Fundamental and Macroeconomic Factors on Manufacturing Companies’ Stock Returns

Siska Gita Pratiwi; Robiyanto Robiyanto; Samuel Martono

doi:10.23887/ijssb.v5i1.29605

Authors

Siska Gita Pratiwi Universitas Kristen Satya Wacana
Robiyanto Robiyanto Universitas Kristen Satya Wacana http://orcid.org/0000-0003-3565-1594
Samuel Martono Universitas Kristen Satya Wacana

DOI:

https://doi.org/10.23887/ijssb.v5i1.29605

Keywords:

Fundamentals, Macroeconomic, Stock Returns, Manufacturing, Panel Regression

Abstract

Investments are made to obtain future benefits. Stocks are one of the most popular investments in the capital market. The advantage that can be obtained from the stock investment is stock returns, where the returns obtained can be positive or negative. This study aims to analyze the influence of fundamental and macroeconomic factors on stock returns of manufacturing companies listed on the Indonesia Stock Exchange from 2016 to 2019. This study used secondary data and the sample of this research was 37 manufacturing companies obtained through the purposive sampling method with panel regression as the data analysis. The results showed that the fundamental factors that affect stock returns are Price to Book Value (PBV), while the Debt to Equity Ratio (DER) and Price to Earnings Ratio (PER) do not affect manufacturing stock returns. Some macroeconomic factors such as inflation, the BI Rate, and changes in world oil prices proved to not affect the stock returns of manufacturing companies. This research implies that manufacturing companies need to pay attention to Price to Book Value (PBV) in determining stock returns.

References

Akhmadi, A., & Prasetyo, A. R. (2018). Profitabilitas, Rasio Solvabilitas Dan Harga Saham; Studi Empirik Pada Perusahaan Subsektor Batubara Yang Terdaftar Di Bursa Efek Indonesia Periode 2010-2014. Jurnal Riset Akuntansi Terpadu, 11(1), 61–71. https://doi.org/10.35448/jrat.v11i1.4217.

Almumani, M. A. (2014). Determinants of Equity Share Prices of the Listed Banks in Amman Stock Exchange: Quantitative approach. International Journal of Business and Social Science, 5(1), 91–104. http://www.ijbssnet.com/journals/Vol_5_No_1_January_2014/12.pdf.

Andes, S., Puspitaningtyas, Z., & Prakoso, A. (2017). Pengaruh Inflasi, Kurs Rupiah dan Suku Bunga terhadap Return Saham Perusahaan Manufaktur. Jurnal Akuntansi Keuangan Dan Bisnis, 10(2), 8–16. https://jurnal.pcr.ac.id/index.php/jakb/article/view/1409.

Basarda, R. F., Moeljadi, M., & Indrawati, N. K. (2018). Macro and Micro Determinants of Stock Return Companies in LQ-45 Index. Jurnal Keuangan Dan Perbankan, 22(2), 310–320. https://doi.org/10.26905/jkdp.v22i2.1439.

BI. (2019). Prompt Manufacturing Index. Bank Indonesia. https://www.bi.go.id/id/publikasi/survei/ Prompt-Manufacturing-Index/Default.aspx.

BI. (2020). BI 7-day (Reverse) Repo Rate. Bank Indonesia. https://www.bi.go.id/id/moneter/bi-7day-RR/penjelasan/Contents/Default.aspx.

Carlo, M. (2014). Pengaruh Return on Equity, Dividend Payout Ratio, Dan Price To Earnings Ratio Pada Return Saham. E-Jurnal Akuntansi, 7(1), 150–164. https://ojs.unud.ac.id/index.php/Akuntansi/article/view/8652.

Dewi, I. P. (2020). Pengaruh Inflasi, Kurs, dan Harga Minyak Dunia Terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Jurnal Ilmu Manajemen, 17(1), 10–19. https://journal.uny.ac.id/index.php/jim/article/view/34772/1432.

Dwita, V., & Rahmidani, R. (2012). Pengaruh Inflasi, Suku Bunga dan Nilai Tukar Terhadap Return Saham Sektor Restoran Hotel dan Pariwisata. Jurnal Kajian Manajemen Bisnis, 3(September), 1–47. https://doi.org/10.2403/jkmb.477000.

Ginting, S., & Erward. (2013). Analisis Faktor-Faktor yang Mempengaruhi Return Saham pada Perusahaan Manufaktur yang Terdaftar di Bursa Efek Indonesia. Jurnal Wira Ekonomi Mikroskil, 3(1), 31–40. https://www.mikroskil.ac.id/ejurnal/index.php/jwem/article/view/199.

Ika, D., & Listiorini. (2017). Analisis Faktor-Faktor Fundamental Yang Mempengaruhi Return Saham Perusahaan Yang Terdaftar Dalam Indeks LQ 45 Di Bursa Efek Indonesia Periode Tahun 2013-2015. Jurnal Akuntansi Dan Bisnis, 3(1), 1–14. https://doi.org/10.31289/jab.v3i1.421.

Iqbal, M., & Masbar, R. (2019). Pengaruh BI Rate, Inflasi, Nilai Tukar Rupiah dan Harga minyak terhadap Return Harga Saham Sub-Sektor Properti (Studi pada Bursa Efek Indonesia Periode 2014-2017). Jurnal Ilmiah Mahasiswa Ekonomi Pembangunan, 4(2), 67–77. http://www.jim.unsyiah.ac.id/EKP/article/view/12188.

Izza, Muhammad; Wulandari, P. P. (2019). Determinan Return Saham (Studi Pada Perusahaan Pertambangan Yang Terdaftar Di Bei Periode 2013-2015). Jurnal Ilmiah Mahasiswa FEB, 1, 1–476. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/4130/3645.

