Aldiena, E., & Hakim, M. H. Al. (2019). The Impact of Companies Internal Factors on the Performance of their Stock Returns. Journal of Islamic Economic Laws, 2(1), 120–149.
Anwaar, M. (2016). Impact of Firms’ Performance on Stock Returns (Evidence from Listed Companies of FTSE-100 Index London, UK). Global Journal of Management and Business Research: Accounting and Auditing, 16(1), 30–39.
Arisandi, M. (2014). Pengaruh ROA, DER, CR, Inflasi dan Kurs Terhadap Return Saham (Studi Kasus Industri Makanan dan Minuman yang Terdaftar di BEI Periode 2008-2012). Jurnal Dinamika Manajemen, 2(1), 34–46.
Bank Indonesia. (2021). Pertumbuhan Ekonomi Indonesia Triwulan IV 2020 Melanjutkan Perbaikan. Departemen Komunikasi. https://www.bi.go.id/id/publikasi/ruamedia/newsrelease/Pages/sp_233321.aspx
Basarda, R. F., Moeljadi, M., & Indrawati, N. K. (2018). Macro and Micro Determinants of Stock Return Companies in LQ-45 Index. JKP: Jurnal Keuangan Dan Perbankan, 22(2), 310–320.
Basuki, A. T. (2015). Analisis Statistik dengan SPSS (Yogyakarta). Yogyakarta: Danisa Media.
Basuki, A. T., & Prawoto, N. (2015). Analisis Regresi dalam Penelitian Ekonomi & Bisnis (Dilengkapi Aplikasi SPSS & Eviews). Depok: Raja Grafindo Persada.
Erzad, A. M., & Erzad, A. M. (2017). The Effect of Financial Ratios Toward Sharia Stock Return in Jakarta Islamic Index (JII). QIJIS: Qudus International Journal of Islamic Studies, 5(1), 129–150.
Ghozali, I., & Ratmono, D. (2018). Analisis Multivariat dan Ekonometrika Teori, Konsep, dan Aplikasi dengan EViews10 (Kedua). Semarang: Badan Penerbit Universitas Diponegoro.
Goodarzi, A. (2017). Do Based-Market Data Predict Stock Return Better Than Accounting Data? The Case of Tehran Stock Exchange (TSE). International Business and Management, 14(2), 1–7.
Gujarati, D. N., & Porter, D. C. (2015). Dasar-Dasar Ekonometrika (Kelima). Jakarta: Salemba Empat.
Izuddin, M. (2021). The Impact Analysis of Fundamental Factors on The Return of Construction Company Shares. IJEMBIS: International Journal of Economics, Management, Business and Sociial Science, 1(1), 22–30.
Juwita, C. P., & Diana, N. (2020). The Effect Of DER and ROE on Stock Price JII Compnies. Management Analysis Journal, 9(4), 434–441.
Khafid, M., Tusyanah, T., & Suryanto, T. (2019). Analyzing the determinants of financial distress in Indonesian Mining Companies. International Journal of Economics and Business Administration, 7(4), 353–368.
Listriono, K., & Nuraina, E. (2015). Peranan Inflasi, Bi Rate, Kurs Dollar (Usd/Idr) dalam Mempengaruhi Indeks Harga Saham Gabungan (Ihsg). Jurnal Dinamika Manajemen, 6(1), 73–83.
Maharditya, M. A., Layyinaturrobaniyah, & Anwar, M. (2018). Implication of Macroeconomic Factors to Stock Returns of Indonesian Property and Real Estate Companies. JDM: Jurnal Dinamika Manajemen, 9(1), 100–113.
Mahfudz, A., & Wijayanto, A. (2020). Understanding Defensive Stocks with Company Fundamentals and Dividend Policy Variables as Moderation. Management Analysis Journal, 9(3), 233–242.
Martono, S., Yulianto, A., Witiastuti, R. S., & Wijaya, A. P. (2020). The Role of Institutional Ownership and Industry Characteristics on The Propensity to Pay Dividend: An Insight From Company Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(74), 1–16.
Musallam, S. R. M. (2018). Exploring the Relationship between Financial Ratios and Market Stock Returns. Eurasian Journal of Business and Economics, 11(21), 101–116.
Ndlovu, B., Faisa, F., Resatoglu, N. G., & Tursoy, T. (2018). The Impact Macroeconomic Variables on Stock Returns: A Case of the Johannesburg Stock Exchange. Romanian Statistical Review, 2(2), 87–104.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis Pengaruh Perubahan Arus Kas Terhadap Return Saham. Management Analysis Journal, 4(4), 289–300.
