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Journal : Quantitative Economics and Management Studies

The Effect of Fundamental Factors and Systematic Risk on the Return of LQ45 Shares Listed on the Indonesia Stock Exchange Rully Setyo Wibowo; Agus Rahman Alamsyah; Ike Kusdyah Rachmawati
Quantitative Economics and Management Studies Vol. 4 No. 2 (2023)
Publisher : PT Mattawang Mediatama Solution

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35877/454RI.qems1467

Abstract

This study aims to find out the influence of fundamental factors which are represented by the Current Ratio, Total Asset Turn Over, Debt to Equity Ratio, Return On Equity and Price Book Value and Systematic Risk which is represented by beta toward stock returns of LQ45 stock that listed in Indonesia Stock Exchange period 2018 - 2021. Purposive sampling is used as the sampling technique with criteria: The stock of industry in LQ45 has always seen the annual financial report over the period 2018-2021 and could be made financial ratio from the annual report as used in this research. 28 samples of LQ45 stock were taken in this research. The partial regression coefficient was tested using multiple linear regression and hypothesis testing using the statistical t-test with a level of significance of 5%. The classic assumption test, which also included the normality test, multicollinearity test, autocorrelation test, and heteroscedasticity test, was also run. Based on the result of this research, classic assumption deviation has not founded, this indicated that available data has fulfilled the condition to use a multiple regression model. Empirical evidence of analysis showed as partially Price to Book Value and Systematic Risk have a positive dan significant effect on stock return, while CR, TATO, and DER have no significant effect on stock returns and ROE has a negative and significant effect on LQ45 stock returns for the 2018-2021 period. The result of this research indicated that PBV and Systematic Risk were used by the investor to predict the stock return of LQ45 company period 2018-2021.
Co-Authors Abadi, Ridwan Abdul Waris Abdul Waris Abdul Waris Abidi, Jumadil Achmad Noercholis Adefrida, Adefrida Adestyani, Erminia Agi Anggadarma Agus R. A Agus Rahman Agus Rahman Alamsyah Agus Rahman Alamsyah Agus Rahman Alamsyah Agus Rahman Alamsyah Agus Rahman Alamsyah Agus Rahman Alamsyah Agus Rahman Alamsyah Agustina, Tin Ahmad Rifai Ali Shahab Alvianna, Stella Anggrainy, Eska Kristie ANISA ZUHRIA SUGEHA Annisa, Radhitya Any Isvandiari Aprilia, Christina Faya Aristanto, Eko Arlini Fitriana Hidayahati Aryanto, Freddy Bohari, Akbar BUKHORI, MOHAMMAD Cheria, Fritzie Chrityati, Agnes Damayanti, Estalita Decy Natalia Didik Suprayitno Edy Chandra Elok Hermawati Fachreza Nur Iman Fathorrahman Fatriona, Hendri Febriantika, shahnaz Firdaus Iman Ubaidillah Harahap, Nuryani Hendra Hendra Heni Pujiastuti Heny, Agustinus Hermanto, Bayu Marga Nurmaulana Hermawanto, Yusuf Hutri Agustino Ilmiah, Elsa Indiyatno Nur Setiyadi Irany Whindyastiti Irany Windhyastiti Irwantha Sihombing Jumiyati Jumiyati, Jumiyati Kalaij, Ancello G. O. Kapitaraw, Bejo Kasih, Nanda Khalikussabir, Khalikussabir Kiswinarso, Alberken Sih Lancar Februdianto Lazuardi, Grace Laurensia Lidyana, Liza LM Fajar Israwan, LM Fajar Israwan Lussia Mariesti Andriany Majidah, Yuniz Maman, Maman Mariati Dameria Moh Yusuf Firmansyah Moh. Maskan Mohammad Bukhori Mohammad Bukhori Mulyanto, John Calvin Murtianingsih Nanik Sugiarti Nawiri, Adib Rosyad Ni Made Sudianti Noercho, Achmad Nur Azizah Nuriyono Nuriyono Nuryadi, Alief Oktavia, Ayu Panjaitan, Mhd Fadhil Azhari Patalo, Ryan Gerry Pionera, Eloichristi Pramana, Agus Herry Prayitna, Anna Maria Satia Prayitno, Setyo Purwasari, Bernadetta Mita PUTRIA DEWI MASRUROH Raden Bagus Rendy Putra Pradwita Rahman Alamsyah, Agus Rahman, Agus Rahmawati, Ana Dwi Rendy Putra Pradwita, Raden Bagus Rengga Kusuma Putra Reynaldi, Agung Rifa’I, Ahmad Rully Setyo Wibowo Ruspitasari, Widi Dewi Santoso, Yesica Theresia Saputra, Ezi Sari, Lutfi Ayu Kartika Selvister Lende Ndaparoka Setiyadi, Indiyatno Nur Setyorini Setyorini Setyorini Setyorini Setyorini Setyorini Sijen, Lim Stella Juswan Sugijanto Sugijanto Sunarya, Erry Surya Wahyuning Tiyas Syarif Hidayatullah Tauriadi, Dini Theresia Pradiani Tin Agustina Tin Agustina Tin Agustina K Tin Agustina Karnawati Titania Dwi Andini Trisnawati, Vidya Triyan Febriandika, Triyan Umu Khouroh Wanda Dwi Ramadhan Widi Dewi Ruspitasari Yesi Pramita Yudhanto, Ifani Yunitasari, Ni Rai Yuniz Majidah Yunus Handoko Yunus Handoko Yunus Handoko Yunus Handoko Zakariyah, Mashudi