JURISMA: Jurnal Riset Bisnis dan Manajemen Volume Xi Nomor 1 (April 2.
E-ISSN: 2338-292X (Onlin.
P-ISSN: 2086-0455 (Prin.
E-mail: Jurisma@email.
Analysis of Fundamental Factors Affecting Stock Prices Dikdik Harjadi.
Munir Nur Komarudin*.
Lili Karmela Fitriani.
Enricho Dwi Indriarto nur@uniku.
Universitas Kuningan.
Jl.
Cut Nyak Dien.
Kabupaten Kuningan.
Jawa Barat.
Indonesia
Received Date
Revised Date
Accepted Date
ABSTRACT
This study aims to determine the effect of profitability, solvency, liquidity, and market value on stock prices.
The population and samples used were 22 mining companies.
The sampling technique used was purposive sampling with descriptive and verification analysis methods, and using Eviews 9.
The data analysis technique used was panel data regression Based on the results of the F test, shows that profitability, solvency, liquidity, and market value together have a significant effect on stock prices.
Also, the results of the t-test show that profitability has no effect on stock prices, while solvency has a significant effect on stock prices, liquidity has a significant effect on stock prices and finally, market value also has a significant effect on stock prices.
The implication of this research is that the company is expected to keep the company in a solvable state by being aware of the amount of debt it has because it will bring the risk of non-payment of debt.
Keywords Profitability.
Solvency.
Liquidity.
Market Value.
Stock Price
ABSTRAK
Penelitian ini bertujuan untuk mengetahui pengaruh profitabilitas, solvabilitas, likuiditas, dan nilai pasar terhadap harga saham.
Populasi dan sampel yang digunakan sebanyak 22 perusahaan pertambangan.
Teknik pengambilan sampel yang digunakan purposive sampling dengan metode analisis deskriptif dan verifikatif, serta menggunakan Eviews 9.
Teknik analisis data yang digunakan yaitu analisis regresi data panel.
Berdasarkan hasil uji F profitabilitas, solvabilitas, likuiditas, dan nilai pasar secara bersama-sama berpengaruh signifikan Terhadap Harga Saham.
Serta, hasil uji t menunjukan bahwa profitabilitas tidak memiliki pengaruh Terhadap Harga Saham, sementara untuk solvabilitas memiliki pengaruh signifikan Terhadap Harga Saham, likuiditas memiliki pengaruh signifikan Terhadap Harga Saham dan yang terakhir untuk nilai pasar juga memiliki pengaruh signifikan Terhadap Harga Saham.
Implikasi dari penelitian ini diharapkan perusahaan menjaga agar perusahaan tetap dalam keadaan solvable dengan cara mewaspadai jumlah hutang yang dimiliki karena akan mendatangkan risiko tidak terbayarnya utang.
Kata Kunci Profitabilitas.
Solvabilitas.
Likuiditas.
Nilai Pasar.
Harga Saham
JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN
INTRODUCTION
The economy in Indonesia is growing every year, evidenced by the increasing number of companies listed on the Indonesia Stock Exchange (IDX).
This is done because it is one of the company's ways to obtain additional funding sources by attracting funds from outside the company.
Funds from outside can be obtained from the capital market.
The capital market is a market for various long-term financial instruments .
r securitie.
that can be traded, either in the form of debt or own capital, whether issued by the government or public or private companies (Husnan, 2.
In this modern era, success in managing the company is an indicator of changes in stock prices.
A company can be said to be successful in managing its business, if its share price continues to increase in each period, this makes many investors interested and judge that the company is successful in managing the company, because investor trust is very important and very much needed for the company, so if more and more investors believe in the company, the desire to invest in the company will also be stronger.
According to Jogiyanto in Hutami .
2: .
, stock prices are prices that occur on the stock market at certain times determined by market participants and determined by the demand and supply of the shares concerned in the capital market.
So it can be concluded that the stock price is the price formed due to the interaction between the sellers and buyers of shares in the hope of getting benefits from the transactions made.
In conducting analysis and choosing stocks, there are two .
analyzes or approaches that are often used, namely technical analysis and fundamental analysis.
(Lestari, 2.
