Pengaruh faktor fundamental, risiko sistematis, dan indikator makroekonomi terhadap return saham perusahaan yang tergabung di Indeks Saham Syariah Indonesia periode 2016-2020

Aliyana, Aisah April and Welkom, Syahfitri Suryaningsi (2022) Pengaruh faktor fundamental, risiko sistematis, dan indikator makroekonomi terhadap return saham perusahaan yang tergabung di Indeks Saham Syariah Indonesia periode 2016-2020. Transformasi: Jurnal Ekonomi, Manajemen dan Akuntansi, 6 (2). pp. 55-74. ISSN 1907-3429

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Abstract

This research aims to analyze the influence of Fundamental Factors, Systematic Risks, and Macroeconomic Indicators on Return of Share of the companies incorporated in ISSI. The data used in this study is secondary data. The method used is regression panel data with the help of Eviews 12 statistical software to obtain an overview between independent variables and dependent variables. The sample in this study amounted to 60 companies that is listed in ISSI using purposive sampling methods. This result of this study shows that fundamental factors which calculated by the probability ratio of NPM and ROA. ROA has a positive and significant effect, while NPM has a negative and significant effect. Systematic risk calculated through stock beta and macroeconomic indicators calculated by inflation and PDB which do not affect on stock return. Simultaneously ROA, NPM, Beta, Infaltion, and PDB have not joint effect on Stock Return.

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