scholarly journals FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX

2021 ◽  
Vol 8 (6) ◽  
pp. 706
Author(s):  
Nurul Hidayati ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Dividend Policy ◽  
Price Volatility ◽  
Share Price ◽  
Company Size ◽  
Stock Price Volatility ◽  
Dividend Payout ◽  
Earnings Volatility ◽  
Panel Data Regression

ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif memiliki pengaruh yang signifikan, ukuran perusahaan secara negatif memiliki pengaruh signifikan, dan tingkat hutang tidak memiliki pengaruh signifikan terhadap volatilitas harga saham. Secara simultan, variabel dividend payout ratio, volume perdagangan, ukuran perusahaan, volatilitas laba, dan tingkat hutang signifikan berpengaruh terhadap volatilitas harga saham. Kata Kunci: Volatilitas harga saham, emiten syariah, regresi data panel. ABSTRACTThe purpose of this study is to examine the effect of dividend policy, trading volume, earnings volatility, company size and level of debt on stock price volatility in issuers listed in JII from 2015 to 2019. The benefits of this research are in the existence of global financial markets because it can measure the level of risk. This research is assisted by the analysis tool Eviews 10. Panel data regression. selected in this study. The results showed that partially the dividend payout ratio, trading volume and earnings volatility had a positive and significant effect, company size had a negative and significant effect, and the level of debt had no significant effect on stock price volatility. Simultaneously, the variable dividend payout ratio, trading volume, company size, earnings volatility, and level of debt have a significant effect on stock price volatility. Keywords: Stock price volatility, sharia company, panel data regression. DAFTAR PUSTAKABawono, A., & Shina, A. F. I. (2018). Ekonometrika terapan untuk ekonomi dan bisnis Islam aplikasi dengan Eviews. Salatiga: Lembaga Penelitian dan Pengabdian kepada Masyarakat (LP2M) IAIN Salatiga Press.Brigham, E. F., & Houston, J. F. (2011). Dasar-dasar manajemen keuangan, buku kedua. Jakarta: Salemba Empat.Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451Dewi, 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(3), 761–771.Fakhruddin, H. M. (2008). Istilah pasar modal A-Z. Jakarta: Elex Media Komputindo.Gumanti, T. A. (2013). Kebijakan Dividen (Pertama). UPP STIM YKPN.Jahfer, A., & Mulafara, A. H. (2016). Dividend policy and share price volatility: Evidence from Colombo stock market. Internaltional Journal Managerial and Financial Accounting, 8(2), 97–108. DOI:10.1504/IJMFA.2016.077947Jannah, 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.Mehmood, A., Ullah, M. H., & Ul Sabeeh, N. (2019). Determinants of stock price volatility: Evidence from cement industry. Accounting, 5(4), 145–152. https://doi.org/10.5267/j.ac.2019.2.002Muhamad. (2016). Manajemen keuangan syari’ah analisis fiqh & keuangan. Yogyakarta: UPP STIM YKPN.Novius, A. (2017). Analisis pengaruh kebijakan deviden ( Dividen payout ratio dan devidend yield) terhadap volatilitas harga saham (Studi empiris pada perusahaan kelompok LQ45 yang terdaftar di BEI). Jurnal Al-Iqtishad, 13(1), 67. https://doi.org/10.24014/jiq.v13i1.4389Rowena, J., & Hendra. (2017). Earnings volatility, kebijakan dividen, dan pertumbuhan asset berpengaruh terhadap volatilitas harga saham pada perusahaan manufaktur di BEI periode 2013 – 2015. Jurnal Administrasi Kantor, 5(2), 231–242.Sarmanu. (2017). Dasar metodologi penelitian. Surabaya: Airlangga University Press.Septyadi, M. A., & Bwarleling, T. H. (2020). Pengaruh volume perdagangan saham, leverage, dan kebijakan dividen terhadap volatilitas harga saham, 2, 149–162.Shah, S. A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: Empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461–472.Spence. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://doi.org/10.2307/1882010Tandelilin, E. (2010). Manajemen portofolio dan investasi. Surabaya: Kanisius.Yulinda, E., Pujiastuti, T., & Haryono, S. (2020). Analisis pengaruh dividend payout ratio, leverage, firm size, volume perdagangan, earning volatility, dan inflasi terhadap volatilitas harga saham pada perusahaan yang terdaftar dalam indeks LQ45 tahun 2014-2017. Jurnal Ilmiah Indonesia Ilmiah Indonesia, 5(5), 76. DOI:10.36418/syntax-literate.v5i5.1106Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250