Technical analysis is a method used to value stocks, whereby using this method analysts evaluate stocks based on statistical data generated from stock trading activities, such as stock prices and transaction volume.
With a variety of existing charts and chart patterns that are formed, technical analysis tries to predict the direction of future stock price movements.
(Darmadji, 2.
Fundamental analysis is a tool used to help analyze a company's financial statements so that the strengths and weaknesses of a company can be identified.
Ratio analysis also provides indicators that can measure profitability, liquidity, income, and utilization of company assets and liabilities (Munawir, 2.
Table 1 shows the movement of share prices using year-end closing prices for mining companies listed on the Indonesian stock exchange in the 2016-2020 period.
JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN
Table 1.
Share Prices per Mining Sector Company in 2016-2020 Company Name 1 Adro Energy 2 Atlas Resources 3 Borneo Olah Sarana Sukses 4 Bara Multi Sukses 5 Bumi Resources 6 Bayan Resources 7 Darma Henwa 8 Delta Dunia Makmur 9 Dian Swastatika Sentosa 10 Alfa Energi Investama 11 Golden Energy Mines 12 Garda Tujuh Buana 13 Harum Energy 14 Indika Energy 15 Indo Tambang Raya Megah 16 Resources Alam Indonesia 17 Mitra Bara Adiperdana 18 Samindo Resources 19 Bukit Asam 20 Petrosea 21 Golden Eagle Energy 22 Toba Bara Sejahtera Source: w.
id data processed, 2022 Share Price (IDR) 2017 2018 2019 - 2.
- 1.
Average Information Turun Turun Turun Naik Turun Naik Tetap Turun Naik Turun Turun Turun Naik Naik Turun Turun Naik Naik Turun Naik Turun Turun Based on Table 1.
of 22 companies where stock prices fluctuate every year.
However, the results of the analysis in the table above show that only 8 companies experienced an increase and 14 companies tended to decrease in the last 5 years.
If this is allowed to continue, it will harm the company and will further reduce investors' interest in investing.
According to Zulfikar .
6: 91-.
, factors that affect stock prices can come from internal and external factors of the company, such as corporate actions, company fundamental conditions, macroeconomic conditions and government policies.
Meanwhile, according to Febri .
, there are internal and external factors that affect stock Internal factors including the condition of issuers such as dividend distribution, and changes in strategy at the general meeting of shareholders, will be important information for investors in the capital market.
While external factors include government policies, changes in the exchange rate of the rupiah against the dollar .
xchange rat.
, the state of inflation, and the determination of interest rates by Bank Indonesia.
By using financial ratios, investors can carry out an analysis to estimate stock prices in the future by estimating the value of the fundamental factors that affect stock prices and applying the relationships between these factors so that in the end the estimated stock price can be By using financial ratios, investors can carry out an analysis to estimate stock prices in the future by estimating the value of the fundamental factors that affect stock prices and applying the relationships between these factors so that in the end the estimated stock price can be determined.
thus with many factors that can affect a company's stock price, this research is limited only to the influence of fundamental factors by looking at the company's condition through company performance .
inancial statement.
using financial JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN ratios, namely: Net Profit Margin (NPM).
Debt to Equity Ratio ( DER).
Current Ratio (CR) and Price to Book Value (PBV).
The results of research on the influence of the fundamental factors of financial ratios on stock prices still produce inconsistent findings, so further testing is needed to determine the consistency of the findings when applied to different environmental conditions.
Seeing the results of these different studies, researchers want to analyze the effect of fundamental financial ratios such as Net Profit Margin (NPM).
Debt to Equity Ratio (DER).
Current Ratio (CR) and Price to Book Value (PBV) on the company's stock price.
Mining was Listed on the Indonesia Stock Exchange in 2016-2020 either simultaneously or partially.
Based on the explanation of theoretical concepts and differences in research results, the paradigm in this study can be formulated according to Figure 1.
Net Profit Margin (X.
Debt to Equity Ratio (X.
Stock Price Current Ratio (X.
Price to Book Value (X.
Source: Research analysis results, 2022 Figure 1.
Research Model Based on Figure 1.
