ANALYSIS OF CRUDE PALM OIL (CPO) PRODUCTION VOLUME AND PRICE ON PROFITABILITYAND ITS IMPACT ON STOCK RETURNS OF CRUDE PALM OIL (CPO) PRODUCTION VOLUME AND PRICE ON PROFITABILITYAND ITS IMPACT ON STOCK RETURNS.”

: This study aims to examine and analyze the effect of production volume and crude palm oil (CPO) prices on profitability (proxied by return on assets, ROA) and its impact on stock returns (proxied by capital gains) in plantation industry sector companies listed on the Indonesia Stock Exchange (BEI) 2013 - 2017. The sampling method used was purposive sampling. From the population of 18 plantation industry companies, 12 companies met the criteria to be sampled. The type of data used is panel data, which is collected by documentation techniques. The analytical method used in this study is multiple linear regression using Eviews version 9.0 software. The results showed that CPO production had a positive and not significant effect on ROA. The price of CPO has a negative and not significant effect on ROA. ROA has a positive and not significant effect on stock returns. CPO production has a negative and not significant effect on stock returns. CPO prices have a positive and not significant effect on stock returns. Simultaneously CPO production and prices have no significant effect on ROA and stock returns. CPO production and CPO prices simultaneously contribute more to stock returns than through ROA as an intervening variable .


Introduction
Indonesia is an agricultural country that has a very wide area. The majority of the Indonesian population does a lot of work activities in the agriculture sector. More than 60% of GDP in the plantation sub-sector is oil palm plantations (source: Ministry of Agriculture 2016). The extent of oil palm plantations in Indonesia continues to grow to 12.3 million hectares in 2017.
[88] The plantations that are growing in size produce CPO that continues to increase and prices are quite volatile. but the increase in CPO production did not produce good stock returns (capital gains) as reflected in the capital gains data of 18 plantation industry companies listed on the Indonesia Stock Exchange 2013-2017 below: [89] The capital invested by investors in the plantation industry is very large but the stock returns obtained are very fluctuating so it needs to be analyzed how much influence the production volume and CPO prices have on profitability and the impact on stock returns, especially capital gains, according to the purpose of this study.

CPO Production
CPO production is determined by good management of oil palm trees that will produce fresh fruit bunches (FFB) with productivity influenced by environmental factors, genetic factors, and cultivation techniques (Mangunsoekarjo and Semangun 2005). FFB is harvested, transported and processed at the factory to produce CPO, which is influenced by the operational performance of harvesting, transporting and processing. The higher the CPO produced will benefit the company.

CPO Price
Price is the amount of money charged on an item or service or the sum of the value of money that consumers exchange for benefits because they own or use the product or service (Kotler and Armstrong, 2013: 151). The price of CPO is determined by supply and demand, but is also a factor in market speculation. The higher the price will benefit the company.

Return on Asset (ROA)
Profitability ratio analysis is a ratio analysis that measures a company's ability to generate profits at the level of sales, assets, and certain stock capital of Hanafi (2014). One of the profitability ratios is return on assets. Return on Assets (ROA) is a ratio that shows the return (return) on the total amount of assets used by the company. ROA is also a measure of management effectiveness in managing its investment. The calculation of this ratio is profit after interest and tax (EAIT) divided by total assets. The lower the ratio, the less good it is and vice versa. This ratio is also used to measure the effectiveness of the company's overall operations.

Capital Gain
Stock return according to Ang Robert (2010) is the level of profit enjoyed by investors for a stock investment made. Stock return consists of two types, namely dividend and interest (yield) and profit price difference (capital gain / loss). Current income consists of periodic payments, as well as payment of dividends or interest payments. While the advantages of price differences are obtained between the difference between selling and buying prices. For capital investments in the capital market, investors are more interested in stock returns than capital gains.

