STOCK RETURN ANALYSIS AND IMPLICATIONS IN COMPANY VALUE (PLASTIC AND PACKAGING COMPANIES LISTED IN IDX)
Keywords:Company Value, Stock Return, Internal Influence, External Influence, Financial Ratio
This study aims to analyze fundamental factors and technical factors that influence stock returns and their implications for company value in Indonesia Stock Exchange, sub sector plastic and packaging. Fundamental factors of financial ratios are return on assets (ROA), current ratio (CR), debt to equity ratio (DER), and price earnings ratio (PER) while the technical factors are the rupiah exchange rate using changes in value exchange rupiah (RP) against United States dollar (USD). This study used annual data for the observation period from 2010 to 2017. The sampling method used was Purposive Sampling, as the result 8 companies (64 samples) met the criteria and processed using E-views 9 program. The analytical method used in this study is panel data and multiple linear regression as a method of analysis and measurement of direct effect and indirect effect analysis. The results showed that ROA, CR, DER, and PER are having positive and insignificant influence on stock returns however the exchange rate has negative and significant influence on stock returns. ROA, DER, and PER are having positive and insignificant influence on company value however CR and exchange rates have a negative and insignificant effect on company value. Stock returns has positive and significant influence on company value. The examination of indirect effects showed stock return could be considered as an intervening variable to measure the influence of fundamental factors and technical factors to company value.
Acheampong, Prince., Evans Agalega, dan Albert KwabenaShibu. (2014). “The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector”. International Journal of Financial Research. ISSN 1923-4023, E-ISSN 1923-4031. Vol. 5, No. 1; 2014. Page:125-134.
Al-Qudah, Anasdan Mahmoud Laham. (2013). “The Effect of Financial Leverage & SystematicRisk on Stock Returns in the Amman Stock Exchange (Analytical Study – Industrial Sector)”. Research Journal of Finance and Accounting. Issn 2222-1697 (Paper) Issn 2222-2847 (Online). Vol.4, No.6: 106 – 145.
Al Qaisi, Fouzan; Tahtamouni, Asemdan Al-Qudah, Mustafa. (2016). Factors Affecting the Market Stock Price – The Case of the Insurance Companies Listed in Amman Stock Exchange. International Journal of Business and Social Science, Vol.7, No.10, October 2016
Anwaar, Marryam. (2016). “Impact of Firms’ Performance on Stock Returns (Evidence from Listed Companies Of Ftse-100 Index London, Uk)”. Global Journal of Management and Business Research: Daccounting And Auditing. Online ISSN: 2249-4588 & Print ISSN: 0975-5853. Volume 16 Issue 1 Version 1.0 Year 2016. Page: 31-39
Arifannisa, Winna and Nugraha, ArieApriadi. (2017). Effect of Fundamental Factors and Technical Factors on Stock Prices. ISSN 2252-3936, 2017
Asif, Amara dan Aziz Bilal. (2016).” Impact of Capital Structure on Firm Value CreationEvidence from the Cement Sector of Pakistan”. International Journal of Research in Finance and Marketing: Volume 6, Issue 6. ISSN: 2231-5985. pp: 231-245
Asri, I GustiAyu Amanda Yulita and Suwarta, I Ketut. (2014). Effect of Fundamental Factors and Macroeconomics on Returns of Consumer Good Company Shares. Accounting E-Journal of Udayana University, ISSN 2302-8556, 2014
Astuty, Pudji. (2017). The Influence of Fundamental Factors and Systematic Risk to Stock Prices on Companies Listed in the Indonesian Stock Exchange. European Research Studies Journal, Volume XX, Issue 4A, 2017 DOI: https://doi.org/10.35808/ersj/830
Ayako, Aloys and Fidelis Wawalwa. (2015). “Determinants of Firm Value in Kenya: Case of Commercial Banks Listed at the Nairobi Securities Exchange”. Applied Finance and Accounting; Vol. 1, No. 2; August 2015 DOI: https://doi.org/10.11114/afa.v1i2.934
Ayudya, Resi; Suwandari, Anik dan Hartadi, Rudi. (2017). The Impacts of Fundamental and Macroeconomics Factors on the Stock Price of Oil Palm Plantation Companies in Indonesia Stock Exchange. ISSN 2087-3735. Jakarta DOI: https://doi.org/10.14414/jebav.v20i2.847
BalaSani AR and Hassan A. (2018). Exchange Rate and Stock Market Interactions: Evidence from Nigeria. Arabian Journal of Business and Management Review Volume 8.
