scholarly journals Finding Size Factor and Value Factor in Indonesia Stock Exchange

2018 ◽  
Vol 14 (7) ◽  
pp. 63
Author(s):  
Yudhistirangga Yudhistirangga ◽  
Hermanto Siregar ◽  
Trias Andati
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Size Factor ◽  
Market Pricing ◽  
Book Value ◽  
Market Capitalization ◽  
Small Market ◽  
Gathering Data

This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.

scholarly journals EFFECT OF INFLATION, INTEREST RATE / BI RATE, AND RUPIAH EXCHANGE RATE ON INDONESIAN COMPOSITE INDEX (IDX) AT INDONESIAN STOCK EXCHANGE (ISE)

2018 ◽  
Vol 2 (01) ◽  
pp. 41
Author(s):  
Resista Vikaliana
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Capital Market ◽  
Stock Price ◽  
Structural Equation ◽  
Model Equation ◽  
Stock Exchange ◽  
Composite Index ◽  
Economic Resilience ◽  
Strategic Role

Capital market has a strategic role for strengthening the economic resilience of the country and as an alternative for profitable investment. Capital market has an important role in economics of the country due to the dual functions, economics function and finance. Capital market is a national driving force through its role as a source of financing for the company and alternative for investor to invest. In capital market, Indonesia important role as this index can be used as barometer on the economic health of the country. Macroeconomics factor is high inflation, interest rate, and depreciation of rupiah to dollar, could lower the stock price. The aim of this research is to study the effect of macro economy e.g. inflation, rupiah exchange rate, and interest rate on Indonesian Composite Index (IDX) at Indonesian Stock Exchange (ISE).Method of analysis is carried out using linear regression model equation. Data used in this study is secondary monthly data during the period of 2013-2016. Total number of 36 samples is used. The effect of inflation, interest rate / BI Rate and exchange rate to ISE on model equation is 41.61%. Correlation between variable inflation and interest rate / BI rate is 0.490 quite strong at the same direction. Correlation between inflation and exchange rate is -0,349 which is quite strong but not at the same direction. Correlation between interest rate and exchange rate is 1 which is very strong and at the same direction. From the calculation, calculated F < F table (1.825 < 8,92), which can be concluded that there is no linear correlation between inflation, interest rate / BI Rate and exchange rate to ISE. Structural equation is Y= -0.088 X1 -0.300 X2 + 0,165 X3 + Ɛ.

scholarly journals EFEKTIFITAS FREE FLOAT DALAM MENDONGKRAK LIKUIDITAS BURSA EFEK INDONESIA

2020 ◽  
Vol 10 (1) ◽  
pp. 127
Author(s):  
Deuis Fitriani ◽  
Syaiful Iqbal ◽  
Wuryan Andayani
Keyword(s):  
Firm Size ◽  
Capital Market ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Positive Influence ◽  
Market Liquidity ◽  
Control Variables ◽  
Book Value ◽  
Earnings Per Share

This study aims to investigate the effect of free float toward market liquidity of Indonesia Stock Exchange, as effectiveness evidence in the implementation of regulation Number: Kep-0001/BEI/01-2014. This study involves a number of control variables consist of stock price, firm size, stock return, price to book value, earnings per share, and price to earnings ratio. They have determined the market liquidity simultanuosly.  An analysis was carried out on the archival data sourced from idx.co.id which covering manufacturer companies that have been recorded in the period of 2014-2018. The result shows that free float has a positive influence to the liquidity of the Indonesia Stock Exchange (BEI). Free float’s contribution has been occured together with all of the control variables. This result confirms that information about free float is one thing that is taken into consideration in deciding capital market investment, and becomes empirical evidence of the effectiveness of the stated regulation above. Penelitian ini bertujuan untuk menginvestigasi pengaruh free float terhadap likuiditas pasar di Bursa Efek Indonesia, sebagai bukti efektifitas regulasi/peraturan Nomor: Kep-0001/BEI/01-2014. Penelitian ini melibatkan sejumlah variabel kendali yang secara bersama-sama menentukan likuiditas pasar, yaitu stock price, firm size, stock return, price to book value, earning per share, dan price to earnings ratio. Analisis dilakukan terhadap data arsif yang bersumber dari idx.co.id meliputi perusahaan manufaktur yang tercatat pada periode 2014-2018. Hasil penelitian menunjukkan bahwa free float mempunyai pengaruh positif terhadap likuiditas pasar Bursa Efek Indonesia (BEI). Kontribusi free float terjadi secara bersama-sama dengan seluruh variabel kendali. Hasil ini menegaskan bahwa informasi tentang free float merupakan satu hal yang menjadi pertimbangan dalam keputusan investasi pasar modal, dan sekaligus menjadi bukti empiris efektifitas regulasi tersebut di atas.

