¹Aqillah Alhafizh,²Nadia Zulfa Eka Wijaya,³Farah Margaretha Leon

^1,2,3Faculty of Economics and Business, Universitas Trisakti, Indonesia

DOI : https://doi.org/10.47191/ijsshr/v6-i5-85

Google Scholar Download Pdf
ABSTRACT

The purpose of this study is to look at the factors that affect stock market returns so that they can provide useful profits to maximize profits, because it is very important for investors to maintain confidence and forecast price movements. Return on shares is the goal of investors in investing in the stock market. Stock returns are divided into two forms, namely dividends and price differences. Investors usually do analysis with various financial variables before buying stocks. The independent variables in this study are dividend yield, EPS, PER, market capitalization, and trading volume. While the dependent variable is stock return. This research was conducted by collecting data from 16 companies included in the LQ45 index over a period of 7 years (2015-2021) and using the regression model data panel in this test. Dividend yields have a significant negative effect on stock returns. The price-to-earnings ratio has a positive effect on stock returns. Earnings per share, trading volume and market capitalization do not significantly affect stock returns. The implication of the research that has been conducted is to provide direction for financial managers to be able to formulate policies that can maximize shareholder welfare by considering variables such as dividend yield and PER. For investors, this research is expected to provide information for investors related to the formulation of strategies to minimize their risk in investing in stocks.

KEYWORDS:

dividend yield, EPS, PER, trading value, market capitalization, stock return

REFERENCES

1) Aryanti, R. P. (2021). Pengaruh Dividend Yield, Retention Ratio, Eps, Dan Roe Terhadap Harga Saham. Jurnal Ilmiah Edunomika, 5(1), 235–245. https://doi.org/10.29040/jie.v5i1.2117

2) Asrini, E. D. (2020). Pengaruh earning per share dan price earning ratio terhadap return saham dengan kebijakan dividen sebagai variabel intervening. Entrepreneurship Bisnis Manajemen Akuntansi (E-BISMA), 1(2), 64–78. https://doi.org/10.37631/e-bisma.v1i2.196

3) Banerjee, A. (2019). Predicting Stock Return of UAE Listed Companies Using Financial Ratios. Accounting and Finance Research, 8(2), 214. https://doi.org/10.5430/afr.v8n2p214

4) Effendi, E. S., & Hermanto, S. B. (2017). Pengaruh Rasio Keuangan Dan Volume Perdagangan Terhadap Return Saham. Jurnal Ilmu Dan Riset Akuntansi, 6(11), 2–23. http://jurnalmahasiswa.stiesia.ac.id/index.php/jira/article/view/1878

5) Indriastuti, A., & Nafiah, Z. (2017). Pengaruh Volume Perdagangan, Kurs Dan Resiko Pasar Terhadap Return Saham. Jurnal STIE SEMARANG, 9(1), 72–80. https://jurnal3.stiesemarang.ac.id/index.php/jurnal/article/view/31

6) Januar, F., Prastyo, T. J., & Syaipudin, U. (2022). Effect of Financial Performance on Stock Return During Covid-19. Jurnal Akuntansi Dan Pajak, 23(1), 1–7. http://jurnal.stie-aas.ac.id/index.php/jap

7) Jefri, J., Siregar, E. S., & Kurnianti, D. (2020). Pengaruh ROE, BVPS, dan Volume Perdagangan Saham Terhadap Return Saham. Jurnal PROFIT Kajian Pendidikan Ekonomi Dan Ilmu Ekonomi, 7(2), 101–112. https://doi.org/10.36706/jp.v7i2.11875

8) Kurniawan, A. (2021). Analysis of The Effect of Return on Asset, Debt to Equity Ratio, and Total Asset Turnover on Share Retrun. Journal OF INDUSTRIAL ENGINEERING & MANAGEMENT RESEARCH, 2(1), 10282–10292. https://doi.org/10.7777/jiemar

9) Laulita, N. B., & Yanni, Y. (2022). Pengaruh Return On Asset (ROA), Return On Equity (ROE), Debt To Equity Ratio (DER), Earning Per Share (EPS) dan Net Profit Margin (NPM) terhadap Return Saham pada Perusahaan Yang Terdaftar Di Indeks LQ45. YUME : Journal of Management, 5(1), 232–244. https://doi.org/10.37531/yume.vxix.467 10) Lestari, I. S. D., & Suryantini, N. P. S. (2019). Pengaruh Cr, Der, Roa, Dan Per Terhadap Harga Saham Pada Perusahaan Farmasi Di Bei. E-Jurnal Manajemen Universitas Udayana, 8(3), 1844. https://doi.org/10.24843/ejmunud.2019.v08.i03.p24

