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Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector

MAWARDI, Wisnu (2018) Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector. International Research Journal of Business Studies, 11 (3). pp. 179-193. ISSN 2338-4565

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This study aimed to analyze the influence of return on equity, debt to
equity ratio, sales growth, firm size, cash ratio, and dividend payout
ratio to stock price volatility companies listed on the Indonesia Stock
Exchange in the period 2011-2015. The populations of this study are all
manufacturing companies listed in Indonesia Stock Exchange (IDX)
in the period 2011 to 2015. It obtained eight companies samples with
technique purposive sampling method. The data analysis technique
used is the regression model panel then be adjusted again by using
GARCH (Generalized Autoregressive Conditional Heteroscedasticity).
The results showed that the volatility of the stock price only affect
without any effect ARCH-GARCH therein. Determining the best models
of each prediction is based on estimated volatility GARCH (p, q). The
determination of whether there is influence of the factors believed to
be the determinants of stock price volatility was done by using panel
data regression analysis. The results of panel data regression analysis
showed that the company’s stock price volatility in the research
samples can be explained by 4.84% by ROE, CR, DER, DPR, company
size and sales growth while the remaining 95.16% explained by other
variables outside the research. Only sales growth has significant
positive effect on stock price volatility.

Item Type: Article
Additional Information: Return on Equity, Debt to Equity Ratio, Sales Growth, Company Size, Cash Ratio, Dividend Payout Ratio, Price Volatility Stocks, Manufacturing Company
Uncontrolled Keywords: Return on Equity (ROE), Debt to Equity Ratio (DER), Pertumbuhan Penjualan, Ukuran Perusahaan, Cash Ratio (CR), Dividend Payout Ratio (DPR), Volatilitas harga saham, Perusahaan manufaktur.
Subjects: Undip Formal Documents
Depositing User: FAKULTAS FEB
Date Deposited: 16 Jan 2020 02:47
Last Modified: 16 Jan 2020 02:47

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