Afshar, T., Arabian, G., and Zomorrodian, R. (2011). Stock Return, Consumer Confidence, Purchasing Managers Index And Economic Fluctuations. Journal of Business and Economics Research (JBER), 5(8), 97–106.
Al-Abdallah, S. Y., and Aljarayesh, N. I. (2017). Influence of Interest Rate, Exchange rate and Inflation on Common Stock Returns of Amman Stock Exchange, Jordan. International Journal of Economics, Commerce and Management, 5(10), 589-601.
Araujo, R. C. da C., and Machado, M. A. V. (2018). Book-to-Market Ratio , return on equity and Brazilian Stock Returns. RAUSP Management Journal, 53(3), 324–344.
Aryaningsih, Y. N., Fathoni, A., and Harini, C. (2018). Pengaruh Return on Asset (ROA), Return on Equity (ROE) dan Earning per Share (EPS) terhadap Return Saham pada Perusahaan Consumer Good (Food and Beverages) yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2013-2016. Journal of Management, 4(4).
Asmi, T. L. (2014). Current Ratio, Debt To Equity Ratio, Total Asset Turnover, Return on Asset, Price To Book Value Sebagai Faktor Penentu Return Saham. Management Analysis Journal, 3(2), 1–12.
Ayu, P., Kamiana, N., Bagus, I., and Purbawangsa, A. (2017). Pengaruh Kondisi Pasar Modal dan Rasio Keuangan Terhadap Return Saham di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 6(8), 4269–4297.
Baker, H. K., Hargrove, M. B., and Haslem, J. A. (1977). An Empirical Analysis of the Risk-Return Preferences of Individual Investors. The Journal of Financial and Quantitative Analysis, 12(3), 377.
Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645–1680.
Chen, M. (2014). Analisis Pengaruh Perekonomian Makro Dan Mikro Yang Berpengaruh Pada Risiko Sistematis Saham. Nominal, Barometer Riset Akuntansi Dan Manajemen, 3(2).
Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, Vol. 25, issue. 2, p. 383–417
Statman, M. (1995, December). Behavioral finance versus standard finance. In AIMR conference Proceedings (Vol. 7, pp. 14-22).
Statman, M. (1999). Behaviorial finance: Past battles and future engagements. Financial analysts journal, 55(6), 18-27.
Ferdinand, A. (2014). Metode Penelitian Manajemen (5th ed.). Semarang: Universitas Diponegoro.
Finter, P., Niessen-Ruenzi, A., and Ruenzi, S. (2012). The impact of investor sentiment on the German stock market. Zeitschrift Für Betriebswirtschaft, 82(2), 133–163.
Ghozali, I, and Ratmono, D. (2017). Analisis Multivariat dan Ekonometrika dengan Eviews 10. Semarang: Badan Penerbit: Universitas Diponegoro.
Ghozali, Imam, and Ratmono. (2013). Analisis Multivariat dan Ekonometrika Teori, Konsep dan Aplikasi dengan Eviews 8. Semarang: Badan Penerbit Universitas Diponegoro.
Handayani, R., and Zulyanti, N. R. (2018). Pengaruh Earning Per Share (Eps), Debt To Equity Ratio, (Der), Dan Return on Assets (Roa) Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bei. Jurnal Manajemen, 3(1), 615. https://doi.org/10.30736/jpim.v3i1.143
Harlina, V. R., Khoiruddin, M., and Volatility, S. P. (2018). Dividend Policy and Economic Variable to Stock Price Volatility : Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4).
Ilahi, I., Ali, M., and Jamil, R. A. (2015). Impact of Macroeconomic Variables on Stock Market Returns: A Case of Karachi Stock Exchange. SSRN Electronic Journal.
Juwita, C. P., and Diana, N. (2020). The Effect Of DER And ROE On Stock Price JII Compnies. Management Analysis Journal, 1(2), 120–128.
Kerlinger, Fred N., and Lee, H. B. (2011). Book Review “ Foundations of Behavioral Research .” 13(2), 131–144.
