The analysis of factors that influence stock price volatility on pharmaceutical sub sectors listed on BEI (2010-2020 period)
Keywords:
Stock Price Volatility; Dividend Policy; Leverage; Trading Volume; Asset Growth
Abstract
Stock price volatility is an important factor that investors should look into doing investment activities, because the stock price volatiliy shows the company's risk. Stock prices volatility that are too high, that mean the company’s risk is also high. However, if stock price volatility is too low, often mean that the company's ability to make a profit is poor. There are many factors that can affect stock prices volatility, including Dividend Policy, Leverage, Trading Volume and Asset Growth. The sampling technique is purposeful. The data for this study consisted of listed pharmaceutical sub sectors during 11 years of observation and obtained a sample of 4 companies or 44 sample data. The analysis technique used is multiple linear regression and the test is performed with SPSS version 16. The result shows that Dividend Policy has a significant negative effect on the stock price volatility. While leverage (DPR), Trading Volume, and Asset Growth have no effect on stock price volatility.
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References
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Selpiana, K. R., & Badjra, I. B. (2018). Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, dan Firm Size terhadap Volatilitas Harga Saham. E-Jurnal Manajemen Universitas Udayana, 7(3), 1682. https://doi.org/10.24843/ejmunud.2018.v7.i03.p20
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Anastassia, & Firnanti, F. (2014). Faktor‐Faktor Yang Mempengaruhi Volatilitas Harga Saham Pada Perusahaan Publik Nonkeuangan. Jurnal Bisnis Dan Akuntansi, 16(2), 95–102. https://www.neliti.com/publications/321518/faktor-faktor-yang-mempengaruhi-volatilitas-harga-saham-pada-perusahaan-publik-n
Ardiansyah, I., Isbanah, Y., Manajemen, J., Ekonomi, F., & Surabaya, U. N. (2017). Analisis Pengaruh Deviden, Pertumbuhan Aset, Ukuran Perusahaan, Dan Leverage Terhadap Volatilitas Harga Saham. Jurnal Riset Akuntansi Dan Keuangan, 5(3), 1565–1574. https://doi.org/10.17509/jrak.v5i3.9227
Artikanaya, I. K. R., & Gayatri, G. (2020). Pengaruh Asset Growth, Leverage, dan Dividend Payout Ratio pada Volatilitas Harga Saham. E-Jurnal Akuntansi, 30(5), 1270. https://doi.org/10.24843/eja.2020.v30.i05.p16
Ayuda Rizkya Utami, P. (2021). Pengaruh Kebijakan dividen,Leverage,Earning Volatility,Dan Volume Perdagangan Terhadap Volatilitas Harga Saham Pada Perusahaan Sektor Finance Yang Terdaftar Di BEI Tahun 2014-2018. Jurnal Ilmu Manajemen, 9.
BKPM. (2020). Pentingnya Peran Investasi dalam Pertumbuhan Ekonomi Indonesia di Kala Pandemi. Investindonesia.Go.Id. https://www.investindonesia.go.id/id/artikel-investasi/detail/pentingnya-peran-investasi-dalam-pertumbuhan-ekonomi-indonesia-di-kala-pand
Chen, G. meng, Firth, M., & Rui, O. M. (2001). The dynamic relation between stock returns, trading volume, and volatility. Financial Review, 36(3), 153–174. https://doi.org/10.1111/j.1540-6288.2001.tb00024.x
Dewi, S., & Paramita, R. A. S. (2019). Pengaruh Kebijakan Dividen, Volume Perdagangan, Earning Volatility, Leverage, Dan Firm Size Terhadap Volatilitas Harga Saham Perusahaan Lq45. Jurnal Ilmu Manajemen, 7, 761–771.
Djaja, I. (2020). All about Corporate valuation (Edisi Revisi). Elex Media Komputindo. https://books.google.co.id/books?id=kgcHEAAAQBAJ
Gao, X., Ren, Y., & Umar, M. (2021). To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China. Economic Research-Ekonomska Istrazivanja , 0(0), 1–21. https://doi.org/10.1080/1331677X.2021.1906730
Ghozali, I. (2011). Aplikasi Analisis Multivariate Dengan Program IBM SPSS 19. Badan Penerbit Universitas Diponegoro.
Ghozali, I. (2013). Aplikasi Analisis Multivariate dengan Program IBM SPSS,. Badan Penerbit Universitas Diponegoro.
Guo, H. (2002). Stock Market Returns. Review, Federal Reserve Bank of St. Louis, 75–86.
