scholarly journals The Determinants of Stock Price Volatility in Indonesia

2020 ◽  
Vol 3 (1) ◽  
pp. 73
Author(s):  
Bambang Sutrisno
Keyword(s):  
Exchange Rate ◽  
Firm Size ◽  
Stock Price ◽  
Trading Volume ◽  
Negative Impact ◽  
Price Volatility ◽  
Sampling Technique ◽  
Annual Data ◽  
Stock Price Volatility ◽  
Significant Negative Impact

Volatility is a statistical measure of stock price fluctuation. This study aims to investigate the effect of trading volume, firm size, inflation, and exchange rate on stock price volatility of the companies included in the Jakarta Islamic Index (JII) from 2014 to 2018. By using a purposive sampling technique, the research sample is sixteen companies. This research employs panel regression with annual data. This study reveals that trading volume has a significant positive effect on stock price volatility. Firm size has a significant negative impact on stock price volatility. Meanwhile, the inflation and exchange rate do not affect stock price volatility.

scholarly journals Pengaruh Devidend Payout Ratio, Devidend Yield, Ukuran Perusahaan, Volume Perdagangan, Nilai Tukar, Inflasi, dan Tingkat Suku Bunga Terhadap Volatilitas Harga Saham Pada Perusahaan Manufaktur Yang Tercatat Di Bursa Efek Indonesia Tahun 2012-2016

2019 ◽  
Vol 2 (1) ◽  
pp. 73-82
Author(s):  
Syarifah Nur Azura ◽  
Myrna Sofia ◽  
Nurhasanah Nurhasanah ◽  
Firmansyah Kusasi
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Price Volatility ◽  
Sampling Technique ◽  
Company Size ◽  
Manufacturing Companies ◽  
Stock Price Volatility

The aims of this study is to look at the effect of Devidend Payout Ratio, Devidend Yield, Company Size, Trading Volume, Exchange Rate, Inflation, Interest Rate Against Stock Price Volatility. With a purposive sampling technique, this study took 7 companies as samples of 153 manufacturing companies listed on the Indonesia Stock Exchange in 2012-2016. Data analysis was performed using Multiple Regression. The results of the study show that the Devidend Payout Ratio has an effect on Stock Price Volatility, while the Devidend Yield, Company Size, Trading Volume, Exchange Rate, Inflation and Interest Rate do not affect the Stock Price Volatility. While simultaneously all the independent variables tested showed a significant effect on Stock Price Volatility in Manufacturing companies listed on the Indonesia Stock Exchange in 2012-2016.

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 Pengaruh Volume Perdagangan Saham, Volatilitas Laba, Dividend Yield, dan Ukuran Perusahaan Pada Volatilitas Harga Saham

2018 ◽  
pp. 2148
Author(s):  
Ni Wayan Sekar Andiani ◽  
Gayatri Gayatri
Keyword(s):  
Firm Size ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Dividend Yield ◽  
Stock Trading ◽  
Stock Price Volatility

This study aims to obtain empirical evidence on the effect of stock trading volume, earning volatility, dividend yield, and firm size on stock price volatility. This research was conducted on companies listed in index LQ 45 in Indonesia Stock Exchange 2012 until 2016. This research took the population of 45 companies with the number of samples of 21 companies selected through purposive sampling, so the number of samples observation for 5 years to 105 companies. The analysis technique in this research is multiple linear regression analysis. Based on the analysis results found that the stock trading volume does not affect the stock price volatility. Earning volatility has a negative effect on stock price volatility. This shows the higher volatility of profits owned by the company tends to reduce the interest of investors to invest or can reduce the volatility of stock prices. Dividend yield has a positive effect on stock price volatility. Which means that the higher dividend rate can affect the high investor interest to invest in the capital market, causing a stock price reaction. The firm size has a negative affects on stock price volatility. This proves the greater the size of the company indicates a stable corporate condition and able to reduce the volatility of stock prices. Keywords: Stock Trading Volume, Earning Volatility, Dividend Yield, Firm Size, Stock Price Volatility.

scholarly journals PENGARUH KEBIJAKAN DIVIDEN, LEVERAGE, DAN UKURAN PERUSAHAAN TERHADAP VOLATILITAS HARGA SAHAM

2019 ◽  
Vol 8 (10) ◽  
pp. 5887
Author(s):  
Ni Luh Putu Sintya Marini ◽  
Sayu Ketut Sutrisna Dewi
Keyword(s):  
Firm Size ◽  
Stock Price ◽  
Dividend Policy ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Price Volatility ◽  
Stock Price Volatility ◽  
Natural Logarithm ◽  
The Impact

Stock price volatility reflects the fluctuations on stock price movements and the level of risk faced by investors. This research examines the impact of dividend policy, leverage, and firm size on stock price volatility. The research variables were measured by dividend payout ratio, debt to equity ratio, and natural logarithm of total assets. This research was conducted on 19 samples of property, real estate, and construction sector companies listed in Indonesia Stock Exchange (IDX) that distributed consecutive dividends during 2013-2017. Multiple linear regression used as the analysis technique. The analysis result shows that simultaneously dividend policy, leverage, and firm size influence stock price volatility. Partially dividend policy and firm size has negative impact on stock price volatility while leverage has positive impact on stock price volatility. Keywords : dividend, leverage, firm size, volatility

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 PENGARUH NILAI TUKAR, INFLASI, VOLUME PERDAGANGAN, DAN DIVIDEND PAYOUT RATIO TERHADAP SHARE PRICE VOLATILITY PADA PERUSAHAAN YANG TERDAFTAR DALAM INDEKS KOMPAS100 TAHUN 2014 – 2018

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Mastura Mastura
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Trading Volume ◽  
Random Effect ◽  
Random Effect Model ◽  
Price Volatility ◽  
Sampling Technique ◽  
Share Price ◽  
Dividend Payout ◽  
Effect Model

This research aims to analyze partial and simultaneous influence between exchange rate, inflation, trading volume, and dividend payout ratio to share price volatility in Kompas100 index. This research uses 23 companies listed in Kompas100 index as a research sample during the period of 2014 to 2018, where sampling uses purposive sampling technique. In order to analyze, and test each research hypotheses, the technique used is panel data regression using the random effect model. The results of data analysis show that partially, the excgange rate, inflation, and trading volume have a positive and significant effect to share price volatility while the dividend payout ratio has a negative and significant effect to share price volatility. the results of data analysis show simultaneously, the exchange rate, inflation, trading volume, and dividend payout ratio have significant influence to share price volatility. The amount of testing the coefficient of determinastion (adjusted R square) is 0.416174, indicating that dependen variable which is share price volatility can be explained by independent variables those are exchange rate, inflation, trading volume, and dividend payout ratio was 41.6%, while 58.4% can be explained by the other variables outside the models     

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