This research was conducted to analyze the impact of selected fundamental factors on stock returns of Engineering and Construction Companies listed on the Indonesia Stock Exchange (IDX) using a quantitative approach. The research population includes all Engineering and Construction Companies listed on the IDX but 10 were selected as cross-section samples using a simple random sampling technique with criteria include being listed on the IDX and having time-series financial report data for 2015Q1 - 2019Q2 period. Data were retrieved from the companies’ audited financial statements and the independent variable which is stock return was determined using Panel Data and analyzed with Multiple Regressions. Meanwhile, the model specification test was produced using the Fixed Effect Model as the fit model. Findings. The results showed several fundamental factors of CR, NPM, PBV, EPS, and ROE partially has a significant positive effect on stock returns while DER has a significant negative effect and PER has a slightly positive influence. These findings are expected to contribute positively to the development of theories concerning the financial performance of stock returns. Moreover, the managerial implication of this research is that investors can use fundamentals analysis with a focus on CR, DER, EPS, NPM, PBV, PER, and ROE as the basis for decision making due to their influence on Stock Return.
Stock is one of the instruments that can be used to invest. The factors suspected of influencing the fluctuations in the stock price index are the Jakarta Composite Index (JCI), the rupiah exchange rate, and the Covid-19. The purpose of this study is to analyze the effect of the JCI, the rupiah exchange rate, and the Covid-19 on the Jatim Bank stock price index. To analyze the effect of the JCI, the rupiah exchange rate, and the Covid-19 on the Jatim Bank stock price index, time series regression analysis was used. The results of the analysis show that the JCI, the rupiah exchange rate, and the Covid-19 have a significant effect on the Jatim Bank stock price index. The p-value of the three variables is less than 0.05. The value of the determination coefficient is 65.56%, so that the diversity of the dependent variable that can be explained by the model is 65.56%.
Abstrak-Saham perbankan seringkali menjadi rekomendasi para analis saham karena dianggap sebagai cerminan ekonomi tanah air. Kapitalisasi pasarnya yang besar, yaitu mencapai 57,23% dari 10 emiten terbesar di BEI menjadi daya tarik investor saham untuk berinvestasi sesuai dengan tujuannya. Saham perusahaan perbankan yang tercatat pada Bursa Efek Indonesia sebanyak 45 perusahaan, beberapa di antaranya adalah PT Bank Central Asia Tbk, PT Bank Mandiri Tbk, dan Bank Rakyat Indonesia (Persero) Tbk. Ketiga bank tersebut memiliki total asset dengan rentang yang tidak terlalu jauh sehingga dapat dibandingkan untuk dijadikan rekomendasi kepada investor. Peramalan harga saham dapat diramalkan menggunakan metode multivariate time series dengan model VAR (Vector Autoregressive), sedangkan tren harga saham dapat diketahui dengan analisis teknikal. Model peramalan yang didapatkan untuk ketiga bank yaitu VARI ([1, 3],1) dengan hasil peramalan pada bulan April cenderung konstan. The primary trend ketiga saham cenderung uptrend, sedangkan the secondary trend dan the minor trend cenderung downtrend dan sideways.
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