DETERMINANTS OF FUNDAMENTAL STOCK RETURN FACTORS AT TEXTILE AND GARMENT COMPANY, ANALYSIS DATA PANEL FOR PERIOD 2012 - 2019
DOI:
https://doi.org/10.38035/dijefa.v1i4.531Keywords:
Current Ratio, Total Asset Turnover, Debt To Equity Ratio, Return On Equity, Stock ReturnsAbstract
This research aims to examine and analyze the effect of current ratio, total asset turnover, debt to equity ratio and return on equity on the value of stock of textile and garment companies in the Indonesia Stock Exchange for the period of 2012 to 2019. This research uses annual data for the observation period from 2012 to 2019. The population is textile and garment companies listed on the Indonesia Stock Exchange in 2012 to 2019 and up to 19 companies. The sampling technique used purposive sampling, found a sample of 7 companies with 8 years observation so that the total observation obtained was 56. The model used is the Common Effect Model. The results of the analysis show that the total asset turnover have a significant negative effect and return on equity have a significant positive effect, while the current ratio and debt to equity ratio have no significant effect on stock returns of textile and garment companies in the Indonesia Stock Exchange for the period of 2012 to 2019.
References
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28. Ihsan S. Basalama, Sri Murni, Jacky S.B. Sumarauw. (2017). “Pengaruh Current Ratio, DER dan ROA Terhadap Return Saham Pada Perusahaan Automotif Dan Komponen Periode 2013-2015”. Jurnal EMBA, Vol. 5, No.2, Juni 2017, Hal. 1793–1803.
29. Kasmir. (2015). Analisis Laporan Keuangan. Edisi keduabelas. PT. Raja Grafindo Persada. Jakarta.
30. Khairani Purnamasari, Emrinaldi Nur DP, Raja Adri Satriawan S. (2014). “Pengaruh Current Ratio (CR), Debt To Equity Ratio (DER), Return On Equity (ROE), Price Earning Ratio (PER) dan Earning Per Share (EPS) Terhadap Return Saham Pada Perusahaan Property and Real Estate yang Terdaftar Di Bursa Efek Indonesia Tahun 2009-2011”. Jom FEKON, Vol. 1, No. 2, Oktober 2014.
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40. Said Djamaluddin, Jhesyca Resiana and Djumarno. (2018). “Analysis the Effect of NPM, DER and PER on Return Share of Listed Company in Jakarta Islamic Index (JII) Period 2011 -2015”. International Journal of Business and Management Invention (IJBMI), Vol.7, Issue 2 Ver.II, ISSN (Online): 2319 – 8028, ISSN (Print): 2319 – 801X, page 58-66.
41. Sajjad Hossine Sharif. (2019). “The Impact of Capital Structure on Stock Return of Selected Firms in the Pharmaceutical and Chemical Sector in Bangladesh”. International Journal of Social Sciences Perspectives, Vol.5, No.1, 2019, pp. 9-21, ISSN: 2577-7750.
42. Sari. (2016). “Analisis Pengaruh Profitabilitas Terhadap Harga Saham Pada Perusahaan Food and Beverages Yang Terdaftar Di BEI Tahun 2011-2014”. Jurnal Fakultas Ekonomi dan Bisnis Universitas Muhammadiyah Surakarta.
43. Sari Oktavera. (2016). “Analisis Pengaruh Penilaian Kinerja Keuangan Dengan Menggunakan Metode Tradisional (DER, ROA) dan Metode Konsep Baru (EVA) terhadap Return Saham (Studi Kasus Pada Perusahaan Industri Keuangan Non Bank yang Listing di BEI Pada Tahun 2010-2014)”. Jurnal Ekonomi & Bisnis Dharma Andalas, Volume 18, No. 1, Januari 2016.
44. Senyigit and Ag. (2014). “Explaining The Cross Section of Stock Returns; A Comparative Study of The United States and Turkey”. World Conference on Business, Economics and Management, Procedia-Social and Behavioral Sciences, 109 (2014), page 327-332, Zirve University: Turkey.