, financial ratios are considered very effective for measuring company performance, especially in terms of measuring stock prices.
Financial ratios that are considered good for measuring stock prices according to Kasmir .
include profitability ratios, solvency ratios, liquidity ratios and market value ratios.
Based on research conducted by Watung Rosdian Widiawati and Ventje Ilat in 2016 stated that financial ratios with measures of profitability, solvency, liquidity and market value simultaneously affect stock prices.
Based on this, it can be formulated formulation of the problem [H.
Profitability.
Solvability.
Liquidity, and Market Value, simultaneously .
affect stock prices.
The profitability ratio is a ratio that describes a company's ability to earn profits through all existing capabilities and sources such as sales activities, cash capital, number of employees, number of branches and so on (Harahap.
The size of this ratio affects the company's stock price.
the research results of Watung and Ilat .
whose research results show that Net Profit Margin has a significant influence on stock prices.
Based on this, the hypothesis [H.
is formulated.
Profitability has a positive effect on stock prices.
Solvability or leverage ratios are used to measure a company's ability to meet all of its financial obligations, which consist of short-term debt and long-term debt.
In this study the solvency ratio used is the Debt to Equity Ratio, a high Debt to Equity Ratio
indicates that the company's funding uses more debt, the greater the company's DER
JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN
means the company's profit is also large but it is used to pay off its debts.
So investors are interested in investing their funds even though investors know the company is taking a big risk (Kanti, 2.
The results of research from Alwi and Sutrisno .
in which the results of the study stated that the Debt to Equity Ratio had positive results on stock prices.
Based on this, the hypothesis [H.
can be formulated.
Solvability has a positive effect on stock prices.
The liquidity ratio is a ratio that describes a company's ability to meet its short-term obligations .
in this study, the liquidity ratio used is the Current Ratio.
The current Ratio is a ratio to measure a company's ability to meet its short-term obligations using current assets.
This ratio is obtained by comparing the value of current assets with the current liabilities of the company.
The higher the value of the Current Ratio means the better the company is paying off its short-term obligations (Raharjo and Muid, 2.
This statement is reinforced by the results of research by Daniarto Raharjo and Dul Muid in 2013 which found that the Current Ratio has a positive effect on stock prices.
Based on this, it can be formulated formulation of the problem [H.
Liquidity has a positive effect on stock prices.
In general, companies that can operate properly will have a Price to Book Value ratio above 1, which shows the value of a company's shares, valued above its book value.
The higher the Price to Book Value ratio of a company shows the higher the investor's assessment of the company concerned, relative to the funds invested.
Price to Book Value has a positive relationship with stock prices.
This is also supported by the results of Alwi and Sutrisno's research in 2013 where the results of the study stated that Price to Book Value had a positive and significant effect on stock prices.
[H.
Market Value has a positive effect on stock prices.
RESEARCH METHOD
The research method used in this study is a verification research method.
The verification method according to Sugiyono .
is a research method that aims to find out the causal relationship between variables through a hypothesis test and through a statistical calculation so that the results of the proof show that the hypothesis is rejected or The population used in this study were mining sector companies, totalling 22 companies from 2016-2020, while the samples used in this study were mining companies whose shares were listed on the Indonesian Stock Exchange (IDX) from 2016-2020.
mining companies selected in this study for the 2016-2020 period.
The method used for sample selection in this study is the purposive sampling method.
The data collection technique used is the documentation technique.
This study uses statistical analysis tools Eviews 9 in the data processing.
The data analysis technique used is panel data regression analysis.
RESULTS AND DISCUSSION
Classical Assumption Test Results Data Normality Figure 2 shows the results of the data normality test with the output shown.
JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN
Source: Eviews output 9.
0, 2022
Figure 3.
Normality Test Output Results Based on the results of the normality test in Figure 2.
which shows a P-value > 0.
768125 > 0.
05, it can be concluded that the data in this study are normally Multicollinearity Test Table 2.
shows the results of the Multicollinearity test with the output shown.
Table 2.
Multicollinearity Test Results NPM
NPM
DER
PBV
Source: Eviews output 9.
