PENGARUH FAKTOR INTERNAL TERHADAP VOLATILITAS RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERINDEKS JAKARTA ISLAMIC INDEX PERIODE 2020-2024: (ANALISIS JANGKA PENDEK DAN PANJANG DENGAN PENDEKATAN ARDL)

Selfi Sang Fitri, NIM.: 22108030104 (2026) PENGARUH FAKTOR INTERNAL TERHADAP VOLATILITAS RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERINDEKS JAKARTA ISLAMIC INDEX PERIODE 2020-2024: (ANALISIS JANGKA PENDEK DAN PANJANG DENGAN PENDEKATAN ARDL). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The period 2020-2024 reflects a critical period of global economic transition from the pandemic crisis to recovery, with market volatility increasing significantly. This situation requires investors, financial managers, and regulators to more deeply understand how company size, leverage (DER), and profitability (ROA) affect the stability of sharia stocks. Stock return volatility in the JII index reflects not only financial risk but also the extent to which a company is able to maintain consistency with sharia values. This study sampled 16 JII companies from 2020-2024. This study was analyzed using the ARDL model approach. Based on the results, company size affects stock return volatility, DER affects stock return volatility, and ROA does not affect stock return volatility.

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