THE DETERMINANTS OF STOCK RETURNS FOR NON-BANKING COMPANIES LISTED ON THE LQ-45 INDEX AND THE SRI-KEHATI INDEX ON THE INDONESIAN STOCK EXCHANGE 2019–2023
DOI:
https://doi.org/10.35794/jmbi.v11i3.61455Abstract
Investors rely on specific indicators to evaluate companies whose shares they intend to buy. These indicators typically include financial ratio analyses such as Profitability Ratios, specifically, Return on Assets (ROA) and Return on Equity (ROE). In addition to profitability, this study also considers the Liquidity Ratio, represented by the Current Ratio (CR), and the Solvency Ratio, represented by the Debt-to-Equity Ratio (DER), to assess a company's financial health. The research employs panel data regression analysis, combining time series and cross-sectional data, with stock returns as the dependent variable and the aforementioned financial ratios as independent variables. The selected independent variables, ROA, ROE, CR, and DER, are used to determine their influence on stock returns. The analysis shows that ROA, ROE, and DER have p-values greater than the 5% significance level, indicating they do not significantly affect stock returns. In contrast, CR has a p-value of 0.0008, which is below the 5% threshold, suggesting a statistically significant impact on stock returns.
References
Baltagi, B. H. (2021). Econometric Analysis of Panel Data. Germany: Springer International Publishing.
Baltagi, B. H. (2022). Econometrics. Germany: Springer International Publishing.
Belmonte, J. (2015). Buffett and Beyond: Uncovering the Secret Ratio for Superior Stock Selection. Germany: Wiley.
Blokdyk, G. (2020). Return On Assets A Complete Guide - 2020 Edition. (n.p.): Emereo Pty Limited.
Brooks, C. (2019). EViews Guide for Introductory Econometrics for Finance. (n.p.): Cambridge University Press.
Coulon, Y. (2019). Rational Investing with Ratios: Implementing Ratios with Enterprise Value and Behavioral Finance. Germany: Springer International Publishing.
Franklin, M., Graybeal, P., Cooper, D. (2019). Principles of Accounting Volume 1 - Financial Accounting. (n.p.): 12th Media Services.
Graham, J. R., Smart, S. B., Adam, C., Gunasingham, B. (2016). Introduction to Corporate Finance: Asia-Pacific Edition with Online Stud Y Tools 12 Months. Australia: Cengage Learning Australia.
Logue, A. (2016). Options Trading. United States: Alpha, a member of Penguin Random House LLC.
Mladjenovic, P. (2024). Stock Investing For Dummies. United States: Wiley.
Schultz, D. L. (2016). Beginning Investing: Explore the Risks and Rewards for Various Investment Options. United Kingdom: DK Publishing.
Shmatov, C., Castelli, C. R. (2022). Quantitative Methods for ESG Finance. United Kingdom: Wiley.
Strumeyer, G. (2017). The Capital Markets: Evolution of the Financial Ecosystem. Germany: Wiley.
Tille, Y. (2019). Sampling and Estimation from Finite Populations. United Kingdom: Wiley.
Tulung, J., & Ramdani, D. (2024). Political Connection and BPD Performance. International Research Journal of Business Studies, 16(3), 289-298. doi:http://dx.doi.org/10.21632/irjbs.16.3.289-298.
Umiyati, M., Budiartha, I. N. P., Saptomo, A., Verhezen, P., Idris, S. H., Soares, C. A., Lisdiyono, E., Santiago, F., Pratomo, E., Sudiro, A. (2023). Proceedings of the International Conference on “Changing of Law: Business Law, Local Wisdom and Tourism Industry” (ICCLB 2023). Germany: Atlantis Press SARL.