0, 2022
DER
PBV
Based on Table 2.
the results of the multicollinearity test show that there are no variables that have a value > 0.
So it is concluded that it can be concluded that there is no multicollinearity in the regression model in this study.
Heteroscedasticity Test Table 3.
shows the results of the Heteroscedasticity test with the output shown.
Table 3.
Heteroskedasticity Test: White Heteroskedasticity Test: White F-statistic Obs*R-squared ScaledexplainedSS Source: Eviews output 9.
0, 2022
604481Prob.
11699Prob.
Chi-Square.
81451Prob.
Chi-Square.
Based on Table 3.
the white test results show that the P-value-obs* R-Square > 0.
because it has a value of 0.
1265 which indicates that H0 is accepted, it can be concluded that there is no heteroscedasticity in the regression model.
Autocorrelation Test Table 4.
shows the results of the autocorrelation test with the output shown.
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Table 4.
Autocorrelation Test Results R-squared AdjustedR-squared Sumsquaredresid Loglikelihood F-statistic Prob(F-statisti.
Source: Eviews output 9.
0, 2022
Meandependentvar Akaikeinfocriterion Schwarzcriterion Hannan-Quinncriter.
Durbin-Watsonstat Based on Table 4.
the results of the autocorrelation test can be seen that the resulting Durbin Watson (DW) value is 2.
This value when compared with the DW table with a 5% confidence level with a total sample of 65 report data and 4 independent variables, the dL value is 1.
4709 and the dU is 1.
Thus it can be concluded that there is no autocorrelation in the regression model used because the DW value lies between .
-dU) O Dw O .
Ae dL) or 2.
2689 < 2.
416801 < 2.
Panel Data Regression Selection Test Chow tes0074 Table 5.
shows the results of the Chow test with the output shown.
Table 5.
Chow test results RedundantFixedEffectsTests Equation: Untitled Testcross-section fixed effects EffectsTest Cross-section F Cross-section Chi-square Source: Eviews output 9.
0, 2022
Statistic Prob.
Based on Table 5.
it can be seen in the value of Prob.
The Cross-Secrion Chi-Square is smaller than the value of 0.
05, which is 0.
4400 > 0.
05, meaning that H0 is accepted or H 1 is rejected, so the best model is the Common Effect Model.
Hausman test Table 6.
shows the results of the Hausman test with the output shown.
Table 6.
Hausman Test Results CorrelatedRandomEffects-HausmanTest Equation: Untitled Testcross-sectionrandomeffects TestSummary Cross-section random Source: Eviews output 9.
0, 2022
Chi-Sq.
Statistic Chi-Sq.
Prob.
Based on Table 6.
Prob value.
The random Cross-Section value is greater than 0.
which is 0.
7454 > 0.
05, meaning that H0 is accepted or H 1 is rejected, so the best model to JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN use is the Random Effect Model.
LM Breusch-Pegan test Table 7.
shows the results of the Breusch-Pegan LM test with the output shown.
Table 7.
Breusch-Pega LM Test Results TestHypothesis Cross-section Time Breusch-Pagan .
Honda .
*Mixedchi-square asymptotic critical values:
Source: Eviews output 9.
0, 2022
--1.
---
Gourierioux, et al.
StandardizedKing-Wu --1.
-StandardizedHonda .
King-Wu Both --- --4.
(>=0.
Based on Table 7.
, the Lagrange Multiplier test is carried out to determine whether the Common Effect or Random Effect model is more appropriate to use in the panel data regression equation model.
From the test results with the Lagrange Multiplier (LM) test above, it can be seen that the calculated LM value is 0 .
5863 > 0.
05 means, the calculated LM value > chi-squared table, and the model chosen is the Common Effect Model.
Coefficient of Determination Table 8.
shows the results of the Breusch-Pegan LM test with the output shown.
Table 8.
Coefficient of Determination R-squared AdjustedR-squared Sumsquaredresid Loglikelihood F-statistic Prob(F-statisti.
Source: Eviews output 9.
0, 2022
684545Meandependentvar 515836Akaikeinfocriterion 96518Schwarz criterion 60175Hannan-Quinncriter.
55043Durbin-Watsonstat Based on Table 8.