Barakat, Mahmoud Ramadan, Elgazzar, Sara H. & Hanafy, Khaled M. (2015). Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance; Vol. 8, No. 1; 2016: 195-207 DOI: https://doi.org/10.5539/ijef.v8n1p195
CK, Venkates; MadhuTyagi and Ganesh L. (2012). Fundamental Analysis and Stock Returns: An Indian Evidence. Global Advanced Research Journal of Economics, Accounting and Finance. Vol 1(2), December 2012. pp: 33-39
Das, NiladridanPattanayak, J.K. (2009). Analysis of The Fundamental Factors Affecting The Market Price of Shares Constituting The Indian Index: A Study of SENSEX. Internasional Journal Accounting and Finance, Vol.1, No.3, 2009 DOI: https://doi.org/10.1504/IJAF.2009.026626
Devianasari, Ni Luh. 2015. Effect of Price Earning Ratio, Debt To Equity Ratio, and Payout Ratio Dividends on Company Values in Manufacturing Companies Listed on the Indonesia Stock Exchange. Management Journal of Unud 4 (11), pp: 3646 - 3674
Emamgholipour, Milad et al. 2013. “The Effects of Performance Evaluation Market Ratios on The Stock Return: Evidence from The Tehran Stock Exchange”. International Research Journal of Applied and Basic Science, Vol. 7, No. 3, pp: 72-84.
Fabozzi, Frank.Jdan Modigliani, Franco. (1992). Capital Markets:Institutions and Instruments. Prentice Hall, 1992
Fahmi, Irham. (2011). Analysis of financial statements. Alfabeta. Bandung
___________. (2014). Financial and Capital Market Management. MitraWacana Media. Jakarta
Ghozali, Imam and Ratmono, Dwi. (2013). Multivariate Analysis and Econometrics: Theory, Concepts, and Applications with Eviews 8. ISBN, Diponegoro University Publisher. Semarang
Haque, Samina and MurtazaFaruquee. (2013). Impact of Fundamental Factors on Stock Price: A Case Based Approach on Pharmaceutical Companies Listed with Dhaka Stock Exchange. International Journal of Business and Management Invention. Vol 2 No 9, September 2013. ISSN: 2319-8028. pp: 34-41
Hery. (2016). Financial Report Analysis: Integrated and Comprehensive Edition. PT. Gramedia. Jakarta
Ivan. (2016). Effect Analysis of Fundamental Factors on Stock Prices (Empirical Study on Manufacturing Companies Listed on the Indonesia Stock Exchange for the 2012-2015 Period). Estuary Journal of Economics and Business, ISSN 2579-6224, Vol.2, No.1, April 2018.
Jogiyanto. (2008). Portfolio Theory and Investment Analysis. Fifth edition. BPFE. Yogyakarta
Kusuma, JaluTeja. (2016). Analysis of the Effect of Internal Factors and External Factors of the Company on Company Values. Description. Muhammadiyah University Surakarta.2016.
Legiman, Fachreza Muhammad; Tommy, Parengkuan and Untu, Victoria. (2015). Factors Affecting Stock Returns on Agro-Industry Companies Listed on the Indonesia Stock Exchange Period 2009-2012. Journal of Emba, Vol. 3, No.3, 2015
Limbong, Dita T Sampriani and Mochammad Chabachib. (2016). "Analysis of the Effect of Capital Structure, Sales Growth, and Firm Size on Firm Value with Profitability as Intervening Variables (Case Study of Real Estate Companies and Property Listed on the Stock Exchange in 2010-2014)". Diponegoro Journal of Management Volume 5, Number 4. pp 1-14.
Lim Pei Fun, et al (2012). Price Earnings Ratio and Stock Return Analysis (Evidence from Liquidity 45 Listed in Indonesian Stock Exchange Stocks). Journal of Management and Entrepreneurship, Vol. 14, No. 1
Marangu, Kenneth and Ambrose Jagongo. (2014). “Price to Book Value Ratio and Financial Statement Variables (An Empirical Study of Companies Quoted At Nairobi Securities Exchange, Kenya)”. Global Journal of Commerce & Management Perspective. G.J.C.M.P., Vol 3 (6): 50- 56.