Effect of Dividend Policy on Stock Price Volatility in Nigeria Stock Exchange

2019 ◽  
Vol 9 (2) ◽  
pp. 219
Author(s):  
Felix Ebun Araoye ◽  
Akinola Michael Aruwaji ◽  
Emmanuel OlusuyiAjayi
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Positive Impact ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Price Volatility ◽  
Share Price ◽  
Dividend Payout ◽  
Share Prices ◽  
Duration Effect

This paper seeks to determine the effect of dividend policy and dividend payment on share price volatility in Nigeria. Several literatures have showed evidence that dividend policy vary inversely proportional with share price volatility with duration effect. The study used data from the actively trading companies listed in the Nigeria Securities Exchange for a period of ten (10) years from 2005–2014. The estimation is based on panel data analysis between dividend policy measures (dividend payout, dividend per share, earnings after tax, dividend declared and number of share) and Share price volatility. The findings from the random effects regression results showed dividend per share is the major determinants of share price volatility in NSE (β = 0.6870, ρ<0.05). Dividend payout ratio negatively affect share price volatility (β =0.612, ρ>0.05) and earnings after tax negatively affect share price volatility (β =0.038, ρ>0.05).Thus, the higher the payout ratio the less the share price volatility, and the higher the earnings after tax lower the share price volatility. In conclusion, dividend per share has positive effect and inclusive relationship with market share prices. It is recommended that firms should try and improve on their financial performance that will enable consistent increase in the dividend per share for positive impact on market value.

Dividend policy and stock price volatility of industrial products firms in Malaysia

2018 ◽  
Vol 13 (1) ◽  
pp. 203-217 ◽  
Author(s):  
Rozaimah Zainudin ◽  
Nurul Shahnaz Mahdzan ◽  
Chee Hong Yet
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Price Volatility ◽  
Industrial Products ◽  
Stock Price Volatility ◽  
Dividend Payout ◽  
Content Type ◽  
Crisis Period ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to analyse the relationship between stock price volatility (SPV) and dividend policy of industrial products firms listed on Bursa Malaysia. Design/methodology/approach The sample comprises 166 industrial products public-listed firms covering a time span from year 2003 to 2012. Using Baskin’s framework, firm’s SPV is related to dividend payout, controlling for earnings volatility, firm size, leverage and growth of assets. Further, the impact of the global financial crisis on the relationship between SPV and the tested variables is examined. Findings Earning volatility significantly explains SPV of industrial product firms during the crisis period, while dividend payout ratio (PR) predominantly influences volatility during pre- and post-crisis sub-periods. The empirical results indicate that dividend policy is a strong predictor of SPV of industrial products firms in Malaysia, particularly during the post-crisis period. Originality/value The paper explores the firm’s SPV and dividend policy for a new set of data focussing on industrial products firms listed on the Malaysian Stock Exchange.

scholarly journals FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45

2020 ◽  
Vol 2 (1) ◽  
pp. 43-54
Author(s):  
Sabna Ainazah Fatikhah ◽  
Siti Puryandani
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Multiple Linear Regression Analysis ◽  
Company Size ◽  
Stock Price Volatility ◽  
Company Stock ◽  
Bid Ask Spread

Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of company size, stock prices, stock price volatility and trading volume on the bid-ask spread of companies listed in the LQ45 index in the period 2015 to 2018. A total of 14 companies were taken as a purposive sampling sample in order to obtain 56 observational data. The analytical method used in this study is the method of multiple linear regression analysis. The results showed that stock prices and stock price volatility affect the bid-ask spread. While company size and trading volume do not affect bid-ask spread. Investors can consider the size of the company, stock prices, stock price volatility, and trading volume to avoid high spreads and get profit in the future.

scholarly journals Pengaruh Volume Perdagangan Saham, Leverage, dan Kebijakan Dividen Terhadap Volatilitas Harga Saham

2020 ◽  
Vol 2 (3) ◽  
pp. 149-162
Author(s):  
Mario Ascaryo Septyadi ◽  
Theresia Hesti Bwarleling
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Secondary Data ◽  
Sampling Technique ◽  
Stock Trading ◽  
Stock Price Volatility