, the adjusted R-Squared value is 0.
This value means that at 35%, changes in the dependent variable .
tock pric.
can be explained by the determining variables .
rofitability, solvency, liquidity, and market valu.
in this model.
While the remaining 33.
65% is influenced by other variables outside the model.
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Hypothesis test Simultaneous Test (Test F) Table 9.
shows the results of the Breusch-Pegan LM test with the output shown.
Table 9.
F Test Results R-squared AdjustedR-squared Sumsquaredresid Loglikelihood F-statistic Prob(F-statisti.
Source: Eviews output 9.
0, 2022
684545Meandependentvar 515836Akaikeinfocriterion 96518Schwarz criterion 60175Hannan-Quinncriter.
55043Durbin-Watsonstat Based on the results of the F test in Table 9.
it can be seen that the calculated F value The value of Ftable at the significance level = 0.
05 with df1 .
umber of variables-.
5-1 = 4, and df2 .
-k-.
= 65-4-1 = 60, the result obtained by Ftable is because F count > F table .
55043 > 2.
with a probability value of 000000 <0.
05, then H0 is rejected and H1 is accepted, meaning that Profitability.
Solvency.
Liquidity and Market Value together have a significant effect Against Share Prices.
Partial Test .
-tes.
Table 10.
shows the results of the Breusch-Pegan LM test with the following output.
Table 10.
Test Results t Variable DER
PBV
Source: Eviews output 9.
0, 2022
Coefficient 69E-05 Std.
Error t-Statistic Prob.
Based on the calculations in Table 10.
and the calculation of the t-table with a significance level of 0.
05 and degrees of freedom .
= n .
umber of sample.
independent variable = 65-4 = 61, a t-table of 1.
999624 is obtained.
based on the t-test values obtained partially the effect of the independent variables on the dependent variable is as follows: H2: It is known that the ttable is 1.
999624 with a significance level of 0.
05 and a tcount of 0.
When compared to tcount < ttable, namely 0.
380787 < 1.
999624 with a significance level of 0.
7047 > 0.
Then H0 is accepted and H1 is rejected.
This means that profitability does not affect stock prices.
So it can be said that profitability does not meet the hypothesis proposed.
H3 it is known that ttable is -1.
999624 with a significance level of 0.
05 and tcount is 0.
when compared to tcount < ttable, namely -0.
580635 < -1.
999624 with a significance level of 0.
5637 > 0.
Then H0 is rejected and H1 is accepted.
This means that solvency affects stock prices.
So it can be said that solvency meets the hypothesis proposed.
H4 is known that ttable is 1.
999624 with a significance level of 0.
05 and tcount is When compared to tcount > ttable, namely 9.
033638 > 1.
999624 with a significance JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN level of 0.
0000 <0.
Then H0 is rejected and H1 is accepted.
This means that liquidity has a significant effect on stock prices.
So it can be said that liquidity fulfils the proposed H5 is known that ttable is 1.
999624 with a significance level of 0.
05 and tcount is When compared to tcount > ttable, namely 3.
594472 > 1.
999624 with a significance level of 0.
0007 <0.
Then H0 is rejected and H1 is accepted.
This means that the market value has a significant effect on the stock price.
So it can be said that the market value meets the proposed hypothesis.
Discussion Based on the results of panel data regression analysis and hypothesis testing, it can be seen that solvency, liquidity and market value have a simultaneous and partial and significant effect on stock prices.
While profitability partially does not affect stock prices.
This shows that stock prices are influenced by variations in the interaction between profitability, solvency, liquidity and market value.
The adjusted R2 or the Coefficient of Determination (KD) is 0.
663515 or 66.
this figure shows the magnitude of the influence between profitability, solvency, liquidity and market value on stock prices is while the remaining 33.
65% is influenced by other factors such as activity ratios, investment, capital structure and others.
This percentage can be used to predict stock prices and can be used as information material in making decisions regarding the company's efforts to increase stock prices (Jogiyanto, 2013: .
The results of this study are also in line with the results of research conducted by Alwi and Sutrisno .
and Amaliah .
which state that NPM.
DER.
