.v12i3.452
Lehn, Kenneth, Makhija, & Anil, K. (1996). EVA & MVA: As Performance Measures and Signals for Strategic Change. Journal of Strategy and Leadership, 24(3).
Mubeen, R. (2020). The effects of market competition, capital structure, and CEO duality on firm performance: A mediation analysis by incorporating the GMM model technique. Sustainability (Switzerland), 12(8). https://doi.org/10.3390/SU12083480
Munawarah. (2017). Pengaruh Analisis Fundamental Terhadap Harga Saham Pada Perusahaan Real Estate dan Property. Jurnal Mutiara Akuntansi, 2(2), 73–82.
Nasir, N. A. b. M. (2018). Real earnings management and financial statement fraud: evidence from Malaysia. International Journal of Accounting and Information Management, 26(4), 508–526. https://doi.org/10.1108/IJAIM-03-2017-0039
Pamane, K., & Vikpossi, A. E. (2014). An Analysis of the Relationship between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM. Research in World Economy, 5(1).
Pandansari, F. A. (2012). Analisis Faktor Fundamental Terhadap Harga Saham. Accounting Analysis Journal, 1(1). https://doi.org/10.15294/aaj.v1i1.493
Pattiruhu, J. (2020). Effect of Liquidity, Profitability, Leverage, and Firm Size on Dividend Policy. Journal of Asian Finance, Economics and Business, 7(10), 35–42. https://doi.org/10.13106/jafeb.2020.vol7.no10.035
Puspita, V., Banaludin, I., & Umrie, R. (2015). Pengaruh Economic Value Added (Eva) Dan Market Value Added (Mva) Terhadap Harga Saham Pada Perusahaan Kelompok Lq-45 Di Bursa Efek Indonesia. Jembatan?: Jurnal Ilmiah Manajemen, 12(2), 97–110. https://doi.org/10.29259/jmbt.v12i2.3091
Renneboog, L. (2020). How relevant is dividend policy under low shareholder protection? Journal of International Financial Markets, Institutions and Money, 64. https://doi.org/10.1016/j.intfin.2015.01.006
Safitri, A. L. (2013). Pengaruh Earning Per Share, Price Earning Ratio, Return on Asset, Debt To Equity Ratio Dan Market Value Added Terhadap Harga Saham Dalam Kelompok Jakarta Islamic Index. Management Analysis Journal, 2(2), 1–8. https://doi.org/10.15294/maj.v2i2.2479
Santoso, W., & Utama, C. A. (2021). The Indirect Impact of Busy Directors on the Relationship of Family Structure and Cash Flow Sensitivity of Cash (Empirical Research in Indonesia’s Manufacturing Sector 2013-2017). Jurnal Manajemen Bisnis, 12(1), 111–114. https://doi.org/10.18196/mb.v12i1.9344
Saripudin, & Lutfi, H. (2017). Pengaruh Makro Ekonomi Terhadap Harga Saham Pada Perusahaan Sektor Perbankan di Bursa Efek Indonesia. Jurnal Bisnis Dan Komunikasi, 4(2), 149–157.
Sekaran, U., & Bougie, R. (2016). Research Methods for Business?: A Skill-Building Approach (Seventh Ed). John Wiley & Sons, Inc.
Sharif, I., Ali, A., & Jan, F. A. (2015). Effect of Dividend Policy on Stock Prices. Business & Management Studies: An International Journal, 3(1), 56–87. https://doi.org/10.15295/bmij.v3i1.101
Sudana, I. M. (2015). Teori dan Praktik Manajemen Keuangan Perusahaan (Edisi 2). Erlangga.
Sugiarto, A. (2011). Analisa Pengaruh BETA, SIZE Perusahaan, DER dan PBV Ratio Terhadap Return Saham. Jurnal Dinamika Akuntansi, 3(1).
Tyas, R. A., & Saputra, R. S. (2016). Analisis Pengaruh Profitabilitas Terhadap Harga Saham (Studi Kasus Perusahaan Telekomunikasi Yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2012–2014). Jurnal Online Insan Akuntan, 1(1), 77–91.
Wahyuningsih, T., Liestyana, Y., & Dewi, L. F. (2010). Analisis Persamaan Simultan Insider Ownership, Utang dan Kebijakan Deviden Beserta Faktor-Faktor yang mempengaruhinya. Jurnal Manajemen Bisnis, 1(1), 55–71.
Widayanti, P., & Haryanto, A. M. (2013). Analisis pengaruh faktor fundamental dan volume perdagangan terhadap return saham (Studi kasus pada perusahaan real estate and property yang terdaftar di BEI periode 2007-2010). Diponegoro Journal of Management, 238–248.