45. Shakeel Muhammad and Gohar Ali. (2018). “The Relationship Between Fundamental Analysis and Stock Returns Based on the Panel Data Analysis; Evidence from Karachi Stock exchange (KSE)”. Research Journal of Finance and Accounting, Vol.9, No.3, 2018, ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online).
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52. Umrotul (2016). Kegagalan Perusahaan dan Reorganisasi. Jakarta
53. Ursula Tamuntuan. (2015). “Analysing The Effect of Return On Equity, Return On Assets and Earnings Per Share Toward Share Price: An Emperical Study Of Food and Beverage Companies Listed On Indonesia Stock Exchange”. Jurnal Berkala Ilmiah Efisiensi, Vol. 15, No. 5, hal 446-457.
54. Widya. (2015). “The Effect of Internal and External Factors on Stock Return: Empirical Evidence from the Indonesian Construction Subsector”. Asian Journal of Business and Management, Vol. 03, Issue 05, October 2015, ISSN: 2321 - 2802.
55. Yuliya Wingsih. (2013). “Analisis Pengaruh Likuiditas, Profitabilitas dan Solvabilitas Terhadap Return Saham Pada Perusahaan Pertambangan Yang Terdaftar Di Bursa Efek Indonesia Pada Tahun 2008-2012”. Jurnal Manajemen.
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2. Abdulah dan Tooheen. (2015). “The impact of financial leverage and market size on stock returns on the Dhaka stock exchange: Evidence from selected stocks in manufacturing sector”. International Journal of Economics, Finance, and Management Sciences, Vol. 3, No. 1, 2015.
3. Abhimada. (2016). “The influence of profitability ratio, market ratio, and solvency ratio on the share prices of companies listed on LQ 45 Index”. The Indonesian Accounting Review, Vol. 6, No. 1, January – July 2016, pages 55 – 66.
4. Acheampong. (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, Vol.5 No.1.
5. Ajeng Ika Ariyanti dan Suwitho. (2016). “Pengaruh CR, TATO, NPM dan ROA Terhadap Return Saham”. Jurnal Ilmu dan Riset Manajemen, Vol. 5, No. 4, April 2016, hal 1-16.
6. Al-Qudah. (2013). “The Impact of Macroeconomic Variables and Banks Characteristics on Jordanian Islamic Banks Profitability: Empirical”. Evidence Journals International Business Research, Vol. 6, No. 10 (2013), Issn(Print): 1913-9004 Issn(Online): 1913-9012.
7. Angelin S. Kiruba and Dr.S.Vasantha. (2020). “The Impact of Accounting ratios on Stock Returns: The Case of India’s Chemical Industry”. Adalya Journal, Volume 9, Issue 1, January 2020 ISSN NO: 1301-2746, page 362-371.
8. Arifah Rusydina dan Sugeng Praptoyo. (2017). “Pengaruh Rasio Keuangan Terhadap Return Saham”. Jurnal Ilmu dan Riset Akuntansi, Vol. 6, No. 7, Juli 2017, hal 1-18: e-ISSN: 2460-0585.
9. Ayu Kemala Putri. (2016). “Pengaruh Corporate Social Responsibility terhadap Nilai Perusahaan dengan Ukuran Perusahaan dan Jumlah Dewan Komisaris sebagai Variabel Pemoderasi (Studi pada Perusahaan Manufaktur yang terdaftar Bursa Efek Indonesia)”. Jurnal Aplikasi Manajemen, Vol. 14, No. 2, Terakreditasi SK DIRJEN DIKTI NO. 66b/DIKTI/KEP/2011 ISSN: 1693-5241.
10. Ayu Nurhayani Aisah dan Kastawan Mandala. (2016). “Pengaruh Return On Equity, Earning Per Share, Firm Size dan Operating Cash Flow Terhadap Return Saham”. E-Jurnal Manajemen Unud, Vol. 5, No. 11, 2016: hal 6907-6936 ISSN : 2302-8912.
11. Basu, S. (1977). The investment performance of common stocks in relation to their price-earnings ratios: A test of the e•cient markets hypothesis. Journal of Finance 32, 663±682.