Janor, H., Rahim, R. A., Yaacob, M. H., & Ibrahim, I. (2010). Stock Returns and Inflation with Supply and Demand Shocks: Evidence from Malaysia. Jurnal Ekonomi Malaysia, 44(1), 3–10. https://www.ukm.my/fep/jem/pdf/2010-44/jeko_44-1.pdf.

Karim, A. (2015). Analisis Pengaruh Faktor Internal Dan Eksternal Terhadap Return Saham Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2010-2012. Media Ekonomi Dan Manajemen, 30(1), 41–55. https://doi.org/10.24856/mem.v30i1.233.

Kewal, S. S. (2012). Pengaruh Inflasi, Suku Bunga, Kurs, dan Pertumbuhan PDB Terhadap Indeks Harga Saham Gabungan. Jurnal Economia, 8(1), 53–64. https://doi.org/10.21831/economia.v8i1.801.

Khairi, M. S. (2012). Analisis Pengaruh Karakteristik Perusahaan Terhadap Return Saham Syariah yang Tergabung di Jakarta Islamic Index pada Periode 2008-2011. Jurnal Ilmiah Mahasiswa, 13(128), 234. https://jimfeb.ub.ac.id/index.php/jimfeb/article/view/336.

Kirui, E., Wawire, N. H. W., & Onono, P. O. (2014). Macroeconomic Variables, Volatility and Stock Market Returns: A Case of Nairobi Securities Exchange, Kenya. International Journal of Economics and Finance, 6(8), 214–228. https://doi.org/10.5539/ijef.v6n8p214.

Kurniadi, A., Achsani, N. A., & Sasongko, H. (2014). Kinerja Keuangan Berbasis Penciptaan Nilai, Faktor Makroekonomi, dan Return Saham Sektor Pertanian. Jurnal Manajemen Dan Kewirausahaan, 16(2), 141–152. https://doi.org/10.9744/jmk.16.2.141-152.

Kuwornu, J. K. M. (2012). Effect of macroeconomic variables on the ghanaian stock market returns: A co-integration analysis. Agris On-Line Papers in Economics and Informatics, 4(2), 15–26. https://doi.org/10.22004/ag.econ.131359.

Purwaningrat, P., & Suaryana, I. (2015). Pengaruh Perubahan Earning Per Share, Debt To Equity Ratio, Dan Ukuran Perusahaan Pada Return Saham. E-Jurnal Akuntansi, 10(2), 444–455. https://ojs.unud.ac.id/index.php/Akuntansi/article/view/10161.

Ramdoni, M., & Gantino, R. (2019). Analisis Rasio Keuangan dan Variabel Makro Terhadap Return Saham. Jurnal Akuntansi Dan Keuangan Kontemporer, 2(1), 29–42. http://jurnal.umsu.ac.id/index.php/JAKK/article/view/4351/3863.

Salim, K. (2018). Analisis Pengaruh Harga Minyak Dunia, Inflasi, Tingkat Suku Bunga SBI, Kurs Rupiah/US$ Terhadap Return Saham Sektor Pertambangan Yang Tercatat Di Bursa Efek Indonesia. Jurnal Ilmu Akuntansi Mulawarman, 4, 25. http://journal.feb.unmul.ac.id/index.php/JIAM/article/view/3287/717.

Saputri, S. A., Mardani, R. M., & Wahono, B. (2018). Pengaruh Price Book Value (PBV), Price Earning Ratio (PER), Return On Assets (ROA) Terhadap Return Saham. Jurnal Riset Manajemen, 133–149. http://riset.unisma.ac.id/index.php/jrm/article/view/6152.

Sari, L. A., & Hutagaol, Y. (2009). Debt to Equity Ratio, Degree of Operating Leverage Stock Beta and Stock Returns of Food and Beverages Companies on the Indonesian Stock Exchange. Binus Journal, 2(2), 368. https://journal.binus.ac.id/index.php/JAFA/article/view/149.

Satoto, S. H., & Budiwati, S. S. (2013). Pergerakan Harga Saham Akibat Perubahan Nilai Tukar, Inflasi, Tingkat Bunga, Dan Gross Domestic Product. Jurnal Keuangan Dan Perbankan, 17(3), 407–416. http://jurnal.unmer.ac.id/index.php/jkdp/article/view/759.

Sugiarto, A. (2011). Analisa Pengaruh Beta, Size Perusahaan, Der Dan Pbv Ratio Terhadap Return Saham. Jurnal Dinamika Akuntansi, 3(1), 8–14. https://doi.org/10.15294/jda.v3i1.1939.

Suselo, D., Djazuli, A., & Indrawati, N. K. (2015). Pengaruh Variabel Fundamental dan Makro Ekonomi Terhadap Harga Saham (Studi pada Perusahaan yang Masuk Dalam Indeks LQ45). Jurnal Aplikasi Manajemen (JAM), 13(1), 104–116. https://jurnaljam.ub.ac.id/index.php/jam/article/view/734.

Widyastuti, T., & Andamari, B. G. (2013). Faktor Fundamental, Suku Bunga dan Nilai Tukar Terhadap Return Saham. Jurnal Akuntansi Dan Auditing, 10(1), 13–28. https://doi.org/10.14710/jaa.10.1.13-28.

Wismantara, S. Y., & Darmayanti, N. P. A. (2017). Pengaruh Nilai Tukar, Suku Bunga dan Inflasi Terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 6(8), 4391–4421. https://ojs.unud.ac.id/index.php/Manajemen/article/view/31426/19606.

Yunita, & Robiyanto. (2018). The Influence of Inflation, BI Rate, and Exchange Rate Changes to The Financial Sector Stock Price Index. Jurnal Manajemen Dan Kewirausahaan, 20(2), 80–86. https://doi.org/10.9744/jmk.20.2.80.