Capital Gain
Increasing capital gain of the company makes the company more attractive to investors, because the rate of change will be even greater (Ang Robert, 2010). This will also have an impact that the stock price of the company in the capital market will also increase, in other words ROA will affect the company's stock price.
According to the Shintya study (2014) the growth of production or sales partially has a positive and significant effect on profitability. Badjra (2015), company growth (sales) has a negative and not significant effect on profitability. Pancawati and Indahsari (2016), selling prices do not have a significant effect on profitability. Juliyanti (2015), shows the variable operational costs, selling prices, and sales volumes simultaneously have a significant effect on profitability. Rio (2016), ROA has a positive and insignificant effect on stock returns.
From the above phenomenon, the researcher sees that it is necessary to analyze the influence of the independent variables (CPO production and CPO prices) on the dependent variable that is proxied by Stock Return with ROA as an intervening variable. as illustrated in the conceptual framework below: Based on the conceptual framework above, the research hypothesis is determined as follows, H1: Production Volume of Crude Palm Oil (CPO) has an effect on ROA profitability H2: The price of Crude Palm Oil (CPO) has an effect on ROA profitability H3: Profitability of ROA affects stock returns H4: CPO Production Volume has an effect on stock returns H5: Price of Crude Palm Oil (CPO) affects stock returns

Research Design
The design of this study is classified as quantitative causal research which is a causal relationship, so there are exogenous and endogenous variables, Sekaran and Bougie (2009: 56). This research is also empirical which aims to determine the extent to which production volumes and CPO prices affect the issuer's profitability as well as the impact on stock returns of oil palm companies listed on the Indonesia Stock Exchange in the period 2013 -2017.

Population and Samples
The population of this study are all oil palm plantation companies listed on the Indonesia Stock Exchange (IDX), with a population of 18 companies. The sampling method used in this study was purposive sampling, namely the technique of determining the sample based on certain criteria (Sugiyono, 2012: 117

Types and Data Collection
The type of data used for research is secondary quantitative data, times series, cross section or overall combination of times series data and cross section data called panel data. Panel data consists of several or many objects covering several periods. The data is collected using documentation techniques downloaded through www.idfinancial, www.bps.go.id and www.idx, co.id.

Data Analysis Method
The method for measuring the results of research using expanded multiple regression analysis with path analysis methods to test the hypothesis. In the regression analysis, each regression equation (regression coefficient) and its determination coefficient value will be sought. In path analysis, the direct and indirect effects of the independent variables on the dependent variable will be sought through intervening variables and correlation values between variables. The panel data equation model uses a combination of cross section data and time series data as follows:

Descriptive Analysis
Descriptive analysis is a statistical analysis that functions to describe or give an overview of the object under study through sample or population data as it is, Sugiyono (2012: 206). Descriptive statistics are used to show the characteristics of the data from the tested variables, namely the mean, median, maximum, minimum and standard deviation.

Modeling Data Panel Regression
Panel data analysis is known as three types of approach models, namely: 1) Smallest Square Approach (Pooled Least Square / Common Effect), 2) Fixed Effect Approach, 3) Random Effect Approach. (Basuki 2016).

Common Effect Model
This method, also called PLS, is the simplest method. In his estimation it is assumed that each individual unit has the same intercept and slope (there is no difference in the time scale dimension). In other words, the regression panel data generated will apply to each individual. (Juanda and Junaidi, 2012).

Fixed Effect Model
In the Fixed Effect Model (FEM) method, interception in regression can be distinguished between individuals because each individual is considered to have its own characteristics. In distinguishing the intercepts, a dummy variable can be used, so this method is also known as the Least Squares Dummy Variable model (Juanda and Junaidi, 2012).

Random Effect Model
In the Random Effect Model (REM) method, differences in individual characteristics and time are accommodated in the error of the model. Given that there are two components that contribute to error formation, namely individual and time, then random errors in Random Effect Model also need to be parsed into errors for individual components, time component errors and combined errors. Based on this, this random method is also known as the Error Components Model (ECM) (Juanda and Junaidi, 2012

Hypothesis Test
The Hypothesis Test is used to test the validity of temporary statements or assumptions that are made and tested statistically to draw conclusions whether to accept or reject the statement. The Hypothesis Test used consists of F Test, Test of the Coefficient of determination (R2), T Test,

Path Analysis
Path diagrams can be used to calculate the direct and indirect effects of independent variables on a dependent variable. These influences are reflected in what is called the path coefficient, where mathematically path analysis follows structural mode.