Widjanarko, H. (2011). Determinan Faktor Fundamental Terhadap Return Saham ( Studi pada Perusahaan yang Masuk ILQ 45 di Bursa. Jurnal Manajemen & Bisnis, 1(2), 214–229.
Zahidah, S. R., & Rostiani, R. (2021). Trusting Online Reviews Enhances Intention to Book Online: The Perks of Seeking Information? Jurnal Manajemen Bisnis, 12(2), 142–161. https://doi.org/10.18196/mb.v12i2.10831
Zimon, G. (2019). An assessment of the strategy of working capital management in Polish energy companies. International Journal of Energy Economics and Policy, 9(6), 552–556. https://doi.org/10.32479/ijeep.8406
Zimon, G. (2020). Financial liquidity management strategies in Polish energy companies. International Journal of Energy Economics and Policy, 10(3), 365–368. https://doi.org/10.32479/ijeep.9150
Zuliarni, S. (2012). Pengaruh Kinerja Keuangan Terhadap Harga Saham Pada Perusahaan Mining and Mining Service di Bursa Efek Indonesia (BEI). Jurnal Aplikasi Bisnis, 3(1), 36–48.
Aditya, D., & Supriyono, E. (2015). Pengaruh Profitabilitas Dan Kepemilikan Institusional Terhadap Nilai Perusahaan Dengan Kebijakan Dividen Sebagai Variabel Intervening Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia Periode 2010-2014. Jurnal Manajemen Bisnis, 6(1), 307–326.
Agustinus, Gumanti, T. A., Mufidah, A., & Tuhelelu, A. (2013). Volume Perdagangan, Frekuensi Perdagangan, Order Imbalance dan Volatilitas Harga Saham. Jurnal Universitas Paramadina, Vol. 10 No.
Alamsyah, M. R., Tandika, D., & Nurdin. (2017). Pengaruh Faktor Fundamental dan Volume Perdagangan Saham terhadap Harga Saham ( Studi Kasus Perusahaan LQ45 Yang Terdaftar Di Bursa Efek Indonesia Tahun 2013-2014 ). Prosiding Manajemen, 3(1), 271–276.
Bailia, F.W Fransiska. Tommy, Parengkuan. Baramulli, N. D. (2016). Pengaruh Pertumbuhan Penjualan , Dividend Payout Ratio Dan Debt To Equity Ratio Terhadap Harga Saham Pada Perusahaan Property Di Bursa Efek Indonesia the Influence of Sales Growth , Dividend Payout Ratio and Debt To Equity Ratio on Stock Price of Property. Jurnal Berkala Ilmiah Efisiensi, 16(03), 270–278.
Barus, A. C., & Christina. (2014). Pengaruh Reaksi Pasar terhadap Harga Saham Perusahaan yang Terdaftar di Bursa Efek Indonesia. Wira Ekonomi Mikroskil, 4(1), 41–50.
BPS, B. P. S. (2021). Indikator Konstruksi, Triwulan III-2020. https://www.bps.go.id/publication/2021/02/11/be518bf28fbcd8fd91386346/indikator-konstruksi-triwulan-iii-2020.html
C., G. J., & Tjun, L. T. (2016). Pengaruh Current Ratio (CR), Earnings Per Share (EPS) Dan Price Earnings Ratio Terhadap Harga Saham: Studi Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Periode 2012-2014. Jurnal Akuntansi, 8(1), 131–156.
Campbell, J. Y., & Vuolteenaho, T. (2016). Appendix to “Bad Beta, Good Beta”: Data Construction, Additional Empirical Results, and Robustness Checks. Harvard University, Cambridge.
Chen, S., & Dodd, J. L. (2002). Market efficiency, CAPM, and value-relevance of earnings and EVA: A reply to the comment by professor Paulo. Journal of Managerial Issues, 14, 507+. https://link.gale.com/apps/doc/A99512691/AONE?u=anon~9accb0af&sid=googleScholar&xid=218949fe
Demirgüç-Kunt, A. (2020). The global financial crisis and the capital structure of firms: Was the impact more severe among SMEs and non-listed firms? Journal of Corporate Finance, 60. https://doi.org/10.1016/j.jcorpfin.2019.101514
Devi, S. K., Mardani, R. M., & Salim, A. (2018). Pengaruh Dividen Payout Ratio (DPR), Return On Equity (ROE), Financial Leverage (FL), dan Price Earning Ratio (PER) Terhadap Harga Saham (Studi Kasus Pada Perusahaan Food and Beverage yang terdaftar di Bursa Efek Indonesia Periode 2012-2016). E-Jurnal Riset Manajemen, 108–121.
