Fundamental Factor Analysis on Stock Returns Based on the Panel Data of LQ'45 Index
Abstract
This study aims to investigate the influence of fundamental factors on stock returns on the companies listed in the LQ’45 index in the Indonesia Stock Exchange. This research uses explanatory research design. The population consists of 45 companies listed in the LQ'45 index. The purposive sampling technique is used and collected a total of 23 companies as the sample. The number of samples was 23 companies because these companies consistently formed the LQ'45 index for the 2014-2018 periods. Those companies are fulfilling the criteria which are continually included in the LQ’45 index throughout the analysis period. Thus, the data panels used in this study were as much as 115 observations. Fundamental factors proxies by TATO, MBV, CR, DER, NPM, and EPS. The multiple linear regression analysis is used and the results showed that TATO has a significant positive effect on stock returns, MBV has a significant negative effect on stock returns, while CR, DER, NPM, and EPS have no significant effects on the stock return of LQ’45 index-listed companies.
Keywords
fundamental, stock returns, LQ-45, Indonesian stock exchange
Full Text:
PDFReferences
Afriyadi, A.D. 2015. IHSG Sulit Tembus Level 5.000 pada Akhir 2015. Media Online. Diperoleh dari https://www.liputan6.com/bisnis/read/2300522/ihsg-sulit-tembus-level-5000-pada-akhir-2015 [25 Juni 2019]
Agustia, Y.P. dan Suryani, E. 2018. Pengaruh Ukuran Perusahaan, Umur Perusahaan, Leverage, dan Profitabilitas terhadap Manajemen Laba pada Perusahaan Pertambangan yang Terdaftar di Bursa Indonesia Periode 2014-2016. Jurnal ASET (Akuntansi Riset). 10(1): 63-74.
Allen, C.C., Shen, J., and Rhee, S. G. 2017. Fundamental analysis and stock returns in international equity markets https://acfr.aut.ac.nz/__data/assets/pdf_file/0006/105459/89145-20170803-Fundamental-analysis-and-stock-returns-in-international-equity-markets.pdf. (diakses tgl. 21 Pebruari 2020)
Arista, D. dan Astohar. 2012. Analisis Faktor-faktor yang Mempengaruhi Return Saham pada Perusahaan Manufaktur yang Go Public di BEI Periode tahun 2005-2009. Jurnal Ilmu Manajemen dan Akuntansi Terapan (JIMAT). 3(1): 1-15.
Bintara, R., and Tanjung, P.R.S. 2019. Analysis of Fundamental Factors on Stock Return. International Journal of Academic Research in Accounting, Finance and Management Sciences. Vol. 9, No.2, April 2019, pp. 49–64. http://dx.doi.org/10.6007/IJARAFMS/v9-i2/6029 (DOI: 10.6007/IJARAFMS/v9-i2/6029)
Cnbcindonesia. 2018. Kinerja Indeks LQ45 Tahun 2018 Lebih Parah Dibandingkan IHSG. Media Online. Diperoleh dari https://www.cnbcindonesia.com/market/20181230184957-17-48481/kinerja-indeks-lq45-tahun-2018-lebih-parah-dibandingkan-ihsg. [21 Juni 2019].
Dinov, I; Christou, N; Sanchez, J. 2008. "Central Limit Theorem: New SOCR Applet and Demonstration Activity". Journal of Statistics Education. ASA. 16 (2). doi:10.1080/10691898.2008.11889560
Fahmi, I. 2015. Pengantar Teori Portofolio dan Analisis Investasi. Bandung: Penerbit Alfabeta
Fredrick, O, Muiva, B.N. 2015. Fundamental Analysis of Stock Returns of Non-financial Firms Listed at the Nairobi Securities ExchangeUniversal. Journal of Accounting and Finance 3(3): 113-116. DOI: 10.13189/ujaf.2015.030302
Gunadi, G.G danKesuma, K. W.. 2015. Pengaruh ROA, DER, EPS terhadap Return Saham Perusahaan Food and Beverage BEI. E-Jurnal Manajemen Unud. 4(6): 1636-1647.
Houtman. 2018. Meikarta dan Sejumlah Masalah di Tubuhnya. Media Online. Diperoleh dari https://www.cnbcindonesia.com/market/20181016150703-17-37608/meikarta-dan-sejumlah-masalah-di-tubuhnya [25 Juni 2019]
Jogiyanto. 2017. Teori Portofolio dan Analisis Investasi. Edisi Kesebelas. Yogyakarta: BPFE.
