Stock Return Volatility Of Indonesian Stock Exchange: The Effect Of Macroeconomic, Corporate Performance, And Behavioral Factors

Arief Hamdan Syarief, Ade Banani, Rio Dhani Laksana

Abstract


: This research aims to examine fundamental factors consisting of macroeconomic variables and company performance as well as behavioral factors regarding stock return volatility on the Indonesia Stock Exchange for the 2016-2023 period. The population in this research is all companies listed on the Indonesia Stock Exchange based on 2020 data, totaling 724 companies. Based on calculations using the Slovin method, it was concluded that the minimum sample that must be taken from the population is 88 companies. The sampling method uses proportional stratified random sampling. Data analysis uses panel data regression. The results of data analysis show that from macroeconomic factors, gross domestic product and interest rates have a negative effect on stock return volatility, exchange rates have a positive effect on stock return volatility, while inflation has no significant effect on stock return volatility. The results of statistical tests on company performance factors show that return on equity has a negative effect on stock return volatility, while earnings per share and price to book value do not have a significant effect on stock return volatility. The results of statistical tests on behavioral factors show that the political risk index has a negative effect on stock return volatility, while the perception index has a positive effect on stock return volatility.

Keywords: Stock return volatility, macro economic variabel, corporate performance, behavioral factor


Full Text:

PDF

References


Assous, H. F. (2022). Saudi Green Banks and Stock Return Volatility: GLE Algorithm and Neural Network Models. Economies, 10(10). https://doi.org/10.3390/economies10100242

Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645–1680.

Bartram, S. M., Brown, G., & Stulz, R. M. (2012). Why Are U.S. Stocks More Volatile? Journal of Finance, 67(4), 1329–1370. https://doi.org/10.1111/j.1540-6261.2012.01749.x

Brigham, E. F., & Houston, J. F. (2019). Fundamentals of Financial Management 15th. Cengage.

Cardoso, G., Carr, D. D., & Rogers, P. (2019). Does corporate governance matter for stock returns volatility in the Brazilian context? Corporate Governance (Bingley), 19(6), 1236–1252. https://doi.org/10.1108/CG-03-2019-0083

Djazuli, A., & Lestriyani, D. (2021). Determinant of Stock Price Volatility in LQ45 Companies: An Analysis of Macroeconomic Conditions In Indonesia. Jurnal Ilmu Manajemen, 10(2), 133. https://doi.org/10.32502/jimn.v10i2.3394

Ftzsimons, E., & Sun, M. (2012). An Exploration Of : How Political Risk Components Affect The Stock Return And Volatility Considering Different Countries Of Varying Economic Development . May, 68.

Ghozali, I. (2018). Aplikasi Analisis Multivariate dengan Program IBM SPSS25. Badan Penerbit Universitas Diponegoro.

Hanafi, M., & Halim, A. (2012). Analisis Laporan Keuangan. In U. S. YKPN (Ed.), UPP STIM YKPN (keempat).

Hery. (2016). Analisis Laporan Keuangan. In Analisis Laporan Keuangan. PT. Grafindo.

Indarwati, S., & Widarjono, A. (2021). The Determinant of Indonesian Stock Returns’ Volatility: Evidence from Islamic and Conventional Stock Market. Shirkah: Journal of Economics and Business, 6(3), 277–296. https://doi.org/10.22515/shirkah.v6i3.431

Jiang, S., & Jin, X. (2021). Effects of investor sentiment on stock return volatility: A spatio-temporal dynamic panel model. Economic Modelling, 97(April), 298–306. https://doi.org/10.1016/j.econmod.2020.04.002

Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: Evidence from Turkey. Economic Modelling, 28(3), 1328–1334. https://doi.org/10.1016/j.econmod.2011.01.015

Khalid, W., & 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. https://doi.org/10.12691/ijefm-5-2-4