This study aims to determine the influence of Stock Trading Volume, Leverage, and Dividend Policy both simultaneously and partially from LQ45 Index companies listed on the Indonesia Stock Exchange in 2016-2018. The analysis technique used is multiple linear regression analysis using the IBM SPSS 26 program. This type of research is a quantitative study using secondary data, there are 18 companies as a sample of research data collected by purposive sampling technique. The dependent variable in this study is Stock Price Volatility, while the independent variables are Stock Trading Volume, Leverage, and Dividend Policy. The results showed that partially Stock Trading Volume has a positive and significant effect on Stock Price Volatility. Leverage and Dividend Policy have no significant effect on Stock Price Volatility. It is expected that the results of this study can be taken into consideration for investors to choose the right type of investment based on the level of stock price volatility that is influenced by various factors, especially stock trading volume..

scholarly journals Influence of dividend policy on sharia stock price volatility

2020 ◽  
Vol 9 (7) ◽  
pp. 84-92
Author(s):  
Irton Irton
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Price Volatility ◽  
Secondary Data ◽  
Stock Index ◽  
Dividend Yield ◽  
Stock Price Volatility ◽  
Dividend Payout

The main object of this research is to examine whether dividend policy in the form of dividend payout ratio and dividend yield influences the volatility of sharia stock price in the Indonesian Stock Exchange. This research uses the quantitative method by using the secondary data collected from the published Indonesian Stock Exchange. The sample in this research is 106 companies registered in the Indonesian Sharia Stock Index (ISSI) in 2016-2018. The dependent variable in this research is stock price volatility while the independent variables are dividend payout ratio, dividend yield, and data of earnings volatility, debt, and size that are collected and processed from the company financial report. Multiplied regression analysis is used for correlation test and hypothesis test using the SPSS software program version 15.0. The result of the research shows a shred of evidence that dividend per share and dividend payout ratio have no influence on the stock price volatility. The result of research can help the investors to select the sharia shares, and for companies, this research is useful to determine the dividend policy

scholarly journals Pengaruh Dividend Yield dan Earning Volatility terhadap Volativitas Harga Saham di Bursa Efek Jakarta

2012 ◽  
Vol 3 (2) ◽  
pp. 665
Author(s):  
Rani Ramdhani
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Price Volatility ◽  
Capital Gain ◽  
Dividend Yield ◽  
Stock Price Volatility ◽  
Earnings Volatility ◽  
Information Signal ◽  
The Future

Some investors prefer dividend yield than capital gain, information signal follows to dividend policy that describes the earnings volatility in the future, which affects the stock price volatility on the Jakarta Stock Exchange.

scholarly journals KEBIJAKAN DIVIDEN DAN VOLATILITAS HARGA SAHAM DI BURSA EFEK INDONESIA

2019 ◽  
Vol 7 (1) ◽  
pp. 01
Author(s):  
Sutandijo Sutandijo
Keyword(s):  
Firm Size ◽  
Significant Influence ◽  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Price Volatility ◽  
Stock Price Volatility ◽  
Earnings Volatility ◽  
Independent Variables ◽  
Asset Growth

This studyobjectiveistoexplorethe impact of dividendpolicy(that are dividendpayout ratioanddividendyield) on the investment risks reflected by thestock price volatilityforthe Indonesia capitalmarket (IDX). Following tothestudyofBaskin(1989),the multiple leastsquaresregressionmodelisused inthispaper. Also, following Baskin (1989), other four independent variables namely firm size, asset growth, leverage and earnings volatility added to the model. The sample of data is comprisedof64public firms in the Kompas100 Index for 5 consecutive yearsfrom 2012 to 2016 of whicharelistedonthe Indonesia Stock Exchange (IDX).Theresultsindicatethatthedividendyield andthe dividend payout ratio do not have significant influence to the stock pricevolatility  In addition, firm size isnegatively relatedtothestockpricevolatility andithasastatistically significantrelationship. The result also indicate earnings volatility positively  has influence to the stock price volatility. But, as for leverage and asset growth the results are not statistically significant. As for a conclusion, the dividend policy of the firms listed in Indonesia Stock Exchange (IDX) is not effective to influencethestocks’risksoraffect investors’investment decisions. It seems that that firms needs a more stable and consistent dividend policy to effectively influence the stock price volatility in  Indonesia Stock Exchange (IDX).

scholarly journals Analisis Leverage, Firm Size, Deviden Payout terhadap Stock Price Volatility Pada Perusahaan LQ45 di BEI Tahun 2015-2019

2021 ◽  
Vol 12 (1) ◽  
pp. 113
Author(s):  
Arna Suryani
Keyword(s):  
Firm Size ◽  
Stock Price ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Company Size ◽  
Analysis Tool ◽  
Positive Contribution ◽  
Stock Price Volatility ◽  
Dividend Payout

This study examines and analyzes the effect of Leverage, Firm Size, Dividend Payout on Stock Price Volatility. This research was conducted on companies listed in the LQ45 index on the Indonesia Stock Exchange in 2015-2019. The sample was selected based on purposive sampling so that 27 sample companies were selected. Multiple linear regression analysis tool with classical assumption test and hypothesis testing. The results based on the analysis show that Leverage has a positive effect on Stock Price Volatility, while Company Size, Dividend Payout has a negative effect on Stock Price Volatility. This research can prove that the actions taken from the company's management can be seen from how the company should position the company's assets and liabilities as well as the distribution of dividends. This research is expected to make a positive contribution to all parties, especially investors in investing in the capital market while still paying attention to the level of leverage, company size and dividend payout ratio of the company to be invested.

scholarly journals The influence of CSR and corporate governance on the risk of share prices in banking in Indonesia

2020 ◽  
Vol 5 (02) ◽  
pp. 89
Author(s):  
Agnessa Britannia Paragina ◽  
Farah Margaretha Leon
Keyword(s):  
Corporate Governance ◽  
Social Responsibility ◽  
Multiple Regression ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Share Price ◽  
Price Risk ◽  
Company Size ◽  
Stock Price Volatility

Abstract: This research was conducted to determine whether social responsibility and corporate governance actually have a significant effect on the risk of the company's stock price. The independent variable in this study is social responsibility and corporate governance, while the dependent variable is the risk of stock prices. There are four control variables in this study, namely company size, return on equity (ROE), earnings per share (EPS), and stock price volatility. This study collects data from 26 banking companies listed on the Indonesia Stock Exchange over a period of 5 years (2014-2018) and uses a multiple regression model for testing. The findings of this study indicate that social responsibility, company size, ROE, EPS, and stock price volatility have no significant effect on stock price risk. Meanwhile, corporate governance has a significant positive effect on stock price risk. The results of this research can be used to present a successful model for banking companies in Indonesia to concentrate more on social responsibility and corporate governance in mitigating their share price risk. All studies have used NCSKEW and DUVOL as measures of share price risk. In the novelty of this study, the Coefficient of Variation is used to measure the dependent variable so that the measurement can be distinguished from previous studies. Keywords: Banking Industry, Corporate Social Responsibility, Corporate Governance, Multiple Regression, Stock Price Risk

scholarly journals A systematic review of dividend policy in relation to stock price volatility

2021 ◽  
Vol 6 (1) ◽  
pp. 92-104
Author(s):  
Sheena Bhatta ◽  
Bal Ram Duwal
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Price Volatility ◽  
Manufacturing Companies ◽  
Dividend Yield ◽  
Stock Price Volatility ◽  
Dividend Payout ◽  
The Impact

When it comes to determining a dividend policy that would maximize shareholder value, focusing merely on how much of the firm’s profit is necessary for dividend distribution and reinvestment is insufficient. It is critical to analyze the impact of their dividend choice on the stock price.The purpose of this study is to scrutinize the impact of dividend policy on stock price volatility. The report investigated the relationship between the dividend policy and stock price volatility taking 8 articles between 2010 to 2020. Likewise, following a systematic literature review method, the study critically analyzed the selected articles based on their strengths and weaknesses. The findings suggest that, in most of the cases demonstrated by authors, dividend policy has a significant negative relationship with the stock price volatility. The stock’s price volatility often decreases after the declaration of dividend payout ratio and dividend yield. Based on the results of this study, it can be implied that, managers of manufacturing companies and banks, those listed in the stock exchange, may be able to reduce the price volatility of their stock by increasing dividend payout and dividend yield. Since the study is limited to 4 databases, further studies could include some more articles from top-rated databases that signify dividend policy in diverse sectors to derive even more accurate results.

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