Pengaruh kinerja keuangan terhadap return saham perusahaan Big-Cap, Mid-Cap dan Small-Cap di Bursa Efek Jakarta

WIRAKUSUMA, Made Gede, Prof.Dr. Zaki Baridwan, MSc

2003 | Tesis | S2 Akuntansi

Penelitian ini bertujuan untuk menguji pengaruh kinerja keuangan yang diproksikan ke dalam rasio -rasio keuangan internal perusahaan yaitu quick ratio, leverage ratio, profitability ratio, productivity ratio, dan rasio-rasio berdasarkan penilaian pasar yaitu price earnings ratio, price to book value ratio dan devidend pay-out ratio terhadap return saham perusahaan yang terdaftar di Bursa Efek Jakarta. Pengujian yang sama secara terpisah dilakukan berdasarkan nilai kapitalisasi pasar kedalam kelompok perusahaan berkapitalisasi besar, sedang dan kecil, yang diharapkan menunjukkan adanya perbedaan pengaruh dari kinerja keuangan terhadap return saham dari setiap kelompok kapitalisasi. Diujikan pula perbedaan tingkat return saham dari setiap kelompok kapitalisasi. Pengumpulan data dilakukan bersumber dari Indonesian Capital Market Directory 1999 hingga 2002 dan didukung laporan keuangan tahunan emiten yang diperoleh dari pusat data BEJ. Untuk data return saham diperoleh dari Indonesian Securities Market Data-base MM UGM. Pemilihan sampel dengan metode purposive sampling menetapkan kriteria perusahaan yang diamati tidak bergerak dalam bidang industri perbankan, sekuritas, asuransi dan real estate, serta yang membagikan deviden pada setiap tahun amatan 1998-2001. Jumlah perusahaan amatan yang diperoleh adalah 101 perusahaan dengan komposisi perusahaan berkapitalisasi besar 20, sedang 30 dan kecil 51 perusahaan. Model pengujian yang dilakukan adalah regresi berganda, uji beda koefisien regresi dan uji beda rata-rata. Hasil analisis yang diperoleh menunjukkan bahwa kinerja keuangan berpengaruh signifikan terhadap return saham. Pengaruh kinerja yang diproksikan menjadi rasio-rasio keuangan secara signifikan berbeda pada setiap kelompok perusahaan yang kapitalisasi pasarnya berbeda. Tingkat return saham secara signifikan tidak berbeda untuk setiap kelompok perusahaan yang nilai kapitalisasinya berbeda.

There are three main aims of this research. First, to prove that the stocks return are significantly affected by financial performance which are proxies of financial ratios based on financial statement announced and published by the companies listed at Jakarta Stock Exchanges. The financial ratios used in this research consist of liquidity ratio (quick ratio -QR), leverage ratio (debt to equity-DER), profitability ratio (return on equity-ROE), productivity ratio (total assets turnover-TAT) and some of marketable ratios such as price earnings ratio (PER), price to book value ratio (PBV) and dividend pay-out ratio (DPR). Second, according to the results that showed by the first analyze, the researcher had a market capitalization categorize that called big-cap, mid-cap and small cap in order to investigate that the effects of performance financial to the stocks return are difference depend on each capitalization categorize which is analyzed separately. The final aim of this research is to prove that the stocks return is difference in each market capitalization group. The data was collected with purposive sampling method. The criterions that applied are; first, listed on BEJ especially for companies with out of banking, credits agencies, insurance, securities and real estates business lines, since 1998-2001. Second, companies that paid cash dividend for each of the observed years. The amount of sample data was 101 companies that collected according to Indonesian Capital Market Directory and Indonesian Securities Market Database. The sample composition that based on market capitalization clustering which is 20 big-cap, 30 mid-cap, 51 small-cap. In order to make the analysis model generates unbiased results, researcher use any tests of data, such as normality test, multicollinearity test, autocorrelation test, heteroscedasticity test. Some data transformation has to be undertaken in mitigating data before entering into further analysis models. The first multiple regression analysis for the whole data showed that there is significant effect on stock return influenced by financial performance which is proxies on financial ratios. Further analysis also generates the difference effects significantly between financial ratios as financial performance and the stocks return in different market capitalization categories. Finally, t-test analysis showed that there is no different level of stock return among three categories of market capitalization. This phenomena indicates the importance of financial statement information as a good source to make any calculation and estimation in order to get the best securities investment by investors or potential investors.

Kata Kunci : Return Saham, Kinerja Keuangan, Financial Performance, Stocks return and Market Capitalization.