Rasyad, R. Z., Iskandar, R., & Azis, M. (2020). Determinant of Stock Returns with Inflation as a Moderating Variable. Saudi Journal of Business and Management Studies, 5(6), 353–360.
Ratih, I. G. A. A. N., & Candradewi, M. R. (2020). The Effect of Exchange Rate, Inflation, Gross Domestic Bruto, Return on Assets, and Debt to Equity Ratio on Stock Return in LQ45 Company. AJHSSR: American Journal of Humanities and Social Sciences Research, 4(6), 170–177.
Ruiz, F. A., Donthu, N., Prior, D., & Rialp, J. (2018). How does Marketing Capability Impact Abnormal Stock Returns? The Mediating Role of Growth. Journal of Business Research, 82, 19–30.
Santosa, P. W. (2019). Financial Performance, Exchange Rate and Stock Return: Evidence from Manufacturing Sector. Jurnal Manajemen Teknologi, 18(3), 205–217.
Setyawati, I., & Amalia, R. (2018). The Role of Current Ratio, Operating Cash Flow and Inflation Rate in Predicting Financial Distress: Indonesia Stock Exchange. Jurnal Dinamika Manajemen, 9(2), 140–148.
Sikhosana, A., & Aye, G. C. (2018). Asymmetric Volatility Transmission Between the Real Exchange Rate and Stock Returns in South Africa. Economic Analysis and Policy, 60, 1–8.
Suhadak, Kurniaty, Handayani, S. R., & Rahayu, S. M. (2019). Stock Return and Financial Performance as Moderation Variable in Influence of Good Corporate Governance Towards Corporate Value. Asian Journal of Accounting Research, 4(1), 18–34.
Suhadak, Rahayu, S. M., & Handayani, S. R. (2020). GCG, Financial Architecture on Stock Return, Financial Performance and Corporate Value. International Journal of Productivity and Performance, 69(9), 1813–1831.
Suharyadi, & Purwanto, S. K. (2016). Statistika untuk Ekonomi dan Keuangan Modern (Ketiga). Jakarta: Salemba Empat.
Sulaeman, M., Kusnandar, H. F., Gunawan, G. G., WIdyaningrum, M., & Kasetyaningsih, S. W. (2018). Pengaruh Debt to Equity Ratio dan Non Performing Loan Terhadap Return Saham Emiten Bursa Efek Indonesia Subsektor Perbankan. Jurnal Ilmiah Manajemen Dan Bisnis, 19(1), 21–31.
Sunaryo. (2020). Pengaruh Volume Penawaran Saham Terhadap Risiko Sistematis dan Implikasinya Terhadap Harga Saham: Penerapan dengan Model Regresi Data Panel Common Effect. Mediastima, 26(2), 135–164.
Sutriani, A. (2014). Pengaruh Profitabilitas, Leverage, dan Likuiditas terhadap Return Saham dengan Nilai Tukar sebagai Variabel Moderasi pada Saham LQ45. Journal of Business and Banking, 4(1), 67–80.
Tanderlilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (Pertama). Yogyakarta: Kanisius.
Utama, O. Y., & Puryandani, S. (2020). The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index. Jurnal Dinamika Manajemen, 11(1), 39–47.
Wijaya, D. P., & Sedana, I. B. P. (2020). Effects of Quick Ratio, Return on Assets and Exchange Rates on Stock Returns. AJHSSR: American Journal of Humanities and Social Sciences Research, 4(1), 323–329.
Yani, R. N., Arfan, M., & Majid, M. S. A. (2020). What Determines Islamic Stock Returns in Indonesia? SHARE Jurnal Ekonomi Dan Keuangan Islam, 9(1), 1–21.
Yulianto, A., Suhadak, Darminto, & Handayani, S. R. (2014). The Role of Corporate Governance, Dividend Policy, and Capital Structure on Ownership Structure Toward the Firm Value. European Journal of Business and Management, 6(8), 134–141.
Anwaar, M. (2016). Impact of Firms’ Performance on Stock Returns (Evidence from Listed Companies of FTSE-100 Index London, UK). Global Journal of Management and Business Research: Accounting and Auditing, 16(1), 30–39.
Arisandi, M. (2014). Pengaruh ROA, DER, CR, Inflasi dan Kurs Terhadap Return Saham (Studi Kasus Industri Makanan dan Minuman yang Terdaftar di BEI Periode 2008-2012). Jurnal Dinamika Manajemen, 2(1), 34–46.