Dewi, N. M. A. K., & Suaryana, I. G. N. A. (2016). Tingkat Suku Bunga terhadap Volatilitas Harga Saham. E-Jurnal Akuntansi Universitas Udayana, 17, 1112–1140.
Dutta, S., & Reichelstein, S. (2005). Stock Price, Earnings, and Book Value in Managerial Performance Measures. The Accounting Review, 80(4), 1069–1100.
Eduardus, T. (2001). Analisis Investasi dan Manajemen Portofolio. BPFE-Yogyakarta.
Elly, Leng, & Pwee. (2002). Pengaruh Risiko Sistematis dan Likuiditas Terhadap Pengembalian Saham Badan-Badan Usaha yang GoPublic di Bursa Efek Jakarta pada Tahun 1999. Jurnal Universitas Kristen Petra.
Fahmi, M. I. (2019). Pengaruh Profitabilitas Dan Solvabilitas Terhadap Harga Saham Dan Audit Delay Sebagai Variabel Intervening. eprints.perbanas.ac.id. http://eprints.perbanas.ac.id/5402/
Faitullah, F. (2016). Analisis Pengaruh EPS, ROA, ROE, EVA, dan MVA Terhadap Harga Saham Pada Perusahaan Subsektor Farmasi yang Terdaftar di Bursa Efek Indonesia. Jurnal Manajemen Dan Bisnis Sriwijaya, 14(3), 297–320. https://doi.org/10.29259/jmbs.v14i3.3971
Farsio, F., Degel, J., & Degner, J. (2000). Economic Value Added (EVA) and Stock Returns. The Financier, 7(1).
Fauza, M., & Mustanda, I. (2016). Pengaruh Profitabilitas, Earning Per Share (Eps) Dan Dividend Payout Ratio (Dpr) Terhadap Harga Saham. E-Jurnal Manajemen Universitas Udayana, 5(12), 253587.
Ferguson, R., Rentzler, J., & Yu, S. (2005). Does Economic Value Added (EVA) Improve Stock Performance Profi tability? Journal of Applied Finance, 15.
Hanafi, M. I., & Handayani, S. R. (2019). Pengaruh Struktur Modal dan Profitabilitas Terhadap Harga Saham (Studi Pada Sektor Property dan real Estate yang Terdaftar Pada Bursa Efek Indonesia Periode Tahun 2015-2017). Jurnal Administrasi Bisnis (JAB), 74(1), 1–9.
Hunjra, A. I., Ijaz, M., Chani, D. M. I., Hassan, S. ul, & Mustafa, U. (2014). Impact of Dividend Policy, Earning Per Share, Return on Equity, Profit after Tax on Stock Prices. International Journal of Economics and Empirical Research, 2(3), 109–115.
Jogiyanto, H. (2010). Teori portofolio dan analisis investasi. Edisi Ketujuh. BPFE. Yogyakarta.
Kusuma, R. A., & Topowijono. (2018). Pengaruh Economic Value Added (EVA) Dan Market Value Added (MVA) Terhadap Return Saham. Jurnal Administrasi Bisnis, 61(3), 65–72. https://doi.org/10.29406/jmm.v12i3.452
Lehn, Kenneth, Makhija, & Anil, K. (1996). EVA & MVA: As Performance Measures and Signals for Strategic Change. Journal of Strategy and Leadership, 24(3).
Mubeen, R. (2020). The effects of market competition, capital structure, and CEO duality on firm performance: A mediation analysis by incorporating the GMM model technique. Sustainability (Switzerland), 12(8). https://doi.org/10.3390/SU12083480
Munawarah. (2017). Pengaruh Analisis Fundamental Terhadap Harga Saham Pada Perusahaan Real Estate dan Property. Jurnal Mutiara Akuntansi, 2(2), 73–82.
Nasir, N. A. b. M. (2018). Real earnings management and financial statement fraud: evidence from Malaysia. International Journal of Accounting and Information Management, 26(4), 508–526. https://doi.org/10.1108/IJAIM-03-2017-0039
Pamane, K., & Vikpossi, A. E. (2014). An Analysis of the Relationship between Risk and Expected Return in the BRVM Stock Exchange: Test of the CAPM. Research in World Economy, 5(1).