Descriptive Statistics
The results of descriptive statistics are shown in Table 1. The average value of CPO production is 0.57% so it is at an average ROA of 2.32% and the average stock return is -0.61%. The standard deviation of 26.59% is greater than the average value of 5.76%, which means that CPO production has a high volatile level.
The average value of CPO is -0.36%, with an average ROA of 2.32% and a stock return of -0.61%. The standard deviation of CPO prices is 13.4% higher than the average value of -0.36%, which means that CPO prices have a high level of risk.
Profitability ROA shows that the company is able to generate an average profit of 2.32% and the average stock return is -0.61%. The standard deviation of 8.63% is higher than the average value of 2.32%, which means that ROA has the ability to increase.
Stock return, shows the stock return that will be received by the company reaches an average value of -0.61%. Standard deviation with a value of 47.33% is higher than the average value which means that stock returns have very high yields.    In the t test, the calculated t value is at, -t count ≥ -t table or t count ≤ t table, then the independent variable partially does not significantly influence the dependent variable. In the F test, the calculated F value ≤ F table, then together the independent variables have no significant effect on the dependent variable. From the R square test, the influence of production and CPO prices on stock returns is the highest compared to the others.

H1
: The volume of CPO production has a positive and not significant effect on ROA The regression coefficient of CPO production on ROA profitability is 0.030820 with a significance level of 0.4836> 0.050. H2 : CPO prices have a negative and not significant effect on profitability The regression coefficient of the company's CPO price on ROA profitability is -0.00960 with a significance level of 0.9123> 0.050. H3 : Profitability of ROA has a positive and not significant effect on stock returns The regression coefficient of company ROA profitability on stock returns is 0.270249 with a significance level of 0.7084> 0.050. H4 : CPO production has a negative and not significant effect on stock returns The regression coefficient of CPO production on company stock returns is -0.148436 with a significance level of 0.5309> 0.050.

Exogenous Variables on Profitability
The results of testing the first hypothesis obtained by the volume of positive and non-significant CPO production on profitability in IDX plantation companies in 2013-2017. The results of this study indicate that the increase and decrease in CPO production of the company is against the direction of profitability but not significant which proves that industrial shareholders do not produce CPO, because the small size of large CPO production does not significantly affect ROA. The results of testing the second hypothesis obtained that CPO prices apply negatively and not significantly to profitability, this means that rising CPO prices do not affect the high and low ROA. The results of this study prove that industrial shareholders do not calculate CPO prices, because the size of CPO prices does not significantly affect changes in ROA.

Effect of Exogenous Factors on Stock Returns
The results of testing the hypothesis obtained by positive and not significant ROA on stock returns which means that the increase and decrease in ROA of the company supports the direction of stock returns but is not significant. The results of this study prove that industrial shareholders do not calculate the value of ROA, because the size of the value of ROA does not affect changes in stock returns by significant.
The results of testing the fourth hypothesis found that CPO production has a negative and not significant effect on stock returns, which means that the increase and decrease in CPO production have an opposite effect on stock returns but are not significant. The results of this study indicate that the plantation industry shareholders do not take into account CPO production, because the size of CPO production does not significantly affect the change in firm value.
The results of testing the fifth hypothesis found that CPO prices have a positive and not significant effect on stock returns, this means that the growth of CPO production affects the high or low stock returns. The results of this study indicate that plantation industry shareholders do not take into account CPO prices, because the size of CPO prices has a positive effect on stock returns but is not significant. This is thought to have happened because prices cannot be fully controlled by the producers. Besides being determined by supply and demand, CPO prices are also influenced by market speculation of CPO players

Conclusions and Recommendation
The effect of an increase in CPO production is greater than the effect of an increase in CPO prices on increasing profitability (ROA), therefore company management is advised to make every effort to optimize the assets owned by the company to increase CPO production.
The increase in CPO prices has a very high influence on increasing stock returns. Therefore, the shareholders of plantation companies on the stock market should pay more attention to the rising trend of CPO prices to get an increase in stock returns.
The results show that ROA also has a significant influence on stock returns, so that company management should strive to increase profitability (ROA), because an increase in profitability can improve stock returns of plantation companies. For investors to pay attention to stock returns, it should be seen in terms of CPO prices and company profitability (ROA), which affects stock returns, especially the influence of CPO prices. For management, the company should try to maximize the production of CPO to increase profitability (ROA).
For further research it is recommended to examine the factors that influence CPO prices, so that the causes of fluctuations in CPO prices are known to influence the stock returns of plantation companies on the IDX.