12. Benyamin. Ivan Agavito., Endri, Endri. (2019). Determinants of Stock Returns of Building Construction Companies Listed on the Indonesia Stock Exchange Period 2012-2016, Scholars Journal of Economics, Business and Management, 6(1): 39-47. DOI: 10.21276/sjebm.2019.6.1.6.
13. Bhandari, Laxmi Chand. (1988). Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence, Journal of Finance 43: 507-528.
14. Brigham, Eugene F. dan Joel F. Houston. (2011). Manajemen Keuangan. Erlangga. Jakarta.
15. Chan, L.K.C., Hamao, Y., Lakonishok, J. (1991). Fundamentals and stock returns in Japan. Journal of Finance 46 (5), 1739-1764.
16. Chrismas Bisara dan Lailatul Amanah. (2015). “Pengaruh Kinerja Keuangan Terhadap Return Saham”. Jurnal Ilmu & Riset Akuntansi, Vol. 4, No. 2.
17. Budhi Suparningsih. (2017). “Effect of Debt To Equity Ratio (DER), Price Earnings Ratio (PER), Net Profit Margin (NPM), Return On Investment (ROI), Earning Per Share (EPS) In Influence Exchange Rates and Indonesian Interest Rates (SBI) Share Price In Textile and Garment Industry Indonesia Stock Exchange”. International Journal of Multidisciplinary Research and Development, Online ISSN: 2349-4182, Print ISSN: 2349-5979, Vol. 4, Issue 11, Page No. 58-62.
18. Dwi Martani, Mulyono dan Rahfiani Khairurizka. (2009). “The Effect of Financial Ratios, Firm Size and Cash Flow From Operating Activities In The Interim Report To The Stock Return”. Chinese Business Review, Volume 8, No.6 (Serial No.72), Jun. 2009, ISSN 1537-1506, page 44-55.
19. Endri. (2018). Factors Determine Stock Return of Livestock Feed Companies: Common Effect Model Analysis. International Journal of New Technology and Research (IJNTR), 4(5), 106-113.
20. Erik Setiyono. (2016). “Pengaruh Kinerja Keuangan dan Ukuran Perusahaan terhadap Return Saham”. Jurnal Ilmu dan Riset Akuntansi, Vol 5 No. 5 2016; ISSN 2460-0585.
21. Fama, E.F., French, K.R. (1992). The cross-section of expected returns. Journal of Finance 47, 427- 465.
22. Farda Eka Septiana dan Aniek Wahyuati. (2016). “Pengaruh Rasio Keuangan Terhadap Return Saham Pada Perusahaan Manufaktur”. Jurnal Ilmu dan Riset Manajemen, Vol.5, No.1, Januari 2016, hal 1-21.
23. Ferson, W.E., Harvey, C.R. (1994). An exploratory investigation of the fundamental determinants of international equity market returns. In: Frankel, J.A. Internationalization of Equity Markets, University of Chicago Press (ISBN 0-226-26001-1), pp. 59-148.
24. Fitri Piralanasia dan Matrodji Mustafa. (2018). “Analysis of Fundamental Factors’ Effect on Stock Return of Property: A Case Study of Property, Real Estate, and Building Construction Sector of Companies Listed on The Indonesia Stock Exchange In 2012-2016”. RJOAS, 5(77), May 2018, hal 38-47.
25. Gharaibeh. (2014). “Capital Structure, Liquidity and Stock Returns”. European Scientific Journal, Vol. 10, No. 25, ISSN: 1857 - 7881 (Print) e-ISSN 1857 - 7431.
26. Ghi. (2015). “Overvaluation and Earnings Management”. Journal of Banking & Finance, Vol. 33, No. 9, page 1652-1663.
27. Hakki Öztürk dan Tolun A. Karabulut. (2018). “The Relationship Between Earnings-to-Price, Current Ratio, Profit Margin and Return: An Empirical Analysis on Istanbul Stock Exchange”. Accounting and Finance Research, Vol. 7, No. 1.