CR, and PBV simultaneously have a significant effect on stock prices.
The results of the analysis show that profitability does not affect stock prices.
Based on signal theory, the higher the NPM value will encourage investors to invest in the company because it is capable of producing good profitability.
However, in the tests conducted.
NPM does not have a significant effect on stock prices.
In this study, it means that the signalling theory does not work properly.
This can occur due to other factors that may not have been included in this study.
These findings are in line with previous research conducted by Husaini .
and Rachman and Sutrisno .
This may occur due to investors who have started to abandon the valuation model by only paying attention to the profitability of a company.
Solvability ratios as measured by the DER indicator show a positive effect on stock Shares, this indicates that the greater the Debt to Equity Ratio, the higher the share price, under Modigliani and Miller's theory in (Husnan, 2.
which shows the extent to which interest payments can be used to reduce the tax burden and it can also increase the value of a company, the use of debt provides benefits to the owner of the company.
The results of this study are research conducted by Alwi and Sutrisno .
and Samsuar and Akramunnas .
stating that the Debt to Equity Ratio has a significant effect on stock Meanwhile, the variable market value partially has a significant effect on stock Based on the partial test of the liquidity variable that has been carried out, it results in H0 rejection and H1 acceptance.
This means that the partial results of the influence test show that the liquidity variable has a significant effect on stock prices.
The higher the value of the current ratio means the better the company's ability to pay off its short-term The better the company's ability to pay off its obligations means the smaller the liquidation risk experienced by the company, in other words, the smaller the risk that JURISMA : JURNAL RISET BISNIS DAN MANAJEMEN must be borne by the company's shareholders.
Information on an increase in the current ratio will be received by the market as a good signal that will provide positive input for investors to decide to buy shares.
These results are in line with the research conducted by Raharjo and Muid .
and Adriana and Lukmanul .
which state that the current ratio has a significant effect on stock prices.
The Price to Book Value ratio is commonly used by investors because by using this ratio investors can find out how much the market believes in the company's prospects.
the Price to Book Value is high, it means that the market has more confidence in the company's prospects.
And indirectly, with many investors who believe in the company's prospects, it will attract a lot of interest from investors to invest in the company.
The more investors who are interested in the company's shares, the higher the share price will be.
it can be concluded that Price to Book Value influences stock prices.
These results are in line with research conducted by Alwi and Sutrisno .
, and Putri.
Azieb and Senjiati .
which state that Price to Book Value (PBV) has a significant effect on stock prices.
CONCLUSION
Simultaneously, the fundamental factors of financial ratios consisting of Profitability (Net Profit Margi.
Solvency (Debt to Equity Rati.
Liquidity (Current Rati.
, and Market Value (Price to Book Valu.
influence the stock prices of mining companies in Indonesia Stock Exchange.
This shows that the pattern of stock price movements can be influenced by the fundamental factors of financial ratios together.
Partially, the profitability ratio .
et profit margi.
does not affect the share price of mining companies listed on the Indonesian Stock Exchange (IDX).
This shows that even though the value of the net profit margin has increased, it is not certain that the share price will have increased.
Partially, the solvency ratio .
ebt to equity rati.
has a significant effect on the stock prices of mining companies listed on the Indonesia Stock Exchange (IDX).
This shows that an increase in the debt-to-equity ratio will be followed by an increase in the company's stock price.
Partially, the liquidity ratio .
urrent rati.
has a significant effect on the stock prices of mining companies listed on the Indonesian Stock Exchange (IDX).
This shows an increase in the current ratio will be followed by an increase in stock prices.
Partially, the market value ratio .
rice to book valu.
has a significant effect on the share price of mining companies listed on the Indonesia Stock Exchange (IDX).
This means that an increase in the value of the price to book value will be followed by an increase in the stock price.
RECOMMENDATION
Based on the results of the study that solvency, liquidity and market value affect stock prices, companies are expected to keep the company in a solvable state by being aware of the amount of debt it has because the value is too much, this will bring the risk of non-payment of debt.
The higher the risk faced by the company, it will make investors hesitate to invest in the company.
In addition, companies also need to continue to maintain liquidity and market value.
REFERENCES