Rasio Keuangan dan Return Saham Syariah
Keywords:
stock return, index saham syariah indonesia, financial ratio
Abstract
This study investigates the effect of financial ratios on stock returns at companies listed in Indeks Saham Syariah Indonesia (ISSI) period 2012-2016. This study uses quantitative methods with secondary data collected from the company's financial statements. The population in this study were all companies listed on the Syariah Indonesia Stock Index (ISSI) during the period of 2012-2016 as many as 149 companies. Based on the sampling technique with purposive sampling method obtained a sample of 59 companies with data collected during the period 2012-2016 as many as 295 financial report data. In this study panel panel regression was used to see the effect of the independent variables consisting of ROCE, TATO, TIER, PER and CFR on the dependent variable namely Stock Return. Processing data in this study using Eviews 9. Software. Data analysis techniques in this study using statistical techniques with the help of Eviews 9 program. Based on 59 companies observed, fixed effect panel data regression models have been used to examine the relevance to the effect of financial ratios on stock returns. The result of the research, found that the Total Asset Turnover (TATO) and Time Interest Income Ratio (TIER) have a positive effect on stock returns. Total Asset Turnover (TATO) and Time Interest Earned Ratio (TIER) can be considered by investors to make decisions in choosing which companies have high stock returns. Return On Capital Employed (ROCE), Price To Earning Ratio (PER), and Cash Flow Ratio (CFR) are not related to stock returns.
References
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Prastowo, D. (2011). Analisis Laporan Keuangan: Konsep dan Aplikasi. Yogyakarta: UPP STIM YKPN.
Riley, J. G. (2001). Silver Signals: Twenty-Five Years of Screening and Signaling. Journal of Economic Literature, 39(02).
Saqib, L., Zafar, M. A., Khan, K., Roberts, K. W., & Zafar, A. M. (2015). Local Agricultural Financing and Islamic Banks: Is Qard al-Hassan a Possible Solution? Journal of Islamic Accounting and Business Research, 06(01).
Sartono, R. A. (2009). Manajemen Keuangan: Teori dan Aplikasi. Yogyakarta: BPFE.
Scarlett, B. (2005). Management Accounting Performance Evaluation. Oxford: Elsevier Science and Technology.
Setiyawan, I., & Pardiman. (2014). Pengaruh Current Ratio, Inventory Turnover, Time Interest Earned dan Return On Equity Terhadap Harga Saham pada Perusahaan Manufaktur Sektor Barang Konsumsi yang Terdaftar di BEI periode 2009-2012. Jurnal Nominal, 03(01).
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(03).
Widarjono, A. (2013). Ekonometrika Pengantar dan Aplikasinya (5th ed.). Yogyakarta: UPP STIM YKPN.
Willliams, J. (1988). Efficient Signalling with Dividends, Investment, and Stock Repurchases. The Journal of Finance, 43(03).
Algifari. (2013). Statistika Induktif: untuk Ekonomi dan Bisnis. Yogyakarta: UPP STIM YKPN.
Asquith, P., & Mullins Jr, D. W. (1983). The Impact of Initiating Dividend Payments on Shareholders’ Wealth. The Journal of Business, 56(01).
Bajkowski, J. (1999). Financial Ratio Analysis: Putting the Numbers to Work. AAII Journal, 21(01).
Ball, R., & Brown, P. (1968). An Empirical Evaluation of Income Number. Journal of Accounting Research, 06(02).
Basu, S. (1977). Investment Performance of Common Stocks to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis. The Journal of Finance, 32(03).
Bhattacharya, S. (1979). Abstract: An Exploration of Nondissipative Dividend-Signaling Structures. Journal of Financial and Quantitative Analysis, 14(04).
Bisara, C., & Lailatul, A. (2015). Pengaruh Kinerja Keuangan Terhadap Return Saham. Jurnal Ilmu & Riset Akuntansi, 4(2).
Brigham, E. F., & Houston, J. F. (2016). Fundamentals of Financial Management. Mason: Cengage Learning, Inc.
Carslaw, C. A., & Mills, J. R. (1991). Developing ratios for Effective Cashflow Statement Analysis. Journal of Accountancy, 175(05).
Casey, C. J., & Bartczak, N. J. (1984). Cash Flow--It’s Not the Bottom Line. Harvard Business Review.
Charest, G. (1978). Dividend Information, Stock Returns and Market Efficiency. Journal of Financial Economics, 06(2–3).
Cupic, M., Todorovic, M., & Ilic, N. (2013). Analysis of The Earnings-Return Relation Serbian Capital Market. Facta Universitatis: Series Economics and Organization, 10(02).
Dodge, R. (1997). Foundations of Business Accounting (2nd ed.). Amerika Serikat: Cengage.
Dugan, M. T., & Samson, W. D. (1996). Operating Cash Flow: Early Indicators of Financial Difficulty and Recovery. Journal of Financial Statement Analysis, 01(04).
Edmunds, S. A. (2011). What Can a Company Do if They Have Negative Cash Flow From Operations?
