Effects Of Fundamental Factors and Trading Volume On Stock Return: Empirical Evidence in Basic Industry and Chemicals Sector in Indonesian Stock Exchange
SARASWATI, LAKSITA DEVI (Adv.: Mamduh M. Hanafi, Dr., M.B.A.), Mamduh M. Hanafi, Dr., M.B.A.
Tujuan dari penelitian ini adalah untuk menganalisa efek dari faktor fundamental dan volume perdagangan terhadap return saham sektor industry dasar dan kimia yang terdaftar di Bursa Efek Indonesia. Periode penelitian ini dari tahun 2005 sampai 2010. Penelitian ini meneliti tentang efek Return on Equity (ROE), Price Earnings Ratio (PER), Earnings per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), dan Volume Perdagangan terhadap return saham industry dasar dan kimia yang terdaftar di Bursa Saham Indonesia baik secara parsial maupun bersama-sama. Penelitian ini menggunaka purposive sampling untuk metode pemilihan sampel dan regressi berganda untuk metode penelitiannya.
Hasilnya menunjukkan bahwa hanya Price to Book Value (PBV) dan Volume Perdagangan signifikan postif terhadap return saham, Earnings per Share (EPS) tidak mempunyai efek signifikan, sedangkan Return on Equity (ROE), Price Earnings Ratio (PER), dan Debt to Equity Ratio (DER) signifikan negatif terhadap return saham. Secara bersama-sama Return on Equity (ROE), Price Earnings Ratio (PER), Earnings per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), dan Volume Perdagangan mempunyai efek terhadap return saham sektor industri dasar dan kimia yang terdaftar di Bursa Saham Indonesia.
The purpose of this research is to analyze the effect of fundamental factors and trading volume on stock return of basic industry and chemicals sector listed in Indonesian Stock Exchange. The period of this research takes from year 2005 to 2010. This research investigates both partial effect and simultaneous effect of Return on Equity (ROE), Price Earnings Ratio (PER), Earnings per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), and Trading Volume on stock return of basic industry and chemicals sector listed in Indonesian Stock Exchange. The study uses purposive sampling as the sampling method and multiple regressions as the research method.
The result shows that only Price to Book Value (PBV) and Trading Volume that has positive significant on stock return, Earnings per Share (EPS) has no significant effect, and Return on Equity (ROE), Price Earnings Ratio (PER), and Debt to Equity Ratio (DER) has significantly negative on stock return. Return on Equity (ROE), Price Earnings Ratio (PER), Earnings per Share (EPS), Price to Book Value (PBV), Debt to Equity Ratio (DER), and Trading Volume simultaneously effect on stock return of basic industry and chemicals sector listed in Indonesian Stock Exchange
Kata Kunci : Fundamental factors, ROE, PER, EPS, PBV, DER, Trading Volume, Stock Return.