Pandansari, F. A. (2012). Analisis Faktor Fundamental Terhadap Harga Saham. Accounting Analysis Journal, 1(1). https://doi.org/10.15294/aaj.v1i1.493
Pattiruhu, J. (2020). Effect of Liquidity, Profitability, Leverage, and Firm Size on Dividend Policy. Journal of Asian Finance, Economics and Business, 7(10), 35–42. https://doi.org/10.13106/jafeb.2020.vol7.no10.035
Puspita, V., Banaludin, I., & Umrie, R. (2015). Pengaruh Economic Value Added (Eva) Dan Market Value Added (Mva) Terhadap Harga Saham Pada Perusahaan Kelompok Lq-45 Di Bursa Efek Indonesia. Jembatan?: Jurnal Ilmiah Manajemen, 12(2), 97–110. https://doi.org/10.29259/jmbt.v12i2.3091
Renneboog, L. (2020). How relevant is dividend policy under low shareholder protection? Journal of International Financial Markets, Institutions and Money, 64. https://doi.org/10.1016/j.intfin.2015.01.006
Safitri, A. L. (2013). Pengaruh Earning Per Share, Price Earning Ratio, Return on Asset, Debt To Equity Ratio Dan Market Value Added Terhadap Harga Saham Dalam Kelompok Jakarta Islamic Index. Management Analysis Journal, 2(2), 1–8. https://doi.org/10.15294/maj.v2i2.2479
Santoso, W., & Utama, C. A. (2021). The Indirect Impact of Busy Directors on the Relationship of Family Structure and Cash Flow Sensitivity of Cash (Empirical Research in Indonesia’s Manufacturing Sector 2013-2017). Jurnal Manajemen Bisnis, 12(1), 111–114. https://doi.org/10.18196/mb.v12i1.9344
Saripudin, & Lutfi, H. (2017). Pengaruh Makro Ekonomi Terhadap Harga Saham Pada Perusahaan Sektor Perbankan di Bursa Efek Indonesia. Jurnal Bisnis Dan Komunikasi, 4(2), 149–157.
Sekaran, U., & Bougie, R. (2016). Research Methods for Business?: A Skill-Building Approach (Seventh Ed). John Wiley & Sons, Inc.
Sharif, I., Ali, A., & Jan, F. A. (2015). Effect of Dividend Policy on Stock Prices. Business & Management Studies: An International Journal, 3(1), 56–87. https://doi.org/10.15295/bmij.v3i1.101
Sudana, I. M. (2015). Teori dan Praktik Manajemen Keuangan Perusahaan (Edisi 2). Erlangga.
Sugiarto, A. (2011). Analisa Pengaruh BETA, SIZE Perusahaan, DER dan PBV Ratio Terhadap Return Saham. Jurnal Dinamika Akuntansi, 3(1).
Tyas, R. A., & Saputra, R. S. (2016). Analisis Pengaruh Profitabilitas Terhadap Harga Saham (Studi Kasus Perusahaan Telekomunikasi Yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2012–2014). Jurnal Online Insan Akuntan, 1(1), 77–91.
Wahyuningsih, T., Liestyana, Y., & Dewi, L. F. (2010). Analisis Persamaan Simultan Insider Ownership, Utang dan Kebijakan Deviden Beserta Faktor-Faktor yang mempengaruhinya. Jurnal Manajemen Bisnis, 1(1), 55–71.
Widayanti, P., & Haryanto, A. M. (2013). Analisis pengaruh faktor fundamental dan volume perdagangan terhadap return saham (Studi kasus pada perusahaan real estate and property yang terdaftar di BEI periode 2007-2010). Diponegoro Journal of Management, 238–248.
Widjanarko, H. (2011). Determinan Faktor Fundamental Terhadap Return Saham ( Studi pada Perusahaan yang Masuk ILQ 45 di Bursa. Jurnal Manajemen & Bisnis, 1(2), 214–229.
Zahidah, S. R., & Rostiani, R. (2021). Trusting Online Reviews Enhances Intention to Book Online: The Perks of Seeking Information? Jurnal Manajemen Bisnis, 12(2), 142–161. https://doi.org/10.18196/mb.v12i2.10831
Zimon, G. (2019). An assessment of the strategy of working capital management in Polish energy companies. International Journal of Energy Economics and Policy, 9(6), 552–556. https://doi.org/10.32479/ijeep.8406
Zimon, G. (2020). Financial liquidity management strategies in Polish energy companies. International Journal of Energy Economics and Policy, 10(3), 365–368. https://doi.org/10.32479/ijeep.9150
Zuliarni, S. (2012). Pengaruh Kinerja Keuangan Terhadap Harga Saham Pada Perusahaan Mining and Mining Service di Bursa Efek Indonesia (BEI). Jurnal Aplikasi Bisnis, 3(1), 36–48.
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2022-10-02
How to Cite
Abbas, D. S., Erviani Zulaecha, H. ., Rachmania, D. ., Zulman Hakim, M. ., & Aulia Rachmi, D. . (2022). Analysis of determinant factors in influencing stock return: Panel data analysis approach. Daengku: Journal of Humanities and Social Sciences Innovation, 2(5), 645–655. https://doi.org/10.35877/454RI.daengku1205
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