28. Ihsan S. Basalama, Sri Murni, Jacky S.B. Sumarauw. (2017). “Pengaruh Current Ratio, DER dan ROA Terhadap Return Saham Pada Perusahaan Automotif Dan Komponen Periode 2013-2015”. Jurnal EMBA, Vol. 5, No.2, Juni 2017, Hal. 1793–1803.
29. Kasmir. (2015). Analisis Laporan Keuangan. Edisi keduabelas. PT. Raja Grafindo Persada. Jakarta.
30. Khairani Purnamasari, Emrinaldi Nur DP, Raja Adri Satriawan S. (2014). “Pengaruh Current Ratio (CR), Debt To Equity Ratio (DER), Return On Equity (ROE), Price Earning Ratio (PER) dan Earning Per Share (EPS) Terhadap Return Saham Pada Perusahaan Property and Real Estate yang Terdaftar Di Bursa Efek Indonesia Tahun 2009-2011”. Jom FEKON, Vol. 1, No. 2, Oktober 2014.
31. Maryyam Anwaar. (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 Accounting and Auditing, Volume 16 Issue 1 Version 1.0 Year 2016, ISSN: 2249-4588 & Print ISSN: 0975-5853.
32. Michael Aldo Carlo. (2014). “Pengaruh Return On Equity, Dividend Payout Ratio dan Price To Earnings Ratio Pada Return Saham”. E-Jurnal Akuntansi Universitas Udayana, 7.1 (2014), hal 150-164, ISSN: 2302-8556.
33. Moh. Zainuddin Arief et al. (2017). “Pengaruh EPS, DER dan PER Terhadap Return Saham Pada Perusahaan Makanan dan Minuman Yang Terdaftar di Bursa Efek Indonesia Periode Tahun 2014-2016”. E-Jurnal Riset Manajemen PRODI MANAJEMEN.
34. Murhadi, Werner R. (2013). Analisis Laporan Keuangan, Proyeksi dan Valuasi Saham. Salemba Empat. Jakarta.
35. Mutiara Tumonggor, Sri Murni, Paulina Van Rate. (2017). “Analisis Pengaruh Current Ratio, Return On Equity, Debt To Equity Ratio dan Growth Terhadap Return Saham Pada Cosmetics and Household Industry Yang Terdaftar di BEI Periode 2010-2016”. Jurnal EMBA, Vol.5, No.2 Juni 2017, Hal. 2203 – 2210.
36. Neni Awika Andansari dkk. (2016). “Pengaruh Return On Equity (ROE), Price Earning Ratio (PER), Total Asset Turn Over (TATO) dan Price To Book Value (PBV) Terhadap Return Saham (Studi Kasus Pada Perusahaan Manufaktur Sektor Makanan Dan Minuman Yang Terdaftar di BEI Periode 2008-2014)”. Journal Of Accounting, Vol. 2, No. 2, 2016.
37. Ouma, et. Al. (2014). “The Impact of Macroeconomic Variables on Stock Market Returns In Kenya”. International Journal of Business and Commerce, Vol. 3, No.11: July.
38. Ross, S. A. (1977). The determination of financial structure: The incentive signaling structure. Bell Journal of Economics, 8: 23-40
39. Said Djamaluddin, Diny Rahmawati and Hapzi Ali. (2017). “The Influence of Fundamental Factors Micro and Macro to Return Expected Through The Intervening Corporate Value in The Listed Real Estate Sector in Bei Periode 2011-2014”. International Journal of Business and Management Invention (IJBMI), Volume 6, Issue 2, February. 2017, ISSN (Online): 2319 – 8028, ISSN (Print): 2319 – 801X, page 14-22.
40. Said Djamaluddin, Jhesyca Resiana and Djumarno. (2018). “Analysis the Effect of NPM, DER and PER on Return Share of Listed Company in Jakarta Islamic Index (JII) Period 2011 -2015”. International Journal of Business and Management Invention (IJBMI), Vol.7, Issue 2 Ver.II, ISSN (Online): 2319 – 8028, ISSN (Print): 2319 – 801X, page 58-66.
