Exchange Rate, Dividend Policy, and Capital Structure: Their Impact on Stock Returns in Jakarta Islamic Index Companies (2019–2023)
DOI:
https://doi.org/10.38035/dijefa.v5i6.3790Keywords:
Sharia Capital Market, Jakarta Islamic Index, Exchange Rate, Dividend Policy, Capital Structure, Stock ReturnAbstract
This study aims to analyze the impact of exchange rates, dividend policies, and capital structures on stock returns of JII-listed companies from 2019-2023, considering unique characteristics and adherence to Sharia principles. This study uses a qualitative method, employing purposive sampling techniques to determine the sample and then analyzing it using multiple linear regression with the SPSS 25.0 application. The sample in this study consists of 23 companies listed on the IDX that are included in the JII index and are non-bank companies. The results of this study found that the exchange rate has a positive effect on stock return. Dividend policy, measured using the dividend payout ratio (DPR), has a negative and significant effect on stock return. Capital structure, measured using the debt to equity ratio (DER), has a negative and significant effect on stock return. Meanwhile, simultaneously, the variables of exchange rates, dividend policies, and capital structures have a significant effect on stock return. The findings provide valuable insights for investors and companies seeking to make informed investment decisions and develop effective financial strategies aligned with Sharia principles. The study contributes academically to sharia-based finance literature and offers practical implications for market participants in the Islamic capital market.
References
Agustin, I. T., & Taswan. (2017). Pengaruh Konsentrasi Kepemilikan, Struktur Modal, Likuiditas, dan Profitabilitas Terhadap Return Saham. Jurnal Bisnis Dan Ekonomi, 24(2), 136–149.
Akomeah, E., Bentil, P., & Musah, A. (2018). The Impact of Capital Structure Decisions on Firm Performance: The Case of Listed Non-Financial Institutions in Ghana. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(4), 1–15. https://doi.org/10.6007/IJARAFMS/v8-i4/5050
Amri, A., & Ramdani, Z. (2020). PENGARUH NILAI TUKAR, KEBIJAKAN DIVIDEN DAN STRUKTUR MODAL TERHADAP RETURN SAHAM PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX. Jurnal Ilmu Keuangan Dan Perbankan (JIKA), 10(1), 17–36. https://doi.org/10.34010/jika.v10i1.3556
Ananda, W. C., & Santoso, A. B. (2022). Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Rupiah terhadap Return Saham pada Perusahaan Perbankan yang Terdaftar Di Bursa Efek Indonesia (2018-2020). J-MAS (Jurnal Manajemen Dan Sains), 7(2), 726. https://doi.org/10.33087/jmas.v7i2.559
Andriyanto, N. D., Maulida, A., & Hermuningsih, S. (2021). Pengaruh DER, ROA, dan DPR Terhadap Return Saham Sektor Utilitas, Insfrastruktur, dan Transportasi. Al-Kharaj?: Jurnal Ekonomi, Keuangan & Bisnis Syariah, 4(3), 772–781. https://doi.org/10.47467/alkharaj.v4i3.725
Anggraini, Y. (2018). Peran Green Sukuk Dalam Memperkokoh Posisi Indonesia DI Pasar Keuangan Syariah Global. El-Barka: Journal of Islamic Economics and Business, 01(02), 251–268.
Arif, N. F., Gemini, P., & Taliding, A. (2024). Pengaruh Kinerja Keuangan Terhadap Return Saham Perusahaan Pertambangan. Lokawati?: Jurnal Penelitian Manajemen Dan Inovasi Riset, 2(3), 106–120. https://doi.org/10.61132/lokawati.v1i3.866
Basuki, A. T., & Yusuf, A. I. (2018). Pengaruh Variabel Ekonomi Makro dan Indeks Harga Saham Dunia terhadap Jakarta Islamic Index. Buletin Ekonomi, 16(1), 81–98.