scholarly journals REAKSI HARGA SAHAM DI PASAR MODAL INDONESIA TERHADAP PERISTIWA TEROR BOM PERIODE 2002-2017

2018 ◽  
Vol 15 (2) ◽  
pp. 20
Author(s):  
Carissa Cindy Febiana ◽  
Noorlailie Soewarno
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Composite Index ◽  
Sampling Technique ◽  
Event Date ◽  
Stock Price Reaction ◽  
Bomb Explosion

This research aims to determine the reaction of stock prices in Indonesia stock ecxchange when event of terror bombs. This research use event study where observation to window period of abnormal return during 5 days before, event date, and 5 days after the event. The data was collected from the Indonesia stock exchange by using daily closing price of stock price and JCI (Jakarta Composite Index). The population are event of terror boms period 2002-2017. The sampling technique in this research used purposive sampling with the criterias are the largest number of victims and the availability of data.The statistic instrument test has been done by using paired sample t-test and SPSS 24rd program. The results show that there is the effect of bomb terrorism on stock price reaction in Indonesia stock exchange indicated by the differences of abnormal return. The influential incident that occurred during the bombing of Indonesia's history in Bomb Bali I at 2002, with the passage of time and the number of bombing events, investors have been sensitive to the occurrence of bomb explosion events against stock prices in the Indonesian capital market.

scholarly journals FAKTOR MAKRO EKONOMI DAN INDEKS HARGA SAHAM GABUNGAN

2017 ◽  
Vol 16 (1) ◽  
pp. 1
Author(s):  
Rohmad Fuad Armansyah
Keyword(s):  
Interest Rates ◽  
Money Supply ◽  
Capital Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Capital Market

ABSTRACTrequired in the economic development of a country. Indonesia’s capital markets that began operating government took steps to make the capital market as a distributor of funds and investments equivalentto bank and non-bank institutions. Stock price of the capital market are closely related to several factors, which may consist of a factor derived from the company’s internal and external. This study tried to examine the factors that affect stock price index focuses on macro economic factors. In this study the authors wanted to determine the effect of the money supply, interest rates on deposits, and dollar exchange rates simultaneously and partially on the Composite Index in Indonesian capital market. Besides that, the authors also wanted to know that among the factors mentioned above, there are some factors dominantly affecting the Composite Stock Price Index. The approach used in this study is quantitative approach, because the existing data in the form of numbers are arranged in a list. The analysis method used in this study is the method of statistical analysis by multiple linear regression using SPSS version 16. Population and sample used in this study are all companies listed on the Indonesian stock exchange by looking at the composite stock price index. The results of this study indicate that the interest rate of deposits, money supply, and the dollar exchange rate which  change and development of the Composite Stock Price Index and the money supply, are dominant Composite Stock Price Index.

scholarly journals Relevance of Intangible Asset, Equity Book, and Earning Value on Stock Price in Information Technology Era

2020 ◽  
Vol 3 (1) ◽  
pp. 135
Author(s):  
Filosofi Putri Aulia ◽  
Poppy Sofia Koeswayo ◽  
Djoemarma Bede
Keyword(s):  
Information Technology ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Intangible Assets ◽  
Stock Exchange ◽  
Financial Statements ◽  
Intangible Asset ◽  
Moderation Effect ◽  
Book Value