Halling, M., Yu, J., & Zechner, J. (2020). How did COVID-19 affect firms’ access to public capital markets? Review of Corporate Finance Studies, 9(3), 501–533. https://doi.org/10.1093/rcfs/cfaa008
Harlina, V. R., & Khoiruddin, M. (2018). Dividend Policy and Economic Variable to Stock Price Volatility: Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4), 506–515. https://doi.org/10.15294/maj.v7i4.26867
Hayu Wikan Kinasih, R. H. R. (2021). Dampak Nilai Tukar Rupiah Terhadap Harga Saham Yang Dimoderasi Oleh Peningkatan Kasus Covid 19 Di Indonesia. Jurnal Akademi Akuntansi, 4(1), 50–55. https://doi.org/10.22219/jaa.v4i1.15557
Hery. (2017). Riset Akuntansi. Gramedia Widiasarana Indonesia. https://books.google.co.id/books?id=tsRGDwAAQBAJ
Hussainey, K., Oscar Mgbame, C., & Chijoke-Mgbame, A. M. (2011). Dividend policy and share price volatility: UK evidence. Journal of Risk Finance, 12(1), 57–68. https://doi.org/10.1108/15265941111100076
IDX. (2021). IDX Stock Index Handbook V1.2. IDX Stock Index Handbook V1.2, 52. https://www.idx.co.id/media/9816/idx-stock-index-handbook-v12-_-januari-2021.pdf
Indonesia, C. (2020). Corona Mewabah, Investor Bisa Lirik Saham Farmasi. Cnnindonesia.Com. https://www.cnnindonesia.com/ekonomi/20200415101117-92-493679/corona-mewabah-investor-bisa-lirik-saham-farmasi
Insiroh, L. (2014). Pengaruh Profitabilitas,Ukuran Perusahaan, Pertumbuhan Aset, Dan Struktur Aset Terhadap Struktur Modal. Jurnal Ilmu Manajemen (JIM), 2(3), 979–990.
Jahfer, A., & Mulafara, A. H. (2016). Dividend policy and share price volatility: Evidence from Colombo stock market. International Journal of Managerial and Financial Accounting, 8(2), 97–108. https://doi.org/10.1504/IJMFA.2016.077947
Jannah, R., & Haridhi, M. (2016). Pengaruh Kebijakan Dividen, Earning Volatility, Dan Leverage Terhadap Volatilitas Harga Saham Pada Perusahaan Non-Financing Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010-2014. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 1(1), 133–148.
Jefri, J., Siregar, E. S., & Kurnianti, D. (2020). Pengaruh ROE, BVPS, dan Volume Perdagangan Saham Terhadap Return Saham. Jurnal PROFIT Kajian Pendidikan Ekonomi Dan Ilmu Ekonomi, 7(2), 101–112. https://doi.org/10.36706/jp.v7i2.11875
Kasmir. (2012). Analisis Laporan Keuangan. PT Raja Grafindo Persada.
Kyröläinen, P. (2008). Day trading and stock price volatility. Journal of Economics and Finance, 32(1), 75–89. https://doi.org/10.1007/s12197-007-9006-2
Maulidah, S. (2012). Pengantar Manajemen Agribisnis. Universitas Brawijaya Press. https://www.google.co.id/books/edition/Pengantar_Manajemen_Agribisnis/WLljDwAAQBAJ?hl=id&gbpv=0
Mulyati, S. (2003). PERUBAHAN DIVIDEN TUNAI DAN DIVIDEND YIELD. Jurnal Siasat Bisnis, 2(8), 233–249.
Nur Indriantoro, B. S. (2018). Metodologi Penelitian Bisnis. ANDI.
Pranita, E. (2020). Diumumkan Awal Maret, Ahli: Virus Corona Masuk Indonesia dari Januari. Kompas.Com. https://www.kompas.com/sains/read/2020/05/11/130600623/diumumkan-awal-maret-ahli--virus-corona-masuk-indonesia-dari-januari
Pratama, A. (2021). Prediksi Saham Farmasi, Di tengah Proses Vaksinasi Covid 19. Idxchannel.Com. https://www.idxchannel.com/market-news/prediksi-saham-farmasi-di-tengah-proses-vaksinasi-covid-19
Purwanto, S. (2016). STATISTIKA:Untuk Ekonomi dan Keuangan Modern (Edisi 3). Salemba Empat.
Ramelli, S., & Wagner, A. F. (2020). Feverish stock price reactions to COVID-19. Review of Corporate Finance Studies, 9(3), 622–655. https://doi.org/10.1093/rcfs/cfaa012
Rori, A., Mangantar, M., & Maramis, J. B. (2021). Reaksi Pasar Modal Terhadap Pengumuman Pembatasan Sosial Berskala Besar (Psbb) Akibat Covid-19 Pada Industri Telekomunikasi Di Bei. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 9(1), 851–858. https://doi.org/10.35794/emba.v9i1.32620
Sawir, A. (2004). Kebijakan pendanaan dan kestrukturisasi perusahaan. Gramedia Pustaka Utama. https://books.google.co.id/books?id=y-cTv8LG-oAC
Selpiana, K. R., & Badjra, I. B. (2018). Pengaruh Kebijakan Dividen, Nilai Tukar, Leverage, dan Firm Size terhadap Volatilitas Harga Saham. E-Jurnal Manajemen Universitas Udayana, 7(3), 1682. https://doi.org/10.24843/ejmunud.2018.v7.i03.p20
Suganda, T. R. (2018). Teori dan Pembahasan Reaksi Pasar Modal Indonesia. Puntadewa. https://books.google.co.id/books?id=V3ANEAAAQBAJ
Sutandijo, S. (2019). Kebijakan Dividen Dan Volatilitas Harga Saham Di Bursa Efek Indonesia. Jurnal Ilmiah Akuntansi Universitas Pamulang, 7(1), 01. https://doi.org/10.32493/jiaup.v7i1.2279
Yasmin, P. (2020). Ini Arti Pandemi yang WHO Tetapkan untuk Virus Corona. DetikNews. https://news.detik.com/berita/d-4935658/ini-arti-pandemi-yang-who-tetapkan-untuk-virus-corona
Www.idx.co.id
finance.yahoo.com