Bank Indonesia. (2021). Pertumbuhan Ekonomi Indonesia Triwulan IV 2020 Melanjutkan Perbaikan. Departemen Komunikasi. https://www.bi.go.id/id/publikasi/ruamedia/newsrelease/Pages/sp_233321.aspx
Basarda, R. F., Moeljadi, M., & Indrawati, N. K. (2018). Macro and Micro Determinants of Stock Return Companies in LQ-45 Index. JKP: Jurnal Keuangan Dan Perbankan, 22(2), 310–320.
Basuki, A. T. (2015). Analisis Statistik dengan SPSS (Yogyakarta). Yogyakarta: Danisa Media.
Basuki, A. T., & Prawoto, N. (2015). Analisis Regresi dalam Penelitian Ekonomi & Bisnis (Dilengkapi Aplikasi SPSS & Eviews). Depok: Raja Grafindo Persada.
Erzad, A. M., & Erzad, A. M. (2017). The Effect of Financial Ratios Toward Sharia Stock Return in Jakarta Islamic Index (JII). QIJIS: Qudus International Journal of Islamic Studies, 5(1), 129–150.
Ghozali, I., & Ratmono, D. (2018). Analisis Multivariat dan Ekonometrika Teori, Konsep, dan Aplikasi dengan EViews10 (Kedua). Semarang: Badan Penerbit Universitas Diponegoro.
Goodarzi, A. (2017). Do Based-Market Data Predict Stock Return Better Than Accounting Data? The Case of Tehran Stock Exchange (TSE). International Business and Management, 14(2), 1–7.
Gujarati, D. N., & Porter, D. C. (2015). Dasar-Dasar Ekonometrika (Kelima). Jakarta: Salemba Empat.
Izuddin, M. (2021). The Impact Analysis of Fundamental Factors on The Return of Construction Company Shares. IJEMBIS: International Journal of Economics, Management, Business and Sociial Science, 1(1), 22–30.
Juwita, C. P., & Diana, N. (2020). The Effect Of DER and ROE on Stock Price JII Compnies. Management Analysis Journal, 9(4), 434–441.
Khafid, M., Tusyanah, T., & Suryanto, T. (2019). Analyzing the determinants of financial distress in Indonesian Mining Companies. International Journal of Economics and Business Administration, 7(4), 353–368.
Listriono, K., & Nuraina, E. (2015). Peranan Inflasi, Bi Rate, Kurs Dollar (Usd/Idr) dalam Mempengaruhi Indeks Harga Saham Gabungan (Ihsg). Jurnal Dinamika Manajemen, 6(1), 73–83.
Maharditya, M. A., Layyinaturrobaniyah, & Anwar, M. (2018). Implication of Macroeconomic Factors to Stock Returns of Indonesian Property and Real Estate Companies. JDM: Jurnal Dinamika Manajemen, 9(1), 100–113.
Mahfudz, A., & Wijayanto, A. (2020). Understanding Defensive Stocks with Company Fundamentals and Dividend Policy Variables as Moderation. Management Analysis Journal, 9(3), 233–242.
Martono, S., Yulianto, A., Witiastuti, R. S., & Wijaya, A. P. (2020). The Role of Institutional Ownership and Industry Characteristics on The Propensity to Pay Dividend: An Insight From Company Open Innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(74), 1–16.
Musallam, S. R. M. (2018). Exploring the Relationship between Financial Ratios and Market Stock Returns. Eurasian Journal of Business and Economics, 11(21), 101–116.
Ndlovu, B., Faisa, F., Resatoglu, N. G., & Tursoy, T. (2018). The Impact Macroeconomic Variables on Stock Returns: A Case of the Johannesburg Stock Exchange. Romanian Statistical Review, 2(2), 87–104.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis Pengaruh Perubahan Arus Kas Terhadap Return Saham. Management Analysis Journal, 4(4), 289–300.
Rasyad, R. Z., Iskandar, R., & Azis, M. (2020). Determinant of Stock Returns with Inflation as a Moderating Variable. Saudi Journal of Business and Management Studies, 5(6), 353–360.
Ratih, I. G. A. A. N., & Candradewi, M. R. (2020). The Effect of Exchange Rate, Inflation, Gross Domestic Bruto, Return on Assets, and Debt to Equity Ratio on Stock Return in LQ45 Company. AJHSSR: American Journal of Humanities and Social Sciences Research, 4(6), 170–177.
Ruiz, F. A., Donthu, N., Prior, D., & Rialp, J. (2018). How does Marketing Capability Impact Abnormal Stock Returns? The Mediating Role of Growth. Journal of Business Research, 82, 19–30.
Santosa, P. W. (2019). Financial Performance, Exchange Rate and Stock Return: Evidence from Manufacturing Sector. Jurnal Manajemen Teknologi, 18(3), 205–217.