Muhammad, Shakeeldan Ali, Gohar. (2017). The Relationship Between Fundamental Analysis and Stock Return Based on the Panel Data Analysis; Evidence from Karachi Stock Exchange. Research Journal of Finance and Accounting, ISSN 222-1697, Vol.9, No.3,2018
Murni, Asfia. (2016). Macro Economics. RefikaAditama. Bandung
Mulyana, Bambang and Rini, Rahmatika. (2017). The Influence of Solvency, Profitability, Company Size and Beta Stocks on Company Values and Their Impact on the Return of Company Shares in Automotive and Component Sub Sector Registered on the Indonesia Stock Exchange for the 2010-2016 Period. UniversitasMercubuana Journal, 2017. Jakarta
Nurhasanah, Rahmalia. (2012). Effect of Return on Assets (ROA), Return on Equity (ROE) and Earning Per Share (EPS) on Stock Prices. Widyatama University Accounting Journal. Bandung
Petcharabul, PinradeedanSuppanuntaRomprasert. (2014). “Technology Industry on Financial Ratios and Stock Returns”. Journal of Business and Economics, Vol. 5, No. 5. Hal. 739-746.
Puspitadewi, CokordaIstri Indah, HennyRahyuda. (2016). "The Effect of DER, ROA, PER and EVA on Stock Returns on Food and Beverage Companies on the IDX". E-Management Journal of Udayana University, Vol. 5, No. 3, pp. 1429-1456. Bali.
Radim, Gottwal. (2012). The Use of the P/E Ratio Stock Valation. Grant Journal Euro Grant Projects. RepublikCeko
Rusti’ani, MeilindaEka and Wiyani, Natalia Titik. (2017). Financial Ratio as an Indicator for Measuring Cement Corporate Financial Performance. Accounting Journal, Vol. 17, No.2, 2017
Salim, M. Noor; SugengSuroso, Tri Wisyastuti, and Irma Setyawati. (2017). Intellectual Capital and Corporate Governance in Financial Performance Indonesia Islamic Banking. International Journal of Economics and Financial Issues, 7(4), 96-103
Samsuar, Tenriola and Akramunnas. (2016). Fundamental and Technical Influences on the Prices of Hospitality Industry Shares Listed on the Indonesia Stock Exchange. Journal of Islamic Economics, Finance and Banking, Vol.1, No.1, 2017
Sudiyatno, Bambang. (2010). The Role of Corporate Performance in Determining the Effect of Fundamental Macroeconomic Factors, Systematic Risks, and Company Policies on Corporate Values. Dissertation. University of Diponegoro Semarang. 2010
Sukhija, Sunita. (2014). An Explicit Model on Fundamental Factors Affecting Stock Prices of BSE Listed Companies in India: An Inter Industry Approach. European Journal of Business and Management, ISSN 222-2839, Vol.6, No.37, 2014
Tandelilin, Eduardus. (2010). Portfolio and Investment. Kanisius. Yogyakarta
Tehrani, AbolghasemGholamrezadanAmirabbasGholamrezaTehrani. (2015). “The Effect on Financial Ratios to Predict Company Profits and Stock Returns”. International Journal of Review in Life Sciences. Vol. 5, No. 1. Hal.891-899
WBBA, Amanda and Pratomo, WahyuArio. (2013). Fundamental Analysis and Systematic Risk of Banking Stock Prices listed in the LQ45 Index. Economics and Finance Journal Vol.1, No.3, February 2013
Weston, J. Feed and Thomas E. Copeland. (2010). Financial Management. Jakarta: BinarupaAksara.
Zeytinoglu E, Akarim YD and Celik S. 2012. “The Impact of Market Based Ratios on Stock Return: The Evidence from Insurance Sector in Turkey”. International Research Journal of Finance and Economic, Vol. 14, No. 5, pp. 225-23
Zulkarnaen, AisyahHusna; Syamsun, Muhammad danMaulana, Tb Nur Ahmad. (2016). Analysis of Fundamental and Technical Factors to Stock Price on Residential Property Sector Companies Listed in Indonesia Stock Exchange. International Journal of Scientific and Research Publications, ISSN 2250-3153, Vol.6, 2016
How to Cite
License and Copyright Agreement
In submitting the manuscript to the journal, the authors certify that:
- They are authorized by their co-authors to enter into these arrangements.
- The work described has not been formally published before, except in the form of an abstract or as part of a published lecture, review, thesis, or overlay journal.
- That it is not under consideration for publication elsewhere.
- That its release has been approved by all the author(s) and by the responsible authorities – tacitly or explicitly – of the institutes where the work has been carried out.
- They secure the right to reproduce any material that has already been published or copyrighted elsewhere.
- They agree to the following license and copyright agreement.
Authors who publish with International Journal of Engineering Technologies and Management Research agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License (CC BY-SA 4.0) that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors can enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or edit it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) before and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work.
For More info, please visit CopyRight Section