Financial Analisis Pengaruh Faktor Fundamental dan Teknikal Terhadap Return Saham

Abstract

This research aims to examine the impact of fundamental and technical factors towards stock returns, and with macroecomoic as moderation variable. The population used in this research is all public companies or issuer listed in Indonesia Stock Exchange from 2008 to 2012. The companies used samples are 23 companies which categorized as LQ-45 that exist from 2008 to 2012 or using Purposive Sampling Method. 
 Analysis of securitas consist of fundamental and technical analysis. In fundamental analysis and technical, analist often uses factors fundamental and technical. Fundamental’s and technical’s factors in Multi-factor Models uses to perform the portfolio with special characteristics. Multi-factor Models are improved from the concept of Arbitrage Pricing Theory (APT).
 Fundamental factors are consisted Financial Ratio (ROA, DER, EPS, PBV) and macroeconomic (exchange rate, inflations, gdp); than technical factors (trading volume, market capitalization, and previous stock price). Those are independen variables which towards stock return using Panel’s Data then make analysis using Multiple Regressions.
 This research shows that partially, several fundamental factors (ROA, DER, and EPS) have not significant influence and positif are toward stock return. However, PBV have significant influence and negatif are toward stock return. Several macro economic’s factors (kurs and GDP) have significant influence and positif are toward stock return, but inflation have significant influence at α = 10%. All of technical’s factors (trading volume, market capitalization, and previous stock price) have not significant influence and positif (market capitalization, and previous stock price), negatif (trading volume) are toward stock return.Simultaneously, fundamental’s factors, macro economic, and technical’s factors have significant influence and positif are toward stock return.
 Managerial implication of this research are the investors can use fundamentals analysis with focus on PBV ratio, emiten must be more attention macro economic factors, especially exchange rate and GDP. Investors in Indonesia Stock Market more like fundamental’s analysis than technical’s analysis, but investor also can use integrated analysis by combine of fundamental and technical’s analysis.

Analysis of Stock Market Returns: Study of Consumer Goods Companies Listed on the Indonesia Stock Exchange

“…This shows that hypothesis 3, which assumes that past stock prices have a significant positive effect on stock returns, is rejected. The results of this study are not in line with Silvatika (2018), which states that past stock prices have no significant effect on stock return.…”

“…Research on the past stock prices on stock returns has been carried out by Silvatika (2018), which states that past stock prices do not affect stock returns.…”

Pengaruh Size, Beta, Price To Book Value, dan Koneksi Politik Terhadap Return Saham pada Perusahaan yang tergabung dalam Indeks LQ-45 di Bursa Efek Indonesia Periode 2014-2019

“…Selanjutnya hasil penelitian tersebut tidak mendukung teori three factors model Fama dan French mengenai price to book value mempengaruhi positif maupun signifikan terhadap return saham. Penelitian yang mendukung dan sejalan melalui hasil penelitian yang dilakukan Salvatika (2018), Munfarida (2012), dan Antara (2012) pada perusahaan LQ-45 bahwa, PBV memiliki pengaruhnya negatif maupun signifikan pada saham. akan tetapi belum sesuai pada hasil penelitiannya yang dilalui Jaya dan Kuswanto (2021), Putra dkk (2019), dan Anugrah (2017) bahwa PBV berpengaruh positif aupun signifikan pada return saham.…”

Determinasi Faktor Fundamental Terhadap Kinerja Saham

“…Pengujian hipotesis pertama (H1) menunjukkan bahwa Earnin Per Share (EPS) tidak berpengaruh signifikan terhadap Return saham pada perusahaan manufaktur sektor industri barang konsumsi yang terdaftar di BEI. Hasil penelitian ini sekaligus mendukung hasil penelitian dari Arista (2012) dan Karyadi (2021) namun tidak mendukung penelitian dari Muhammad (2018) dan Silvatika (2012) yang menyatakan hasil sebaliknya.…”