Beik, I. S., & Fatmawati, S. W. (2015). Pengaruh Indeks Harga Saham Syariah Internasional Dan Variabel Makro Ekonomi Terhadap Jakarta Islamic Index. Al-Iqtishad: Journal of Islamic Economics, 6(2), 667–680. https://doi.org/10.15408/ijies.v6i2.1228
Dang, H. N., Nguyen, T. T. C., & Tran, D. M. (2020). The impact of earnings quality on firm value: The case of Vietnam. Journal of Asian Finance, Economics and Business, 7(3), 63–72. https://doi.org/10.13106/jafeb.2020.vol7.no3.63
Fadli, A., Sembiring, B. K. F., & Situmorang, S. H. (2023). ANALYSIS OF BRAND IMAGE , BRAND TRUST , CUSTOMER EXPERIENCE ON CUSTOMER SATISFACTION THROUGH PERCEIVED VALUE BANK SYARIAH INDONESIA (STUDY AT BSI KCP KRAKATAU). IJEBAS, 03(2), 445–455. https://doi.org/http://dx.doi.org/10.54443/ijebas.v3i2.764
Fajaria, A. Z. (2018). The Effect of Profitability, Liquidity, Leverage and Firm Growth of Firm Value with its Dividend Policy as a Moderating Variable. International Journal of Managerial Studies and Research, 6(10), 55–69. https://doi.org/10.20431/2349-0349.0610005
Fathihani, Randyantini, V., Saputri, I. P., & Wijayanti, F. A. K. (2023). Pengaruh Pengungkapan Corporate Social Responsibility, Struktur Modal, dan Financial Distress terhadap Return Saham Perusahaan Manufaktur yang Terdaftar di BEI Tahun 2017-2021. Jurnal Samudra Ekonomi Dan Bisnis, 14(1), 15–24. https://doi.org/10.33059/jseb.v14i1.6046
Ghozali, I. (2018). Aplikasi Analisis Multivariate Dengan Program IBM SPSS 25 (9th ed.). Badan Penerbit Universitas Diponegoro.
Jabar, A. K. A., & Cahyadi, I. F. (2020). Pengaruh Exchange Rate, Inflasi, Risiko Sistematis Dan BI Rate Terhadap Return Saham Syariah Di Jakarta Islamic Index (JII) Periode 2015-2018. MALIA: Journal of Islamic Banking and Finance, 4(1), 12. https://doi.org/10.21043/malia.v4i1.8409
Jao, R., Daromes, F. E., Holly, A., & Sariri, H. (2024). Pengaruh Fleksibilitas Keuangan, Struktur Modal, dan Profitabilitas terhadap Return Saham. Tangible Journal, 9(1), 53–64. https://doi.org/10.53654/tangible.v9i1.467
Kanta, A. G. A., Hermanto, & Surasni, N. K. (2021). The Effect of Leverage and Profitability on Firm Value with Dividend Policy as Moderation Variable (Studies in Manufacturing Companies for the 2014-2018 Period). International Journal of Multicultural and Myltireligious Understanding, 8(1), 245–255. http://ijmmu.comhttp//dx.doi.org/10.18415/ijmmu.v8i1.2202
Kholifah, D. N., & Retnani, E. D. (2021). Pengaruh Tingkat Suku Bunga, Kebijakan Dividen, dan Struktur Modal terhadap Return Saham. Jurnal Ilmu Dan Riset Akuntansi, 10(7), 1–15.
Kurani, R., Mas’ud, M., & Hamid, S. (2023). Pengaruh Suku Bunga, Nilai Tukar, Dan Kebijakan Dividen Terhadap Return Saham Pada Perusahaan Yang Terdaftar Di Jakarta Islamic Index (JII). Innovative: Journal Of Social Science Research, 3(4 SE-Articles), 2022–2034.
Lestari, P., Masitoh, E., & Siddi, P. (2021). Faktor-Faktor Yang Mempengaruhi Kebijakan Deviden Pada Perusahaan LQ45. Jurnal Akuntansi Dan Keuangan, 12(2), 14–30.
