ANALISIS PENGARUH CURRENT RATIO, RETURN ON EQUITY DAN PRICE EARNING RATIO TERHADAP RETURN SAHAM MENGGUNAKAN METODE INTERVAL

BIMA ALKAUSAR, Prof. Dr Jogiyanto Hartono M.B.A., Ak., CMA., CA.

2018 | Tesis | S2 Manajemen

Indikator kondisi keuangan internal perusahaan sangat besar penagruhnya terhadap return saham. Pengaruh dari indikator tersebut dapat positif maupun negatif. Penelitian ini hendak menguji lebih lanjut mengenai pengaruh kinerja keuangan perusahaan seperti CR, ROE dan PER terhadap return saham dari saham perusahaan non keuangan LQ45 pada periode 2012-2016 dengan menggunakan metode interval. Pengambilan sampel dilakukan dengan menggunakan metode purposive sampling dari saham LQ45 sebanyak 23 emiten. Hasil temuan menunjukan bahwa data telah memenuhi asumsi klasik seperti terdistribusi normal, tidak terdapat autokolerasi, tidak terdapat multikolinieritas dan bebas heteroskedastisitas. Hasil penelitian ini adalah bahwa pada interval 3 bulanan current ratio dan price earning ratio tidak berpengaruh terhadap return saham dan return on equity berpengaruh terhadap return saham, sedangkan pada interval 6 bulan current ratio dan price earning ratio berpengaruh terhadap return saham, kemudian pada interval 12 bulanan hanya price earning ratio yang berpengaruh terhadap return saham sedangkan current ratio dan return on equity tidak berpengaruh.

Indicators like firm financial performance had large influence toward stock return. The effect of those indicators could be positive or negative. This research intend to further examine whether firm financial performance indicators such as CR, ROE and PER to stock return in stock of non financial firm of LQ45 during period 2012-2016 using interval method. The sample were obtained with purposive sampling from stock of LQ45. To this end, this research employed an empirical study by using 23 issuers. The hypothesis test result showed that the data had fulfilled classical assumption such normally distributed, legible frim autocorrelation problem, no multicolinearity problem and free from heteroscedasticity problem. The research showed that at 3 monthly interval current ratio and price earning ratio do not have an effect on stock return and return on equity have an effect on stock return, while at 6 monthly interval current ratio andprice earning ratio influenced to stock return, then at 12 monthly interval only orice earning ratio which influence to stock return while current ratio and return on equity have no effect.

Kata Kunci : Retrun Saham, Current Ratio, Retrun on Equity dan Price Earning Ratio/Stock Return, Current Ratio, Return on Equity and Price Earning Ratio