Khotimah, K., and Murtaqi, I. 2015. The Fundamental Analysis Of Indonesian Stock Return (Case Study: Listed Public Companies In Subâ€Sector Food And Beverage For The Period 2003â€2012). Journal Of Business And Management. 4(1): 95-104
Kontan.co.id. 2014. Kinerja Saham LQ-45 Terdorong Dana Asing. Dipublikasikan. Media Online. Diperoleh dari https://investasi.kontan.co.id/news/kinerja-saham-lq-45-terdorong-dana-asing [15 Maret 2019].
Margaretha, F. 2014. Dasar-dasar Manajemen Keuangan. Jakarta: Dian Rakyat.
Moeljadi. 2006. Manajemen Keuangan. Pendekatan Kuantitatif dan Kualitatif Jilid 1. Malang: Penerbit Banyumedia Publishing.
Muhammad, S., and Ali, G. 2018. The Relationship Between Fundamental Analysis and Stock Returns Based on the Panel Data Analysis; Evidence from Karachi Stock exchange (KSE. Research Journal of Finance and Accounting. 9(3): 84-96
Ozturk, H., dan Karabulut, T. 2018. The Relationship Between Earning-to-Price, Current Ratio, Profit Margin and Return. Accounting and Finance Research. 7(1): 109-115.
Prihantini, R. 2009. Analisis Pengaruh Inflasi, Nilai Tukar, ROA, DER, dan CR terhadap Return Saham pada Industri Real Estate and Property yang Terdaftar di Bursa Efek Indonesia Periode2003-2006. Tidak Dipublikasikan. Tesis. Semarang: Program Pasca Sarjana Universitas Diponegoro.
Saham OK. Pengertian Return Saham. Dipublikasikan. Media Online. Diperoleh dari https://www.sahamok.com/return-saham/ [27 Februari 2019].
Saniman. 2007. Analisis Pengaruh Rasio Aktivitas, Rasi Profitabilitas, dan Rasio Pasar, terhadap Return Saham Syariah dalam Kelompok Jakarta Islamic Index (JII) Tahun 2003-2005. Tidak Dipublikasikan. Tesis. Semarang: Program Pascasarjana Universitas Diponegoro.
Siswoyo. S. 2013. Analisis Fundamental dan Teknikal untuk Profit Lebih Maksimal. Jakarta: Penerbit PT Gramedia Pustaka Utama.
Sujarweni, W. 2014. Metodologi Penelitian. Yogyakarta: PT Pustaka Baru
Susanty, D. Dan Batian, E.. 2018. Pengaruh Kinerja Keuangan dan Ukuran Perusahaan terhadap Return Saham Perusahaan Sektor Pertambangan di BEI Periode 2010-2016. Jurnal Riset Akuntansi Tirtayasa. 3(1): 20-44.
Suselo,D. Djazuli, A. dan Khusniyah, N. 2015. Pengaruh Variabel Fundamental dan Makro Ekonomi terhadap Harga Saham pada Perusahaan yang Masuk dalam Indeks LQ45. Jurnal Aplikasi Manajemen. 13(1): 104-116.
Susilowati, Y. 2011. Reaksi Signal Rasio Profitabilitas dan Rasio Solvabilitas Terhadap Return Saham Perusahaan. Jurnal Dinamika Keuangan dan Perbankan. 3(1): 17-37.
Venkates, C.K., Tyagi, M., and Ganesh, L. 2012. Fundamental analysis and stock returns: An Indian evidence. Global Advanced Research Journal of Economics, Accounting and Finance. 1(2): 33-39
William, F. Gordon, J. dan Jeffery, V. 1999, Investasi. Jilid 2 Edisi Revisi. Jakarta: Prenhallindo.
DOI: http://dx.doi.org/10.26487/hebr.v3i3.2195
Refbacks
- There are currently no refbacks.
Copyright (c) 2020 Sumani Sumani
This work is licensed under a Creative Commons Attribution 4.0 International License.
______________________________________________________________________
Hasanuddin Economics and Business Review (ISSN Print: 2549-3221 | ISSN Online: 2549-323X ) is licensed under a Creative Commons Attribution 4.0 International License. Preserved in LOCKSS, based at Stanford University Libraries, United Kingdom, through PKP Private LOCKSS Network program.
Indexing and Abstracting:
