scholarly journals Firm-specific, macroeconomic factors and stock price risk for Jordanian banks

2021 ◽  
Vol 16 (3) ◽  
pp. 166-172
Author(s):  
Wasfi Al Salamat ◽  
◽  
Mohammad Q. M. Momani ◽  
Khaled Batayneh ◽  
◽  
...  
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Price Volatility ◽  
Ordinary Least Squares ◽  
Macroeconomic Factors ◽  
Stock Price Volatility ◽  
Price Fluctuations ◽  
Price Earnings Ratio ◽  
Conventional Banks ◽  
Macroeconomic Determinants

Internal (firm-specific) and external (macroeconomic) determinants of stock price fluctuations are vital for investors seeking to invest their money in a firm’s stocks. Thus, the main aim of this study is to explore macroeconomic and firm-specific factors that influence stock price fluctuations for all conventional banks in Jordan in 2010–2019. Ordinary least squares multiple regression (panel data) is applied for data analysis. The results report that trading volume (TV), dividend yield (DY), and Gross Domestic Product (GDP) have a positive effect on stock price volatility, while stock price volatility is statistically negatively affected by return on assets (ROA), dividend payout ratio (DPR), and price-earnings ratio (PE). On the other hand, money supply (MS) does not affect stock price volatility. Paying more dividends can reduce stock risk and, in turn, reduce stock price volatility. The findings can benefit current and potential investors, firm managers, brokers, dealers, portfolio managers, regulatory bodies, policy makers, and researchers.

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

scholarly journals Interaction between Industrial Policy and Stock Price Volatility：Evidence from China’s Power Market Reform

2018 ◽  
Author(s):  
Ye Fan ◽  
Zhicheng Zhang ◽  
Xiaoli Zhao ◽  
Haitao Yin
Keyword(s):  
Industrial Policy ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Power Market ◽  
Green Energy ◽  
Market Reform ◽  
Stock Price Volatility ◽  
Price Fluctuations ◽  
The Impact

China combines green energy and industrial policy in its power market reform with various policy initiatives, including price support scheme for electricity from renewable sources and subsidies in the push for broader use of greener energy. This study focuses on the impacts of power market reform on the stock price volatility of listed power companies: 1) we use the Iterative Cumulative Sums of Squares (ICSS) algorithm to identify structural break points in stock prices; 2) we analyze the characteristics of stock price volatility based on the GARCH model; 3) we report the impact of power regulation on stock price fluctuations based on the Autoregressive Distributed Lag (ARDL) model. The result suggests three structural breaks in China’s power stock price volatility were related to the promulgation of power market reform policies. We find that industrial policies promote the reduction of power stock price fluctuations and its impact on power stock price volatility is consistent in the long run. However, our study also indicates the recent policies related to renewable energy do not have a very significant impact on the power stock market.

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 THE EFFECT OF COMPANY CHARACTERISTICS TOWARDS CARBON EMISSION DISCLOSURE AND ITS IMPACT ON ECONOMIC CONSEQUENCES IN NON-FINANCIAL REGISTERED COMPANIES IN INDONESIA, MALAYSIA, THAILAND AND THE PHILIPPINES PERIOD FOR 2008-2017

2021 ◽  
Vol 3 (1) ◽  
pp. 16-37
Author(s):  
Gatot Nazir Ahmad ◽  
Roh Ajiasri ◽  
Ari Warokka
Keyword(s):  
Carbon Emissions ◽  
Stock Price ◽  
Trading Volume ◽  
Price Volatility ◽  
The Philippines ◽  
Economic Consequences ◽  
Stock Price Volatility ◽  
Bid Ask Spread ◽  
The Impact ◽  
Positive Effect

This research was conducted to know the company's characteristics, the determining factors for the disclosure of carbon emissions, and the impact of the disclosure of carbon emissions on economic consequences. The financial result in this study is the decision-making behavior of businesses, governments, and creditors as a result of accounting reporting, in this case, environmental disclosures contained in annual reports and sustainable reports. This study's sample amounted to 45 companies registered in Indonesia, Malaysia, Thailand, and the Philippines, with an observation period of 2008 to 2017. To measure the disclosure of carbon emissions by creating a checklist based on information from the CDP. Company characteristics are proxied by profitability, leverage, size, and sales growth, while economic consequences are proxied by the bid-ask spread, trading volume, and stock price volatility. The analytical method used in this study is the Partial Least Square (PLS) method using the WARP PLS version 5.0 application. From the test results, it was found that Profitability and Size had a positive effect on disclosure of carbon emissions, growth sales had a negative effect, and leverage had no effect. Meanwhile, the impact of disclosing carbon emissions on the bid-ask spread, trading volume, and stock price volatility has a positive effect.

scholarly journals DETERMINE OF STOCK PRICE VOLATILITY ON MINING COMPANIES ON THE INDONESIA STOCK EXCHANGE

2021 ◽  
Vol 1 (2) ◽  
pp. 213-224
Author(s):  
Nurhasanah Nurhasanah ◽  
Husaini Husaini ◽  
Arliansyah Arliansyah ◽  
Johanda Syahputra
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Price Volatility ◽  
Analysis Method ◽  
Stock Price Volatility ◽  
Share Prices ◽  
Mining Companies

The purpose of this study was to determine the effect of dividend policy, earning volatility, trading volume, exchange rates and interest rates on the volatility of stock prices in mining companies on the Indonesia Stock Exchange. The population studied in this study were all mining companies which were mining companies for the 2016-2019 period totaling 51. The sampling technique inthis study used a positive sampling method. The samples in this study were as many as 14 mining companies with the 2016-2019 observation year. The data analysis method used in this study is thepanel data regression analysis method. Dividend policy has a positive but insignificant effect on stock price volatility in mining companies on the Indonesia Stock Exchange. Profit volatility has a positive but insignificant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange. Trading volume has a positive and significant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange. Exchange rates have a positive and significant effect on stock price volatility in mining companies on the Indonesia Stock Exchange. Interest rates have a positive and significant effect on the volatility of share prices in mining companies on the Indonesia Stock Exchange.

scholarly journals VOLATILITAS HARGA SAHAM PADA SEKTOR PERTANIAN DI INDONESIA

2021 ◽  
Vol 9 (1) ◽  
Author(s):  
Dhistianti Mei Rahmawantari
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Price Volatility ◽  
Profit Margin ◽  
Stock Price Volatility ◽  
Return On Equity ◽  
Book Value ◽  
Analysis Technique ◽  
Net Profit

<em>This study aimed to analyze the influence of trading volume, dividend yield, debt to equity ratio and interest rate to stock price volatility companies listed on the Indonesia Stock Exchange in the period of year 2017-2019. The populations of this study are all agriculture companies listed in Indonesia Stock Exchange (IDX) in the period of year 2017 to 2019.  It obtained only seven companies samples from total population with technique purposive sampling method. The data analysis technique used is smartPLS software. The results showed that the volatility of the stock price can by earning per share, net profit margin, price to book value, price earning ratio, return on equity, and trading volum,. Net profit margin, price to book value and trading volume have significant effect on stock price volatility while the rest of variables stated otherwise.</em>

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