Lumopa, C. E., Tulung, J. E., & Palandeng, I. D. (2023). Pengaruh Struktur Modal, Kinerja Keuangan, Dan Kebijakan Dividen Terhadap Harga Saham Perusahaan Idx30 Yang Terdaftar Di Bei Tahun 2017-2021. Jurnal EMBA?: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 11(1), 992–1008. https://doi.org/10.35794/emba.v11i1.46550
Miller, M. H., & Modigliani, F. (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34(4), 411–433. http://www.jstor.org/stable/2351143
Muslikin, M., & Alim, R. A. (2023). The Impact of Current Ratio, Total Asset Turnover, Debt-Equity Ratio, Return on Equity, And Price Earning Ratio Toward Stock Return. Indikator: Jurnal Ilmiah Manajemen Dan Bisnis, 7(3), 100. https://doi.org/10.22441/indikator.v7i3.18481
Pandaya, P., Julianti, P. D., & Suprapta, I. (2020). PENGARUH FAKTOR FUNDAMENTAL TERHADAP RETURN SAHAM. JURNAL AKUNTANSI, 9(2), 233–243. https://doi.org/10.37932/ja.v9i2.156
Pantas, P. E. (2017). Guncangan Variabel Makroekonomi Terhadap Jakarta Islamic Index (JII). Cakrawala: Jurnal Studi Islam, 12(1), 28–43. https://doi.org/10.31603/cakrawala.v12i1.1662
Riskiyani, D. N., & Dewi, E. K. (2023). Pengaruh Struktur Modal, Inflasi, Nilai Tukar Terhadap Return Saham Perusahaan Perbankan Di Bei Tahun 2017-2021. Jurnal Akuntansi Barelang, 8(1), 8–23. https://doi.org/10.33884/jab.v8i1.8213
Risqi, U. A., & Suyanto, S. (2022). Pengaruh Return On Asset dan Return On Equity terhadap Nilai Perusahaan dengan Ukuran Perusahaan sebagai Variabel Moderasi. Al-Kharaj?: Jurnal Ekonomi, Keuangan & Bisnis Syariah, 4(4), 1122–1133. https://doi.org/10.47467/alkharaj.v4i4.846
Saputra, P. (2023). Efek Moderasi Kebijakan Dividen Pada Pengaruh Tax Avoidance Terhadap Nilai Perusahaan. Jurnal Literasi Akuntansi, 3(2), 100–115. https://doi.org/10.55587/jla.v3i2.92
Sefti, E. D. (2021). The Effect of Profitability, Leverage and Liquidity on Stock Return With Dividend Policy as a Mediation Variable in Manufacturing Companies Listed on The Indonesia Stock Exchange. International Journal of Economics, Business and Management Research, 5(10), 123–138.
Setiawati, A. S. M. D., & Putra, I. W. (2015). Pengujian Trade Off Theory Pada Struktur Modal Perusahaan Dalam Indeks Saham Kompas100. E-Jurnal Akuntansi Universitas Udayana, 13(3), 705–722.
Sugiyono. (2019). Metode Penelitian Kuantitatif, Kualitatif, dan R&D (1st ed.). Alfabeta.
Sugiyono, D. (2018). Metode penelitian kuantitatif, Kualitatif dan R & D.
Tanushev, C. (2016). Theoretical Models of Dividend Policy. Economic Alternatives, 3, 299–316.
Umdiana, N., & Claudia, H. (2020). Struktur Modal Melalui Trade Off Theory. Jurnal Akuntansi Kajian Ilmiah Akuntansi (JAK), 7(1), 52. https://doi.org/10.30656/jak.v7i1.1930
Wahyuni, S., & Sovita, I. (2024). Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makroekonomi Terhadap Jakarta Islamic Index (JII) Tahun 2018-2022. Akutansi Keuangan Dan Bisnis.
Wilda. (2023). Pengaruh Kinerja Keuangan dengan Pendekatan Dupont System Terhadap Harga Saham Pada Perusahaan Industri Perbankan di Indonesia Stock Exchange (IDX). Journal GEEJ.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Afisa Nur Maulidha

This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish their manuscripts in this journal agree to the following conditions:
- The copyright on each article belongs to the author(s).
- The author acknowledges that the Dinasti International Journal of Economics, Finance & Accounting (DIJEFA) has the right to be the first to publish with a Creative Commons Attribution 4.0 International license (Attribution 4.0 International (CC BY 4.0).
- Authors can submit articles separately, arrange for the non-exclusive distribution of manuscripts that have been published in this journal into other versions (e.g., sent to the author's institutional repository, publication into books, etc.), by acknowledging that the manuscript has been published for the first time in the Dinasti International Journal of Economics, Finance & Accounting (DIJEFA).