THE DETERMINANTS OF STOCK RETURN: THE CASE OF COMPANIES LISTED IN JAKARTA ISLAMIC INDEX DURING 2011 – 2015

Susi Riyantika, 1223203079 (2016) THE DETERMINANTS OF STOCK RETURN: THE CASE OF COMPANIES LISTED IN JAKARTA ISLAMIC INDEX DURING 2011 – 2015. Skripsi thesis, IAIN Purwokerto.

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Abstract

Most of investors invest on stock for anticipated future return, but those return rarely can be predicted precisely and also very volatile. Because of that, investors need to predict the fluctuations that would occur through analysis. Based on the previous research related to stock return, there are many factors affecting the behaviour of stock’s performance. The result show the difference results. From the previous research, the factors that affect the behaviour and stock’s performance can be grouped in two: internal factors and external factors. So the researcher is interested in delivering such research to capture the performance of islamic stocks which were listed in Jakarta Islamic index during 2011 – 2015. Internal factors represented by the condition and position of company which in this research assesed by liquidity ratio reflected by current ratio (CR), asset management ratio reflected by total asset turnover (TATO), debt management ratio reflected by debt to equity ratio (DER), profitability ratio reflected by return on equity (ROE), and market value ratio reflected by price to book value (PBV). Then, external factors represented by macro economics condition variables, which in this research are inflation and interest rate. This research is quantitative research method. The data were obtained from Indonesian Stock Exchange, the website of every samples company and Bank Indonesia’s website. Then the data were analyzed using multiple linier regression after the data were passing some classical assumptions tests. The result show that TATO, DER and PBV have significant influence on Jakarta Islamic Index stock return. While CR and ROE have no significant influence on Jakarta Islamic Index stock return. Then inflation has no significant influence on Jakarta Islamic Index stock return while interest rate has significant influence on Jakarta Islamic Index stock return. Furthermore, price to book value (PBV) reflecting the market value ratio has strongest influence on Jakarta Islamic Index stock return among other variables then followed by interest rate. Keyword: Jakarta Islamic Index, Stock Return, Fundamental Analysis, Financial Ratios, Macro Economics Condition, Multiple Linier Regression.

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