PENGARUH FAKTOR-FAKTOR FUNDAMENTAL TERHADAP VOLATILITAS HARGA SAHAM DI DAFTAR EFEK SYARIAH (DES)

Intan Magfirah, NIM.: 22208012041 (2024) PENGARUH FAKTOR-FAKTOR FUNDAMENTAL TERHADAP VOLATILITAS HARGA SAHAM DI DAFTAR EFEK SYARIAH (DES). Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study explains how leverage, dividend per share, dividend yield, dividend per share, earning volatility, asset growth, firm size and foreign ownership affect stock price volatility in the Sharia Securities List (DES) in 2014-2023. This study uses quantitative methods through secondary data sourced from the Indonesia Stock Exchange (IDX). The analysis technique in this study uses an error correction model (ECM) in the short term and long term. The results of this study explain that leverage and dividend payout ratio have no effect on stock price volatility in both the short and long term. Dividend yield has a negative and significant impact on stock price volatility in the long term, but in the short term it has no effect on stock price volatility. In addition, dividend per share and earnings volatility have a negative and significant effect on stock price volatility in the short and long term. Asset growth has a negative and significant effect on stock price volatility in the long term, but earning volatility has no effect on stock price volatility in the short term. Then, firm size and foreign ownership both have a negative and significant effect on stock price volatility both in the short and long term.

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