This study aims to provide an overview for issuers related to investors' behavior in using the values presented in financial statements in the information technology era, by measuring the moderation effect of intangible assets on the relevance of earnings and book value of equity on stock prices. It tested using a price multiple moderated regression model and LQ45 indexed issuers on the Indonesia Stock Exchange from 2012 to 2018 as a sample. The results of the study show that investors in the Indonesian capital market use the magnitude of profits and intangible assets as a material for consideration in making investment decisions, and no longer use book value of issuer's equity. They do not fully switch to using intangible assets as the creator of the main value of issuers but instead use them as one of the considerations in buying shares of an issuer. However, now investors use the value of intangible assets more dominant than using the value of profits.

scholarly journals KAUSALITAS EKONOMI MAKRO DAN GLOBAL TERHADAP PASAR MODAL INDONESIA

2018 ◽  
Vol 2 (1) ◽  
pp. 66
Author(s):  
R Adisetiawan
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Composite Index ◽  
Test Statistics ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Partial Rate ◽  
Close Relationship ◽  
Relationship Of

This study aims to determine causality macroeconomic variables and the influence of the Indonesian capital market during the period 2001-2017 by means of Granger causality test statistics and test of Multiple Linear Regression. The results of this study revealed that during the period 2001-2017 there is a relationship of causality between the money supply (M2) with the Indonesia Stock Exchange composite index, but there is no causal relationship between the BI rate, inflation, the price of crude oil, gold, exchange rate IDR/USD, Dow Jones and Nikkei 225 index on the Indonesia Stock Exchange composite index over the same period. The results of model testing research at 99% confidence level, obtained adjusted R-square values simultaneously at 98.4%, meaning that changes in the macro economy is able to provide a very significant variation in movement patterns of stock price index in Indonesia's capital market. This is also evidenced by the magnitude of the correlation values obtained in the model by 99.3%, meaning that there is a very close relationship between macroeconomic variables of the Indonesian capital market. However, the partial rate of inflation that occurred in Indonesia in the period 2001-2017 did not have a significant influence on the movement of stock market indices of Indonesia. Keywords: JCI, macroeconomic, globalization

scholarly journals KAUSALITAS BI RATE, INFLASI DAN INDEKS HARGA SAHAM

2012 ◽  
Vol 11 (2) ◽  
Author(s):  
R. Adisetiawan .
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Financial Institution ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Data ◽  
Stock Index ◽  
Test Results ◽  
Close Relationship ◽  
Causality Tests

This study aims to analyze the causal relationships between variables of inflation, BI rate, and stock index and the effects of inflation and BI rate on the Indonesia Stock Exchange composite index. Samples taken are data from January 1995 to March 2012. The research data used are secondary data published by Bank Indonesia (BI) and the Capital Market Supervisory Agency and Financial Institution Supervisory Agency (Bapepam-lk) in the form of capital market statistics are then analyzed using Granger causality tests and Multiple Regression. The results of this study revealed that the 99% confidence level (a = 0.01); during the period 1995.1-2012.3 causal relationship exists between inflation, BI rate, and the Indonesia Stock Exchange composite index. The test results obtained by regression adjusted R-square value of 52.3%, this suggests that the movement patterns of stock price index in capital markets-related changes in various macroeconomic variables, one of which is a negative coefficient BI rate to Indonesia's capital market indices. The results also revealed that there was a very close relationship between the variables of inflation and BI rate to the CSPI, as evidenced by the magnitude of the correlation (R) of 72.6%.

scholarly journals PENGARUH EARNING PER SHARE (EPS) DAN PERTUMBUHAN PENJUALAN TERHADAP HARGA SAHAM PADA PERUSAHAAN FARMASI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI)

2021 ◽  
Vol 5 (2) ◽  
Author(s):  
Desi Nurul Hikmati Ilahiyah
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Share Price ◽  
Pharmaceutical Companies ◽  
Sales Growth ◽  
Earnings Per Share

