THE EFFECT OF FUNDAMENTAL FACTORS ON STOCK RETURN OF INFRASTRUCTURE. UTILITY, TRANSPORTATION, AND BUILDING CONSTRUCTION SECTOR LISTED IN INDONESIA STOCK EXCHANGE

RIFQI KASYIDI, Prof. Dr. Eduardus Tandelilin, M.B.A.

2018 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk mengetahui pengaruh faktor fundamental, yaitu rasio likuiditas yang diwakili oleh current ratio (CR), rasio manajemen aset yang diwakili oleh total assets turnover (TATO), rasio manajemen utang yang diwakili oleh debt to equity ratio (DER), rasio profitabilitas yang diwakili oleh return on equity (ROE) dan rasio nilai pasar yang diwakili oleh price to earning ratio (PER) pada return saham. Rasio representatif dipilih menggunakan metode analisis faktor. Desain penelitian adalah studi kausalitas. Sampel penelitian terdiri dari perusahaan-perusahaan infrastruktur, utilitas, transportasi, dan konstruksi bangunan yang terdaftar di Bursa Efek Indonesia pada periode 2012 hingga 2016. Sampel dipilih dengan menggunakan teknik purposive sampling dan sampel terdiri dari 30 perusahaan. Data penelitian dianalisis menggunakan metode regresi data panel pada tingkat signifikansi 5% dan 10%. Dalam regresi data panel, ada satu dari tiga efek yang harus dipilih untuk menjelaskan hasil studi yang antara common, random, dan fixed effect model. Berdasarkan analisis regresi data panel, efek yang dipilih untuk menggambarkan hasilnya adalah common effect. Mengenai hasilnya, rasio likuiditas yang diwakili oleh current ratio (CR) tidak berpengaruh pada return saham dengan koefisien regresi -0,042 dan nilai signifikansi 0,102 yang lebih tinggi dari 5%. Rasio manajemen aset yang diwakili oleh total assets turnover (TATO) memiliki pengaruh positif terhadap return saham dengan koefisien regresi 0,168 dan nilai signifikansi 0,084 yang lebih rendah dari 10%. Rasio manajemen utang yang diwakili oleh debt to equity ratio (DER) tidak berpengaruh terhadap return saham dengan koefisien regresi 0,032 dan nilai signifikansi 0,191 yang lebih dari 5%. Rasio profitabilitas yang direpresentasikan oleh return on equity (ROE) memiliki pengaruh positif terhadap return saham dengan koefisien regresi 0,004 dan nilai signifikansi 0,003 yang lebih rendah dari 5%. Rasio nilai pasar yang diwakili oleh price to earning ratio (PER) memiliki pengaruh positif terhadap return saham dengan koefisien regresi 0,002 dan nilai signifikansi 0,001 yang lebih rendah dari 5%. Kemampuan variabel independen untuk menjelaskan varians dari variabel dependen adalah 21,509% dan sisanya 78,491% dijelaskan oleh variabel lain di luar model.

This study is aimed to find out the effect of fundamental factors, namely liquidity ratio that is represented by current ratio (CR), assets management ratio that is represented by total assets turnover (TATO), debt management ratio that is represented by debt to equity ratio (DER), profitability ratio that is represented by return on equity (ROE) and market value ratio that is represented by price to earnings ratio (PER) on the stock return. The representative ratios are chosen using factor analysis method. The research design is a causality study. The research sample is comprised of infrastructure, utility, transportation, and building construction sector companies that are listed in Indonesia Stock Exchange in the period of 2012 until 2016. The sample was selected by means of the purposive sampling technique and the sample is consisted of 30 companies. The research data were analyzed using panel data regression method at a significance level of 5% and 10%. In panel data regression, there is one out of three effects that have to be chosen to explain the study result which are among common, random, and fixed effect model. Based on the panel data regression analysis, the chosen effect to describe the result is common effect. Regarding the result, liquidity ratio that is represented by current ratio (CR) has no effect on stock return with a regression coefficient of -0,042 and a significance value of 0,102 which is higher than 5%. Assets management ratio that is represented by total assets turnover (TATO) has a positive effect on stock return with a regression coefficient of 0.168 and a significance value of 0.084 which is lower than 10%. Debt management ratio that is represented by debt to equity ratio (DER) has no effect on stock return with a regression coefficient of 0,032 and a significance value of 0,191 which is more than 5%. Profitability ratio that is represented by return on equity (ROE) has a positive effect on stock return with a regression coefficient of 0,004 and a significance value of 0,003 which is lower than 5%. Market value ratio that is represented by price to earnings ratio (PER) has a positive effect on stock return with a regression coefficient of 0,002 and a significance value of 0,001 which is lower than 5%. The capability of the independent variables to explain the variance of the dependent variable is 21,509% and the remaining 78,491% is explained by other variables outside the model.

Kata Kunci : fundamental factors, stock return, stock, financial ratio, current ratio, total assets turnover, debt to equity ratio, return on equity, price to earnings ratio, activity ratio, liquidity ratio, leverage ratio, market ratio, profitability ratio