Setyawati, I., & Amalia, R. (2018). The Role of Current Ratio, Operating Cash Flow and Inflation Rate in Predicting Financial Distress: Indonesia Stock Exchange. Jurnal Dinamika Manajemen, 9(2), 140–148.
Sikhosana, A., & Aye, G. C. (2018). Asymmetric Volatility Transmission Between the Real Exchange Rate and Stock Returns in South Africa. Economic Analysis and Policy, 60, 1–8.
Suhadak, Kurniaty, Handayani, S. R., & Rahayu, S. M. (2019). Stock Return and Financial Performance as Moderation Variable in Influence of Good Corporate Governance Towards Corporate Value. Asian Journal of Accounting Research, 4(1), 18–34.
Suhadak, Rahayu, S. M., & Handayani, S. R. (2020). GCG, Financial Architecture on Stock Return, Financial Performance and Corporate Value. International Journal of Productivity and Performance, 69(9), 1813–1831.
Suharyadi, & Purwanto, S. K. (2016). Statistika untuk Ekonomi dan Keuangan Modern (Ketiga). Jakarta: Salemba Empat.
Sulaeman, M., Kusnandar, H. F., Gunawan, G. G., WIdyaningrum, M., & Kasetyaningsih, S. W. (2018). Pengaruh Debt to Equity Ratio dan Non Performing Loan Terhadap Return Saham Emiten Bursa Efek Indonesia Subsektor Perbankan. Jurnal Ilmiah Manajemen Dan Bisnis, 19(1), 21–31.
Sunaryo. (2020). Pengaruh Volume Penawaran Saham Terhadap Risiko Sistematis dan Implikasinya Terhadap Harga Saham: Penerapan dengan Model Regresi Data Panel Common Effect. Mediastima, 26(2), 135–164.
Sutriani, A. (2014). Pengaruh Profitabilitas, Leverage, dan Likuiditas terhadap Return Saham dengan Nilai Tukar sebagai Variabel Moderasi pada Saham LQ45. Journal of Business and Banking, 4(1), 67–80.
Tanderlilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (Pertama). Yogyakarta: Kanisius.
Utama, O. Y., & Puryandani, S. (2020). The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index. Jurnal Dinamika Manajemen, 11(1), 39–47.
Wijaya, D. P., & Sedana, I. B. P. (2020). Effects of Quick Ratio, Return on Assets and Exchange Rates on Stock Returns. AJHSSR: American Journal of Humanities and Social Sciences Research, 4(1), 323–329.
Yani, R. N., Arfan, M., & Majid, M. S. A. (2020). What Determines Islamic Stock Returns in Indonesia? SHARE Jurnal Ekonomi Dan Keuangan Islam, 9(1), 1–21.
Yulianto, A., Suhadak, Darminto, & Handayani, S. R. (2014). The Role of Corporate Governance, Dividend Policy, and Capital Structure on Ownership Structure Toward the Firm Value. European Journal of Business and Management, 6(8), 134–141.
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Affiliations
Reny Dwi Anggraini
Universitas Negeri Semarang
Andhi Wijayanto
Universitas Negeri Semarang
How to Cite
1.
Anggraini R, Wijayanto A. The Influence of Fundamental Factors on Stock Returns with Exchange Rate as Moderation Variable. MAJ [Internet]. 28Oct.2021 [cited 6May2024];10(3):305-14. Available from: https://journal.unnes.ac.id/sju/maj/article/view/49448
The Influence of Fundamental Factors on Stock Returns with Exchange Rate as Moderation Variable
Vol 10 No 3 (2021): Management Analysis Journal
Submitted: Aug 27, 2021
Published: Oct 28, 2021
Abstract
Return are one of the motivators to invest in financial asset in the capital market. Investors used fundamental factor as a signal to gain maksimal return. The aims of the study are to determine the effect of fundamental factor on stock return with exchange rate as a moderating variable. Fundamental factor is measured by the ratio of Return on Assets, Debt to Equity Ratio, and Current Ratio. The sample of this study of 20 companies listed on LQ45 index in Indonesian Stock Exchange (IDX) selected using the purposive sampling method, with 120 observations during the 2015-2020 period. Methode of data analysis using multiple linier regression analysis and moderated regression analysis (MRA) with the application of Eviews 9. The results show that Return on Assets have a significant positive effect on the stock returns, while the Debt to Equity Ratio and Current Ratio has no significant effect. MRA results indicate that exchange rate can streng the influence of Return on Assets and Debt to Equity Ratio, and weaken Current Ratio on the stock returns.