Khairudin, and Wandita, . (2017). Analisis Pengaruh Rasio Profitabilitas, Debt To Equity Ratio (DER) dan Price To Book Value (PBV) Terhadap Harga Saham Perusahaan Pertambangan di Indonesia. Jurnal Akuntansi Dan Keuangan, 8(1).
Khalid, W., and Khan, S. (2017). Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience. International Journal of Econometrics and Financial Management, 5(2), 42–59.
Listriono, K., and 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, L., and Anwar, M. (2018). Implication of Macroeconomic Factors to Stock Returns of Indonesian Property and Real Estate Companies. Jurnal Dinamika Manajemen, 9(1), 100–113.
Martin, G. H. T., and Herman, R. (2017). The effect of macroeconomic and risk factors towards stock return of Indonesia industrial sector in 2008 to 2015. Russian Journal of Agricultural and Socio-Economic Sciences, 71(11), 161–167.
Neumayer, E., and Plümper, T. (2017). Robustness tests for quantitative research. Cambridge University Press.
Nurmasari, I. (2018). Pengaruh Rasio Keuangan dan Pertumbuhan Pendapatan Terhadap Return Saham Pada Perusahaan Perkebunan Di Bursa Efek Indonesia 2010-2017. Jurnal SEKURITAS (Saham, Ekonomi, Keuangan dan Investasi), 2(1).
Okonkwo, and Jude, J. (2019). Volatility of Stock Return and Selected Macroeconomic Variables: Evidence from Nigeria Stock Exchange. International Journal of Academic Research in Business and Social Sciences, 9(6).
Phen, D. (2019). Analisis pengaruh faktor makro ekonomi terhadap return saham pada sektor properti yang terdaftar di Bursa Efek Indonesia periode 2014-2017. Jurnal Manajemen Bisnis dan Kewirausahaan, 4(1), 19-23.
Pratama, I., and Tjun, L. T. (2017). Pengaruh Suku Bunga Acuan dan Nilai Kurs Tengah Valuta Asing Terhadap Return Saham. Jurnal Akuntansi, 9(2).
Putra, F. E. P. E., and Kindangen, P. (2016). Pengaruh Return on Asset (Roa), Net Profit Margin (Npm), Dan Earning Per Share (Eps) Terhadap Return Saham Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia (Periode 2010-2014). Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 4(3), 235–245.
Putranto, A. D., and Darmawan, A. (2018). Pengaruh Ukuran Perusahaan, Profitabilitas, Leverage, Dan Nilai Pasar Terhadap Harga Saham (Studi Kasus pada Perusahaan Pertambangan yang Terdaftar di Bursa Efek Indonesia Periode 2010-2016). Jurnal Administrasi Bisnis (JAB), 56(1), 110–117.
Rahmawati. (2015). Determinan Risiko Sistematis dan Kinerja Saham pada Sektor Industri Barang Konsumsi di Bursa Efek Indonesia. Jurnal MIX, V(3), 368–385.
Rupande, L., Muguto, H. T., and Muzindutsi, P. F. (2019). Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange. Cogent Economics and Finance, 7(1), 1–16.
Sanusi, A. (2017). Metodologi Penelitian Bisnis disertai Contoh Proposal Penelitian Bidang Ilmu Ekonomi dan Manajemen. Jakarta: Salemba Empat.
Saputra, A. H. R. (2019). Pengaruh Faktor Fundamental, Investment Opportunity Set, Dan Pertumbuhan Perusahaan Terhadap Harga Saham Yang Dimediasi Oleh Putusan Investasi Sektor Perkebunan Pada Bursa Efek Indonesia. Jurnal Akuntansi, 13(2), 169–195.
Sarumaha, A. (2018). Analisis Pengaruh Makro Ekonomi dan Faktor Fundamental Perusahaan terhadap Beta Saham Pada Industri Pertambangan yang Terdaftar di Bursa Efek Indonesia. E-Journal Widya Ekonomika, 1(2), 104–110.
Sarwar, G. (2014). U.S. stock market uncertainty and cross-market European stock returns. Journal of Multinational Financial Management, 28, 1–14.
Sayim, M., and Rahman, H. (2015). The relationship between individual investor sentiment, stock return and volatility. International Journal of Emerging Markets, 10(3), 504–520.