On investing in the capital market one thing that must be considered is the stock price. The price of shares offered on a stock exchange is related to the achievements of the company. The share price can be purchased by earnings per share (EPS) and sales growth. The purpose of this study was to study the effect of earnings per share (EPS) and sales growth on the stock prices of pharmaceutical companies listed on the Indonesian stock exchange (IDX). The population in this study were 11 pharmaceutical companies that were accepted on the Stock Exchange and sampled through purposive sampling techniques as many as 9 companies in the 2015-2019 period. This study uses multiple linear regression analysis. EPS partial research results positive and significant EPS on EPS stock prices EPS has tcount (54,435)> ttable (2,02439), on the other hand, partial sales growth, positive and significant effect on stock prices, economic growth, thitung sales value ( -3,525) table (-2.02439). Simultaneous EPS and positive and significant growth in stock prices due to the results obtained Fcount (1560,773)> Ftable (3.25).

scholarly journals INVESTMENT DECISION, MARKET CAPITALIZATION, AND COMPANY VALUE

2020 ◽  
Vol 8 (12) ◽  
pp. 696-704
Author(s):  
Hais Dama ◽  
◽  
Meriyana Franssisca Dungga ◽  
Firdza Salma Hasiru ◽  
◽  
...  
Keyword(s):  
Stock Price ◽  
Regression Coefficient ◽  
Stock Exchange ◽  
Investment Decision ◽  
Well Being ◽  
Market Capitalization ◽  
Company Value ◽  
Quantitative Descriptive ◽  
A Company ◽  
Descriptive Method

A company that canincrease its value will also be able to improve the well-being of the owner or the shareholders. To a company that issues stocks in the capital market, the stock price in the stock exchange is the indicator of a companys value. Good company value is identified from the companys performance it is also identified from the stable or increasing stock price.This present study analyzed the influence of investment decision and market capitalization on company value. It involved companies listed in the Jakarta Islamic Index (JII), and aimed to formulate a matter of consideration for investors. A quantitative descriptive method was employed to investigate the correlation and influence between variables. The result showed that: (1) investment decisionpartially influenced company value with regression coefficient value of 1.721 and significance value of 0.000 (2) market capitalization partially influenced company value with regression coefficient value of -0.163 and significance value of 0.041 (3) investment decision and market capitalization simultaneously influenced company value of companies listed in the JII with f-count value of 330.698 and significance value of 0.000. Moreover, the adjusted R2 test acquired value of 0.924. The number indicated that company value was influenced by investment decisionand market capitalization by 92.4 percent, while the rest 7.6 percent was due to other variables.

scholarly journals The Determinan Kinerja Keuangan Perusahaan Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia

2021 ◽  
Vol 4 (2) ◽  
pp. 455-463
Author(s):  
Jusmarni Amir
Keyword(s):  
Capital Structure ◽  
Capital Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Regression Method ◽  
Financial Information ◽  
Share Price ◽  
Linear Regression Method ◽  
Multiple Linear Regression Method ◽  
Food And Beverage

Stocks are currently a popular investment product among investors. Stocks that are of interest to investors are stocks that have a high selling value because the stock price is a very important factor to pay attention to and indicators are used to measure the welfare of shareholders. The higher the share price, the higher the value of the company and vice versa. However, investing in stocks in the capital market is also filled with an element of uncertainty or risk, this is because investors do not know with certainty the results they will get from their investments. Company specific financial information is one of the important internal company factors that can influence investors to invest. The research aims to analyse the effect of Capital Structure, liquidity, and profitability on stock price. Samples used in this study are food and beverage companies listed in the Indonesian Stock Exchange during 2016-2018 periods. Multiple linear regression method used to anlyse the effect of DER,CAR,  and NPM on Stock Price. The results showed that DER and CAR have not significant effect on Stock Price. NPM have a significant effect on Stock Price. Keywords: Capital Structure, liquidity, Profitability, Stock Price

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