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DETERMINANTS OF FUNDAMENTAL STOCK RETURN FACTORS AT TEXTILE
AND GARMENT COMPANY, ANALYSIS DATA PANEL FOR PERIOD 2012 - 2019
P. Sihombing1), Fanny Ferdiantoputera Sinaga2)
(1)
(2)

Lecturer in Department of Magister Management, Mercu Buana University, Jakarta, Indonesia
Student at Magister Management, Mercu Buana University, Jakarta, Indonesia
ARTICLE INFORMATION
Received: 13 August 2020
Revised: 26 August 2020
Issued: 24 September 2020

Abstract: This research aims to examine and analyze the

effect of current ratio, total asset turnover, debt to equity
ratio and return on equity on the value of stock of textile
and garment companies in the Indonesia Stock Exchange
for the period of 2012 to 2019. This research uses annual
Corresponding author: first author
data for the observation period from 2012 to 2019. The
E-mail:
pardomuan.sihombing@mercubuana.ac.id population is textile and garment companies listed on the
Indonesia Stock Exchange in 2012 to 2019 and up to 19
ferdixhien@gmail.com
companies. The sampling technique used purposive
sampling, found a sample of 7 companies with 8 years
observation so that the total observation obtained was 56.
The model used is the Common Effect Model. The
results of the analysis show that the total asset turnover
have a significant negative effect and return on equity
have a significant positive effect, while the current ratio
DOI:10.38035/DIJEFA
and debt to equity ratio have no significant effect on
stock returns of textile and garment companies in the
Indonesia Stock Exchange for the period of 2012 to
2019.
Keywords: Current Ratio, Total Asset Turnover, Debt To

Equity Ratio, Return On Equity, Stock Returns.
INTRODUCTION
Indonesia Stock Exchange (IDX) is the current capital market Transaction Center.
Indonesia Stock Exchange as one of the capital market that can be used as alternative funding for
all sectors of the company in Indonesia. One of the funding alternatives is through the issuance
and sale of stocks on the stock exchange. One of subsectors in the Indonesia Stock Exchange are
the textile and garment subsector. There are 19 companies in the textile and garment subsector.
The textile and garment subsector has an important role as the provider of domestic clothing
needs. The textile and garment subsector has a major contribution to various aspects ranging from
foreign investment (PMA), domestic investment (PMDN), export activities, foreign exchange
receipts, state revenues, and gross domestic products. The textile and garment subsector is also
able to open the job field and absorb the workforce which later reduce unemployment and require
large funds so as to fulfill the funds the company will need funds from investors, hence the author

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is interested in researching textile and garment subsector companies in hopes of providing better
information for other authors and prospective investors who want to invest in stocks.
According to Halim (2005:12), if the profits obtained by the company are relatively high, then
it is likely that the dividends paid are also relatively high. A high dividend will certainly attract
investors to buy company shares so that the demand for these shares will increase and of course
will make the stock price also increase. Of course, the theory mentioned above can be said to be
correct and can be said to be less precise because this is contrary to the facts. Several
manufacturing companies in the textile and garment industry sub-sectors listed on the Indonesia
Stock Exchange experienced a phenomenon where the company's stock price experienced a
downward trend when net profit / loss increased or vice versa. The trend of decreasing stock prices
in the textile and garment sub-sector companies can certainly affect the company's stock return,
which also experiences fluctuation and a downward trend. Here is the average stock return data
and average net profit/loss the textile and garment subsector that is in the IDX period 2012-2019.