Sudiyatno, B., and Suharmanto, T. (2011). Kinerja Keuangan Konvensional, Economic Value Added, dan Return Saham. JDM (Jurnal Dinamika Manajemen), 2(2).
Sugiyani, S. D. A., and Saryadi. (2019). Pengaruh Return on Equity (ROE), Earning per Share (EPS), Deviden , dan Harga Saham terhadap Return Saham Perusahaan Sub Sektor Asuransi yang Terdaftar di Bursa Efek Indonesia Tahun Periode 2015-2017. Jurnal Ilmu Administrasi Bisnis, 8(2), 73–85.
Sukmawardini, D., and Ardiansari, A. (2018). The influence of institutional ownership, profitability, liquidity, dividend policy, debt policy on firm value. Management Analysis Journal, 7(2), 211–222.
Sunardi, N. (2018). Analisis Du Pont System dengan Time Series Approach (TSA) dan Cross Sectional Approach (CSA) dalam Penilaian Kinerja Keuangan Perusahaan (Studi Pada Industri Konstruksi (BUMN) di Indonesia Yang Listing di BEI Tahun 2013-2017). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 1(4), 1–15.
Supriantikasari, N., and Utami, E. S. (2019). Pengaruh Return on Assets, Debt to Equity Ratio, Current Ratio, Earning per Share dan Nilai Tukar terhadap Return Saham (Studi Kasus Pada Perusahaan Go Public Sektor Barang Konsumsi Yang Listing Di Bursa Efek Indonesia Periode 2015-2017). Jurnal Riset Akuntansi Mercu Buana, 5(1), 49.
Syahputra, A. (2018). Analisis Eva, Eps, Dan Per Terhadap Return Saham Pada Perusahaan Sub Sektor Makanan and Minuman. Jurnal Ilmiah Akuntansi Universitas Pamulang, 6(2), 174.
Taslim, A., and Wijayanto, A. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan Terhadap Return Saham. Management Analysis Journal, 5(1), 1–6.
Thampanya, N., Wu, J., Nasir, M. A., and Liu, J. (2020). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions and Money, 65, 101193.
Tumonggor, M., Murni, S., and Van Rate, P. (2017). Analisis pengaruh current ratio, return on equity, debt to equity ratio dan growth terhadap return saham pada cosmetics and household industry yang terdaftar di BEI Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2).
Utama, O. Y., and 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.
Uygur, U., and Taş, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236–241.
Wijayanto, A. (2010). Analisis pengaruh ROA, EPS, financial leverage, proceed terhadap initial return. JDM (Jurnal Dinamika Manajemen), 1(1).
Wiradharma, A., Satria, M., and Sudjarni, L. K. (2016). Pengaruh tingkat suku bunga, tingkat inflasi, nilai kurs rupiah dan produk domestik bruto terhadap return saham (Doctoral dissertation, Udayana University).
Zuleli, R., and Wulansari Yusniar, M. (2013). Pengaruh Tingkat Keuntungan Pasar , Nilai Tukar Rupiah , Inflasi , Dan Tingkat Suku Bunga , Terhadap Return Saham Industri Food And Baverage Tahun 2007-2009 Studi Pada Bursa Efek Indonesia. Jurnal Wawasan Manajemen, 1(1), 105–128.
Al-Abdallah, S. Y., and Aljarayesh, N. I. (2017). Influence of Interest Rate, Exchange rate and Inflation on Common Stock Returns of Amman Stock Exchange, Jordan. International Journal of Economics, Commerce and Management, 5(10), 589-601.
Araujo, R. C. da C., and Machado, M. A. V. (2018). Book-to-Market Ratio , return on equity and Brazilian Stock Returns. RAUSP Management Journal, 53(3), 324–344.
Aryaningsih, Y. N., Fathoni, A., and Harini, C. (2018). Pengaruh Return on Asset (ROA), Return on Equity (ROE) dan Earning per Share (EPS) terhadap Return Saham pada Perusahaan Consumer Good (Food and Beverages) yang Terdaftar di Bursa Efek Indonesia (BEI) Periode 2013-2016. Journal of Management, 4(4).