Lakshmi, G., Saha, S., & Bhattarai, K. (2021). Does corruption matter for stock markets? The role of heterogeneous institutions. Economic Modelling, 94, 386–400. https://doi.org/10.1016/j.econmod.2020.10.011

Niewińska, K. (2020). Factors affecting stock return volatility in the banking sector in the euro zone. Journal of Economics and Management, 39(1), 132–148. https://doi.org/10.22367/jem.2020.39.07

Nugroho, A. D., & Robiyanto, R. (2021). Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic. Jurnal Keuangan Dan Perbankan, 25(1), 1–20. https://doi.org/10.26905/jkdp.v25i1.4980

Poon, S.-H. (2005). A practical guide to forecasting financial market volatility. John Wiley & Sons.

Pratama, Y. C., & Azzis, A. (2018). Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah, 10(1), 171–188. https://doi.org/10.15408/aiq.v10i1.5550

Qing, Y. K., & Kusairi, S. (2019). The Effect of Money Supply, Exchange Rate, and Interest Spread toward the Performance of Stock Market in Malaysia. Widyakala Journal, 6(2), 142. https://doi.org/10.36262/widyakala.v6i2.217

Sadrina, M. Della, Hady, H., & Nalurita, F. (2023). The Influence of Internal and External Variables on Stock Price Volatility in the Manufacturing Sector in Indonesia. International Journal of Social Science and Human Research, 06(07), 4382–4393. https://doi.org/10.47191/ijsshr/v6-i7-66

Sari, L. K., Achsani, N. A., & Sartono, B. (2017). Pemodelan Volatilitas Return Saham: Studi Kasus Pasar Saham Asia Modelling Volatility of Return Stock Index: Evidence from Asian Countries. Jurnal Ekonomi Dan Pembangunan Indonesia, 18(1), 35–52.

Sugiyono. (2018). Metode Penelitian Kuantitatif. Alfabeta.

Sukirno, S. (2010). Teori pengantar makro ekonomi Edisi Ketiga. Raja Grafindo. Jakarta.

Sutrisno, B. (2020). The Determinants of Stock Price Volatility in Indonesia. EAJ (Economic and Accounting Journal), 3(1), 73–79. https://doi.org/10.32493/eaj.v3i1.y2020.p73-79

Thampanya, N., Wu, J., Nasir, M. A., & Liu, J. (2020a). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions and Money, 65, 101193. https://doi.org/10.1016/j.intfin.2020.101193

Thampanya, N., Wu, J., Nasir, M. A., & Liu, J. (2020b). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions & Money, 65, 101193. https://doi.org/https://doi.org/10.1016/j.intfin.2020.101193

Thampanya, N., Wu, J., Nasir, M. A., & Liu, J. (2020c). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions and Money, 65, 101193. https://doi.org/10.1016/j.intfin.2020.101193

Tuyon, J., & Ahmad, Z. (2016). Behavioural finance perspectives on Malaysian stock market efficiency. Borsa Istanbul Review, 16(1), 43–61.

Vychytilová, J., Pavelková, D., Pham, H., & Urbánek, T. (2019). Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry. Economic Research-Ekonomska Istrazivanja , 32(1), 3327–3341. https://doi.org/10.1080/1331677X.2019.1661003

Widarjono, A. (2007). Ekonometrika: teori dan aplikasi untuk ekonomi dan bisnis. In Yogyakarta. Ekonisia.

Xie, F., Anderson, H. D., Chi, J., & Liao, J. (2019). Does residual state ownership increase stock return volatility? Evidence from china’s secondary privatization. Journal of Banking and Finance, 100, 234–251. https://doi.org/10.1016/j.jbankfin.2019.01.012

Zhang, A. (2012). An Examination of the Effects of Corruption on Financial Market Volatility. Journal of Emerging Market Finance, 11(3), 301–322. https://doi.org/10.1177/0972652712466501


Refbacks

  • There are currently no refbacks.