Fairfield, P. M. (1994). P/E, P/B and The Present Value of Future Dividends. Financial Analysts Journal, 50(04).
Fairfield, P. M., & Yohn, T. L. (2001). Using asset turnover and profit margin to forecast changes in profitability. Review of Accounting Studies, 06(04).
Firmansyah, E. A. (2017). Seleksi Saham Syariah : Perbandingan antara Bursa Efek Indonesia dan Malaysia. Jurnal Inspirasi Bisnis Dan Manajemen, 01(01).
Giacomino, D. E., & Mielke, D. E. (1993). Cash Flows: Another Approach to Ratio Analysis. Journal of Accountancy, 175(03).
Harahap, S. S. (2018). Analisis Kritis atas Laporan Keuangan. Jakarta: Raja Grafindo Persada.
Hartono, J. (2015). Teori Portofolio dan Analisis Investasi. (10th ed.). Yogyakarta: BPFE.
Jabbari, E., & Fathi, Z. (2014). Prediction of Stock Returns Using Financial Ratios Based on Historical Cost, Compared With Adjusted Prices (Accounting for Inflation) With Neural Network Approach. Indian Journal of Fundamental and Applied Life Sciences, 04.
Kasmir. (2018). Analisis Laporan Keuangan. Jakarta: Raja Grafindo Persada.
Khan, W., Naz, A., Khan, M., Khan, W. K. Q., & Ahmad, S. (2013). The Impact of Capital Structure and Financial Performance on Stock Returns “A Case of Pakistan Textile Industry.” Middle-East Journal of Scientific Research, 16(02).
Kieso, D. E., Weygandt, J. J., & Warfield, T. D. (2014). Intermediate Accounting (2nd ed.). New Jersey: John Wiley & Sons.
Lev, B., & Zarowin, P. (1999). The Boundaries of Financial Reporting and How to Extend Them. Journal of Accounting Research, 37(02).
Lewellen, J. (2004). Predicting Returns With Financial Ratios. Journal of Financial Economics, 74(02).
Mclure, B. (2017). 6 Bad Stock Buyback Scenarios.
Menon, C. (2013). The Limitations of Earnings Per Share.
Nichols, D. C., & Wahlen, J. M. (2004). How Do Earnings Numbers Relate to Stock Returns? A Review of Classic Accounting Research With Updated Evidence. Accounting Horizons, 18(04).
Nurrohman, M. H., & Zulaikha. (2013). Pengaruh Earning Per Share, Return Saham, Kualitas Audit, dan Hasil Laba Terhadap Return Saham Satu Tahun ke Depan (Studi Empiris Pada Perusahaan Manufaktur yang Terdaftar di BEI Tahun 2010-2011). Diponegoro Journal of Accounting, 02(03), 516–524.
Onditi, A. A., Oginda, M. N., Ochieng, I., & Oso, W. (2012). Implications of Service Quality on Customer Loyalty in the Banking Sector. A Survey of Banks in Homabay County, Kenya. International Jurnal of Business and Social Science, 03(21).
Petcharabul, P., & Romprasert, S. (2014). Technology Industry on Financial Ratios and Stock Returns. Journal of Business and Economics USA, 05(05).
Pik Har, W., & Ghafar, M. A. A. (2015). The Impact of Accounting Earnings on Stock Returns: The Case of Malaysia’s Plantation Industry. International Journal of Business and Management, 10(04).
Ping-fu, B. L., & Kwai-yee, K. C. (2016). Relationships Between Stock Returns and Corporate Financial Ratios Based On A Statistical Analysis of Corporate Data From The Hong Kong Stock Market. Public Finance Quarterly, 61(01).
Prastowo, D. (2011). Analisis Laporan Keuangan: Konsep dan Aplikasi. Yogyakarta: UPP STIM YKPN.
Riley, J. G. (2001). Silver Signals: Twenty-Five Years of Screening and Signaling. Journal of Economic Literature, 39(02).
Saqib, L., Zafar, M. A., Khan, K., Roberts, K. W., & Zafar, A. M. (2015). Local Agricultural Financing and Islamic Banks: Is Qard al-Hassan a Possible Solution? Journal of Islamic Accounting and Business Research, 06(01).
Sartono, R. A. (2009). Manajemen Keuangan: Teori dan Aplikasi. Yogyakarta: BPFE.
Scarlett, B. (2005). Management Accounting Performance Evaluation. Oxford: Elsevier Science and Technology.
Setiyawan, I., & Pardiman. (2014). Pengaruh Current Ratio, Inventory Turnover, Time Interest Earned dan Return On Equity Terhadap Harga Saham pada Perusahaan Manufaktur Sektor Barang Konsumsi yang Terdaftar di BEI periode 2009-2012. Jurnal Nominal, 03(01).
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(03).
Widarjono, A. (2013). Ekonometrika Pengantar dan Aplikasinya (5th ed.). Yogyakarta: UPP STIM YKPN.
Willliams, J. (1988). Efficient Signalling with Dividends, Investment, and Stock Repurchases. The Journal of Finance, 43(03).