Asmi, T. L. (2014). Current Ratio, Debt To Equity Ratio, Total Asset Turnover, Return on Asset, Price To Book Value Sebagai Faktor Penentu Return Saham. Management Analysis Journal, 3(2), 1–12.
Ayu, P., Kamiana, N., Bagus, I., and Purbawangsa, A. (2017). Pengaruh Kondisi Pasar Modal dan Rasio Keuangan Terhadap Return Saham di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 6(8), 4269–4297.
Baker, H. K., Hargrove, M. B., and Haslem, J. A. (1977). An Empirical Analysis of the Risk-Return Preferences of Individual Investors. The Journal of Financial and Quantitative Analysis, 12(3), 377.
Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61(4), 1645–1680.
Chen, M. (2014). Analisis Pengaruh Perekonomian Makro Dan Mikro Yang Berpengaruh Pada Risiko Sistematis Saham. Nominal, Barometer Riset Akuntansi Dan Manajemen, 3(2).
Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, Vol. 25, issue. 2, p. 383–417
Statman, M. (1995, December). Behavioral finance versus standard finance. In AIMR conference Proceedings (Vol. 7, pp. 14-22).
Statman, M. (1999). Behaviorial finance: Past battles and future engagements. Financial analysts journal, 55(6), 18-27.
Ferdinand, A. (2014). Metode Penelitian Manajemen (5th ed.). Semarang: Universitas Diponegoro.
Finter, P., Niessen-Ruenzi, A., and Ruenzi, S. (2012). The impact of investor sentiment on the German stock market. Zeitschrift Für Betriebswirtschaft, 82(2), 133–163.
Ghozali, I, and Ratmono, D. (2017). Analisis Multivariat dan Ekonometrika dengan Eviews 10. Semarang: Badan Penerbit: Universitas Diponegoro.
Ghozali, Imam, and Ratmono. (2013). Analisis Multivariat dan Ekonometrika Teori, Konsep dan Aplikasi dengan Eviews 8. Semarang: Badan Penerbit Universitas Diponegoro.
Handayani, R., and Zulyanti, N. R. (2018). Pengaruh Earning Per Share (Eps), Debt To Equity Ratio, (Der), Dan Return on Assets (Roa) Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bei. Jurnal Manajemen, 3(1), 615. https://doi.org/10.30736/jpim.v3i1.143
Harlina, V. R., Khoiruddin, M., and Volatility, S. P. (2018). Dividend Policy and Economic Variable to Stock Price Volatility : Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4).
Ilahi, I., Ali, M., and Jamil, R. A. (2015). Impact of Macroeconomic Variables on Stock Market Returns: A Case of Karachi Stock Exchange. SSRN Electronic Journal.
Juwita, C. P., and Diana, N. (2020). The Effect Of DER And ROE On Stock Price JII Compnies. Management Analysis Journal, 1(2), 120–128.
Kerlinger, Fred N., and Lee, H. B. (2011). Book Review “ Foundations of Behavioral Research .” 13(2), 131–144.
Khairudin, and Wandita, . (2017). Analisis Pengaruh Rasio Profitabilitas, Debt To Equity Ratio (DER) dan Price To Book Value (PBV) Terhadap Harga Saham Perusahaan Pertambangan di Indonesia. Jurnal Akuntansi Dan Keuangan, 8(1).
Khalid, W., and Khan, S. (2017). Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience. International Journal of Econometrics and Financial Management, 5(2), 42–59.
Listriono, K., and 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, L., and Anwar, M. (2018). Implication of Macroeconomic Factors to Stock Returns of Indonesian Property and Real Estate Companies. Jurnal Dinamika Manajemen, 9(1), 100–113.
Martin, G. H. T., and Herman, R. (2017). The effect of macroeconomic and risk factors towards stock return of Indonesia industrial sector in 2008 to 2015. Russian Journal of Agricultural and Socio-Economic Sciences, 71(11), 161–167.
Neumayer, E., and Plümper, T. (2017). Robustness tests for quantitative research. Cambridge University Press.