41. Sajjad Hossine Sharif. (2019). “The Impact of Capital Structure on Stock Return of Selected Firms in the Pharmaceutical and Chemical Sector in Bangladesh”. International Journal of Social Sciences Perspectives, Vol.5, No.1, 2019, pp. 9-21, ISSN: 2577-7750.
42. Sari. (2016). “Analisis Pengaruh Profitabilitas Terhadap Harga Saham Pada Perusahaan Food and Beverages Yang Terdaftar Di BEI Tahun 2011-2014”. Jurnal Fakultas Ekonomi dan Bisnis Universitas Muhammadiyah Surakarta.
43. Sari Oktavera. (2016). “Analisis Pengaruh Penilaian Kinerja Keuangan Dengan Menggunakan Metode Tradisional (DER, ROA) dan Metode Konsep Baru (EVA) terhadap Return Saham (Studi Kasus Pada Perusahaan Industri Keuangan Non Bank yang Listing di BEI Pada Tahun 2010-2014)”. Jurnal Ekonomi & Bisnis Dharma Andalas, Volume 18, No. 1, Januari 2016.
44. Senyigit and Ag. (2014). “Explaining The Cross Section of Stock Returns; A Comparative Study of The United States and Turkey”. World Conference on Business, Economics and Management, Procedia-Social and Behavioral Sciences, 109 (2014), page 327-332, Zirve University: Turkey.
45. Shakeel Muhammad and Gohar Ali. (2018). “The Relationship Between Fundamental Analysis and Stock Returns Based on the Panel Data Analysis; Evidence from Karachi Stock exchange (KSE)”. Research Journal of Finance and Accounting, Vol.9, No.3, 2018, ISSN 2222-1697 (Paper) ISSN 2222-2847 (Online).
46. Sihombing, Pardomuan. (2018). Corporate Financial Management. PT Penerbit IPB Press. Bogor.
47. Sugiarti. (2015). “Pengaruh Kinerja Keuangan Perusahaan terhadap Return Saham (Studi pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia)”. Jurnal Aplikasi Manajemen (JAM), Vol 13 No 2, 2015 Indexed in Accredited Google Scholar SK DIRJEN DIKTI NO. 66b/DIKTI/KEP/2011 ISSN: 1693-5241.
48. Sugiyono. (2012). Metode Penelitian Kuantitatif Kualitatif dan R&D. Alfabeta. Bandung.
49. Sugiyono. (2017). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Cetakan Ke-26. Alfabeta. Bandung.
50. Sutrisno. (2012). Manajemen Keuangan Teori, Konsep dan Aplikasi. 8th ed. Ekonisia. Yogyakarta.
51. Tri Laksita Asmi. (2014). “Current Ratio, Debt To Equity Ratio, Total Asset Turnover, Return On Asset, Price To Book Value Sebagai Faktor Penentu Return Saham”. Management Analysis Journal, Vol.3, No.2. hal 1-12.
52. Umrotul (2016). Kegagalan Perusahaan dan Reorganisasi. Jakarta
53. Ursula Tamuntuan. (2015). “Analysing The Effect of Return On Equity, Return On Assets and Earnings Per Share Toward Share Price: An Emperical Study Of Food and Beverage Companies Listed On Indonesia Stock Exchange”. Jurnal Berkala Ilmiah Efisiensi, Vol. 15, No. 5, hal 446-457.
54. Widya. (2015). “The Effect of Internal and External Factors on Stock Return: Empirical Evidence from the Indonesian Construction Subsector”. Asian Journal of Business and Management, Vol. 03, Issue 05, October 2015, ISSN: 2321 - 2802.
55. Yuliya Wingsih. (2013). “Analisis Pengaruh Likuiditas, Profitabilitas dan Solvabilitas Terhadap Return Saham Pada Perusahaan Pertambangan Yang Terdaftar Di Bursa Efek Indonesia Pada Tahun 2008-2012”. Jurnal Manajemen.
56. Zadeh and Radmanesh. (2014). “Fundamental and Stock Return in Pharmaeuticao Companies: a Panel Data Model of Iranian Industry”. Iranan Journal of Pharmaceutical Sciences, 2013: 9 (1): 5560.
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2020-09-23
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