EFFECT OF FINANCIAL PERFORMANCE AND MACROECONOMIC CONDITIONS ON STOCK RETURN LQ45 Novita Rizky Sukrianingrum (*a), Isrochmani Murtaqi (b)
School of Business and Management Institut Teknologi Bandung novita.sukrianingrum[at]sbm-itb.ac.id nani[at]sbm-itb.ac.id
Abstract
The LQ45 category is one of the indexes that investors are interested in because it has high liquidity and large market capitalization. However, based on the LQ45 index in the past five years (2013-2017), in 2015 the LQ45 index significantly decreased. It indicates the LQ45 index does not always provide positive returns for the investors. The purpose of this study is to examine the effect of financial performance and macroeconomic conditions on the companys stock returns recorded in the LQ45 index. This study uses 38 samples listed in the LQ45 index for the period 2013-2017, selected using the purposive sampling method. Multiple linear regression is used to determine the relationship between financial performance components: Return on Assets (ROA), Current Ratio (CR), Debt to Assets Ratio (DAR), and macroeconomic conditions: BI Rate, Inflation, Gross Domestic Product Growth (GDP Growth), with stock returns. The result of this study indicates that ROA and GDP Growth have a positive and significant effect on stock returns. CR, BI rate, and inflation have a negative and significant effect on stock returns. DAR has a negative effect on stock returns, but statistically, the effect is not significant. And simultaneously, ROA, CR, DAR, BI Rate, Inflation, and GDP Growth have a negative and significant impact on LQ45 company stock returns.
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