Nurmasari, I. (2018). Pengaruh Rasio Keuangan dan Pertumbuhan Pendapatan Terhadap Return Saham Pada Perusahaan Perkebunan Di Bursa Efek Indonesia 2010-2017. Jurnal SEKURITAS (Saham, Ekonomi, Keuangan dan Investasi), 2(1).
Okonkwo, and Jude, J. (2019). Volatility of Stock Return and Selected Macroeconomic Variables: Evidence from Nigeria Stock Exchange. International Journal of Academic Research in Business and Social Sciences, 9(6).
Phen, D. (2019). Analisis pengaruh faktor makro ekonomi terhadap return saham pada sektor properti yang terdaftar di Bursa Efek Indonesia periode 2014-2017. Jurnal Manajemen Bisnis dan Kewirausahaan, 4(1), 19-23.
Pratama, I., and Tjun, L. T. (2017). Pengaruh Suku Bunga Acuan dan Nilai Kurs Tengah Valuta Asing Terhadap Return Saham. Jurnal Akuntansi, 9(2).
Putra, F. E. P. E., and Kindangen, P. (2016). Pengaruh Return on Asset (Roa), Net Profit Margin (Npm), Dan Earning Per Share (Eps) Terhadap Return Saham Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia (Periode 2010-2014). Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 4(3), 235–245.
Putranto, A. D., and Darmawan, A. (2018). Pengaruh Ukuran Perusahaan, Profitabilitas, Leverage, Dan Nilai Pasar Terhadap Harga Saham (Studi Kasus pada Perusahaan Pertambangan yang Terdaftar di Bursa Efek Indonesia Periode 2010-2016). Jurnal Administrasi Bisnis (JAB), 56(1), 110–117.
Rahmawati. (2015). Determinan Risiko Sistematis dan Kinerja Saham pada Sektor Industri Barang Konsumsi di Bursa Efek Indonesia. Jurnal MIX, V(3), 368–385.
Rupande, L., Muguto, H. T., and Muzindutsi, P. F. (2019). Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange. Cogent Economics and Finance, 7(1), 1–16.
Sanusi, A. (2017). Metodologi Penelitian Bisnis disertai Contoh Proposal Penelitian Bidang Ilmu Ekonomi dan Manajemen. Jakarta: Salemba Empat.
Saputra, A. H. R. (2019). Pengaruh Faktor Fundamental, Investment Opportunity Set, Dan Pertumbuhan Perusahaan Terhadap Harga Saham Yang Dimediasi Oleh Putusan Investasi Sektor Perkebunan Pada Bursa Efek Indonesia. Jurnal Akuntansi, 13(2), 169–195.
Sarumaha, A. (2018). Analisis Pengaruh Makro Ekonomi dan Faktor Fundamental Perusahaan terhadap Beta Saham Pada Industri Pertambangan yang Terdaftar di Bursa Efek Indonesia. E-Journal Widya Ekonomika, 1(2), 104–110.
Sarwar, G. (2014). U.S. stock market uncertainty and cross-market European stock returns. Journal of Multinational Financial Management, 28, 1–14.
Sayim, M., and Rahman, H. (2015). The relationship between individual investor sentiment, stock return and volatility. International Journal of Emerging Markets, 10(3), 504–520.
Sudiyatno, B., and Suharmanto, T. (2011). Kinerja Keuangan Konvensional, Economic Value Added, dan Return Saham. JDM (Jurnal Dinamika Manajemen), 2(2).
Sugiyani, S. D. A., and Saryadi. (2019). Pengaruh Return on Equity (ROE), Earning per Share (EPS), Deviden , dan Harga Saham terhadap Return Saham Perusahaan Sub Sektor Asuransi yang Terdaftar di Bursa Efek Indonesia Tahun Periode 2015-2017. Jurnal Ilmu Administrasi Bisnis, 8(2), 73–85.
Sukmawardini, D., and Ardiansari, A. (2018). The influence of institutional ownership, profitability, liquidity, dividend policy, debt policy on firm value. Management Analysis Journal, 7(2), 211–222.