11) Margaretha Leon, F., & Putri. (2019). Interest Rate Dan Political Connection Pada Harga Saham. JRB-Jurnal Riset Bisnis, 2(1), 1–12. https://doi.org/10.35592/jrb.v2i1.250

12) Marito, B. C., & Sjarif, A. D. (2020). The Impact of Current Ratio , Debt to Equity Ratio , Return on Assets , Dividend Yield , and Market Capitalization on Stock Return ( Evidence from Listed Manufacturing Companies in Indonesia Stock Exchange ). Scientific Journal of PPI-UMK, 7(1), 10–16. https://doi.org/10.27512/sjppi-ukm/ses/a11052020

13) Maysie, K. (2021). Pengaruh Frekuensi Perdagangan, Volume Perdagangan, & Kapitalisasi Pasar Terhadap Return Saham Pada Sektor Pariwisata Yang Terdaftar Di BEI. Jurnal Manajemen Sains Dan Organisasi, 2(1), 73–84. https://doi.org/10.52300/jmso.v2i1.3055

14) Niawaradila, B., Wiyono, G., & Maulida, A. (2021). Pengaruh Frekuensi Perdagangan, Volume Perdagangan, Dan Kapitalisasi Pasar Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bei Periode 2016-2019. Ecobisma (Jurnal Ekonomi, Bisnis Dan Manajemen), 8(1), 122–138. https://doi.org/10.36987/ecobi.v8i1.2078

15) Nyoman, N., Jayanti, S., Devi, P., Gede, L., & Artini, S. (2019). Pengaryuh ROE , DER , PER , dan Nilai Tukar Terhadap Return Saham. 8(7), 4183–4212. https://doi.org/https://doi.org/10.24843/EJMUNUD.2019.v08.i07.p07

16) Puji Estuti, E., & Hendrayanti, S. (2020). Dampak Volume Perdagangan Saham, Profitabilitas Dan Dividen Terhadap Volatilitas Harga Saham. Proceeding Seminar Nasional & Call For Papers, November 2020, 128–136. https://prosiding.stie-aas.ac.id/index.php/prosenas/article/view/53

17) Putra, F., & Kindangen, P. (2016). Pengaruh return on asset (ROA), Net profit margin (NPM), dan earning per share (EPS) terhadap return saham perusahaan makanan dan minuman yang terdaftar di Bursa Efek Indonesia (Periode 2010- 2014). Jurnal EMBA, 4(4), 235–245. https://ejournal.unsrat.ac.id/index.php/emba/article/view/13717

18) Putri, I. A., & Prasetyoningrum, A. A. (2021). Analisis Pengaruh Semangat Kerja , Promosi Jabatan dan Kompetensi Terhadap Kinerja ASN di Sekretariat Daerah Kabupaten Simeulue. Jurnal Ilmiah Mahasiswa Manajemen, Bisnis Dan Akuntansi, 3(6), 1247–1260. http://journal.stieputrabangsa.ac.id/index.php/jimmba/index

19) Ruhani, F., & Mat Junoh, M. Z. (2022). Are stock market returns affected by financial market variables? Evidence from Bursa Malaysia by panel generalized method of moments. International Journal of Ethics and Systems. https://doi.org/10.1108/IJOES-11-2021-0201

20) Saraswati, A., Halim, A., & Sari, A. R. (2020). Pengaruh Earning Per Share, Debt To Equity Ratio, Return on Asset, Price To Book Value, Dan Price Earning Ratio Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bei Periode Tahun 2014-2015. Jurnal Riset Mahasiswa Akuntansi, 7(1), 1–14. https://doi.org/10.21067/jrma.v7i1.4234

21) Sari Permata, I., & Alkaf, F. T. (2020). Analysis of Market Capitalization and Fundamental Factors on Firm Value. Journal of Accounting and Finance Management, 1(1), 59–71. https://doi.org/10.38035/jafm.v1i1.12

22) Silalahi, A. D., & Hrp, A. P. (2020). Pengaruh Kapitalisasi Pasar Dan Suku Bunga Terhadap Harga Saham Di Bursa Efek Indonesia. Prosiding Seminar Nasional ..., 29–38. https://e-prosiding.umnaw.ac.id/index.php/penelitian/article/view/520

23) Usman, B., Setyo Lestari, H., & Sofyan, S. (2021). The Effect of Dividend Policy on Share Price Manufacturing Companies in Indonesia. Advances in Economics, Business and Management Research, Atlantis Press, 169. https://doi.org/10.9790/5933-0140611

24) Wahyudi, A. S. R. I. (2020). Analisis Pengaruh Kapitalisasi Pasar Dan Rasio Keuangan. Analisis Pengaruh Kapitalisasi Pasar Dan Rasio Keuangan Terhadap Return Saham, 12(1), 9–16. http://jurnaltsm.id/index.php/MB

VOlUME 06 ISSUE 05 MAY 2023