Sunardi, N. (2018). Analisis Du Pont System dengan Time Series Approach (TSA) dan Cross Sectional Approach (CSA) dalam Penilaian Kinerja Keuangan Perusahaan (Studi Pada Industri Konstruksi (BUMN) di Indonesia Yang Listing di BEI Tahun 2013-2017). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 1(4), 1–15.
Supriantikasari, N., and Utami, E. S. (2019). Pengaruh Return on Assets, Debt to Equity Ratio, Current Ratio, Earning per Share dan Nilai Tukar terhadap Return Saham (Studi Kasus Pada Perusahaan Go Public Sektor Barang Konsumsi Yang Listing Di Bursa Efek Indonesia Periode 2015-2017). Jurnal Riset Akuntansi Mercu Buana, 5(1), 49.
Syahputra, A. (2018). Analisis Eva, Eps, Dan Per Terhadap Return Saham Pada Perusahaan Sub Sektor Makanan and Minuman. Jurnal Ilmiah Akuntansi Universitas Pamulang, 6(2), 174.
Taslim, A., and Wijayanto, A. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan Terhadap Return Saham. Management Analysis Journal, 5(1), 1–6.
Thampanya, N., Wu, J., Nasir, M. A., and Liu, J. (2020). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions and Money, 65, 101193.
Tumonggor, M., Murni, S., and Van Rate, P. (2017). Analisis pengaruh current ratio, return on equity, debt to equity ratio dan growth terhadap return saham pada cosmetics and household industry yang terdaftar di BEI Periode 2010-2016. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 5(2).
Utama, O. Y., and 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.
Uygur, U., and Taş, O. (2014). The impacts of investor sentiment on different economic sectors: Evidence from Istanbul Stock Exchange. Borsa Istanbul Review, 14(4), 236–241.
Wijayanto, A. (2010). Analisis pengaruh ROA, EPS, financial leverage, proceed terhadap initial return. JDM (Jurnal Dinamika Manajemen), 1(1).
Wiradharma, A., Satria, M., and Sudjarni, L. K. (2016). Pengaruh tingkat suku bunga, tingkat inflasi, nilai kurs rupiah dan produk domestik bruto terhadap return saham (Doctoral dissertation, Udayana University).
Zuleli, R., and Wulansari Yusniar, M. (2013). Pengaruh Tingkat Keuntungan Pasar , Nilai Tukar Rupiah , Inflasi , Dan Tingkat Suku Bunga , Terhadap Return Saham Industri Food And Baverage Tahun 2007-2009 Studi Pada Bursa Efek Indonesia. Jurnal Wawasan Manajemen, 1(1), 105–128.
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Affiliations
Ari Nur Rachman
Universitas Negeri Semarang
Andhi Wijayanto
Universitas Negeri Semarang
How to Cite
1.
Rachman A, Wijayanto A. Do Fundamental and Behavioral Factors Affect Insurance Company’s Stock Returns?. MAJ [Internet]. 1Nov.2021 [cited 27Dec.2024];10(3):347-58. Available from: https://journal.unnes.ac.id/sju/maj/article/view/49814
Do Fundamental and Behavioral Factors Affect Insurance Company’s Stock Returns?
Vol 10 No 3 (2021): Management Analysis Journal
Submitted: Sep 10, 2021
Published: Nov 1, 2021
Abstract
This study aims to determine the effect of fundamental factors and behavioral finance on stock returns. The company's financial performance variables use Return on equity (ROE) and Earnings per Share (EPS) as proxies. The macroeconomic condition variable uses the exchange rate and the BI rate as a proxy. Investor sentiment variable uses Trading Volume Activity (TVA) and Consumer Confidence Index (CCI) as proxies. The object of this research is the insurance sub-sector companies listed on the Indonesia Stock Exchange for the 2015-2019 period. The research sample was selected using purposive sampling method so that 12 companies were selected as samples. The data analysis method used was multiple regression using the Eviews 9 tool. The results showed that the company's financial performance variables and macroeconomic conditions had no effect on stock returns. Investor sentiment with TVA proxy has a significant positive effect on company returns, while CCI has no effect on company returns.