Picture 1
The Average Stock Return Data in IDX

Picture 2
The Average Net Profit/Loss Data in IDX

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Based on Picture 1, it can be seen that the average stock return of textile and garment
companies listed on the IDX has fluctuated and has a downward trend. The biggest decline
occurred in 2019 due to the decline in stock prices of textile and garment companies in that period.
Of the 19 shares of textile and garment issuers listed on the Indonesia Stock Exchange (IDX) from
January 2 to September 30, 2019, there were 9 stocks that had negative returns. Some even fell by
more than 50%. Stocks in the textile and garment industry were exposed to a sell-off by market
players driven by the depressed fundamental performance of the company due to the influx of
imports in the upstream product sector and increased competition for the export market
(www.cnbcindonesia.com). Meanwhile, Picture 2 shows that the company's average net profit /
loss from 2012-2019 experienced an increasing trend.
Based on the phenomenon that has occurred, the researcher has a desire to analyze what
factors can affect a company's stock return. One way that can be used to determine what factors
can affect stock returns is by conducting financial ratio analysis or better known as the traditional
approach. Financial ratios are an activity of comparing numbers in financial reports by dividing
one number by another (Kasmir, 2015:104). Financial ratios can be used by investors to analyze a
company's ability to generate profits by utilizing existing shares. A company's stock return can be
reflected in the company's financial performance. If the company's financial performance shows
an increasing prospect, the shares will be in great demand by investors and the price will also
increase.
LITERATURE REVIEW
Signaling Theory
Signaling theory was first introduced by Spence in 1973 which was later developed by
Ross in 1977. The theory states that the company's executives have better information about their
company and will be encouraged to deliver the information to prospective investors to increase the
price of the company's shares. Cues or signals are an action that a company takes to instruct
investors on how management views the company's prospects. This signal is in the form of
information about what management has done to realize the owner's wishes (Brigham, 2011). The
information provided by the management of the company is very important because it involves the
investment decisions of parties who wish to invest in the company.
Capital Asset Pricing Model
Asset pricing theories postulate that differences in expected returns are related to the
covariances of securities with marginal utility. The marginal utility may depend on several
economic risk factors, in which case several ``betas'' may be required to measure risk. Firm-specic
attributes have traditionally served as alternatives to beta in tests of these asset pricing models. For
example, the firm “size-effect” first drew attention as a challenge to the CAPM. The literature
continued in this tradition with the ratios of stock market price to earnings and the book value of
equity (e.g. Basu, 1977; Chan et al., 1991; Fama and French, 1992). The evidence of these studies
suggests that such firm-specific attributes are important for explaining equity returns in the United
States and Japan. Ferson and Harvey (1994), find that similar variables are important at the
country level
Stock Return
According to Sihombing (2018:66) return is the actual annual income received, plus any
price changes in the market, usually written as a percentage of the opening price (asset) in the
market. Stock return can be defined as a level of profit obtained and expected by investors from an
investment for a certain period of time that will be obtained in the future. Stock return is the result
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obtained from investment. Returns can be in the form of realized returns that have occurred or
expected returns that have not occurred but which are expected to occur in the future (Umrotul,
2016).
Current Ratio
The current ratio is the ratio commonly used to measure a company's ability to meet shortterm obligations (short run solvency) that will mature within one year. Current liabilities are used
as the denominator because they reflect liabilities that must be paid immediately within one year.
The recommended current ratio is around 2. A current ratio that is too high, means that the
company holds too many current assets. Meanwhile, current assets do not generate high returns
compared to fixed assets. Conversely, current ratios that are too low or even less than 1 reflect the
company's risk of not being able to meet maturing liabilities.
Total Assets Turnover
Total assets turnover is a ratio used to measure the turnover of all assets owned by the
company and to measure how much sales were obtained from each rupiah of assets. According to
Murhadi (2013:60), Total Asset Turnover shows the effectiveness of a company in using its assets
to create revenue. The greater this ratio, the better, which means that the assets can generate
profits faster and shows the more efficient and effective use of all assets in generating income.
Debt to Equity Ratio
Debt to Equity Ratio (DER) is a leverage ratio (solvency) which measures the ratio
between external capital and own capital. According to Kasmir (2015:157) debt to equity ratio
(DER) is a ratio used to assess debt to equity. To find this ratio by comparing all debt, including
current debt, and all equity. According to Sutrisno (2012:218) Debt to Equity Ratio (DER) is a
balance between debt owned by a company with its own capital. The higher this ratio means that
the amount of debt is greater than the equity itself.
Return On Equity
According to Kasmir (2015: 201), the return on equity (ROE) or the profitability of capital
itself is a ratio to measure net profit after tax with its own capital. Because in general, profit is a
measure used by investors in determining whether the company where the investor will invest is
promising or not. This ratio shows the efficient use of own capital. The higher this ratio, the better.
This means that the position of the company owner is getting stronger, and vice versa. Return on
Equity usually describes whether shareholders receive a reasonable return on their investment.
METHODOLOGY
Research methods and variables
The research method used is an associative research method with a quantitative approach.
Associative research is research that aims to determine the relationship between two or more
variables (Sugiyono, 2012:55). Associative research is conducted to determine whether there is an
effect of the current ratio, total asset turnover, debt equity ratio and return on equity to stock
returns either partially or simultaneously. There is also an analysis of the research carried out by
quantitative methods which aim to test the hypothesis. Quantitative research methods can be
interpreted as a research method based on the philosophy of positivism, used to research specific
populations or samples, data collection using research instruments, quantitative / statistical data
analysis with the aim of testing predetermined hypotheses (Sugiyono, 2017: 8).
Analysis tools and regression models

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In analyzing this research author using the E-Views vers tool. 9.0. or higher. The analysis
used to examine and answer the effect of the current ratio, total asset turnover, debt equity ratio
and return on equity to stock returns either partially or simultaneously is by using Panel Data
Regression Analysis approach. The data regression analysis panel is used to examine the
hypotheses that have been filed in the research. The data panel is a combination of cross-section
and time series. The data regression Model of the panel can be formulated as follows :
Return = α + β1 CRit + β2 TATOit + β3 DERit+ β4 ROEit ;
i = 1,2,…….., N ;
t = 1,2,……T
Description:
Return
= Stock Returns
CR
= Current Ratio
TATO
= Total Asset Turnover
DER
= Debt To Equity Ratio
ROE
= Return On Equity
α
= Constants
β
= Regression Coefficient
E
= Residual Error

RESULTS OF RESEARCH AND EXPLANATION
Descriptive Data
Descriptive statistics are intended to provide an overview or explanation of the data of a
variable that is researched, variables used include, current ratio, total assets turnover, debt to
equity ratio and retun on equity to stock returns. From the results of descriptive statistical analysis
to the five variables with the research sample (n = 56), and the results have been depicted on the
table below.
Table 1 Descriptive Statistical Analysis Results
STOCK_RETURN

CR

TATO

DER

ROE

Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis

0.089777
0.000000
3.740000
-0.816667
0.598154
4.236205
26.18552

1.831973
1.264212
6.505906
0.403100
1.410005
2.104801
7.093504

0.891839
0.994882
1.496908
0.135411
0.447953
-0.482443
1.803321

1.327897
1.290000
3.996260
0.183200
0.816676
0.979565
3.786138

0.050150
0.034650
0.307400
0.000400
0.058844
2.029937
8.234181

Jarque-Bera
Probability

1421.816
0.000000

80.44756
0.000000

5.513778
0.063489

10.39782
0.005523

102.3849
0.000000

Sum
Sum Sq. Dev.

5.027493
19.67833

102.5905
109.3462

49.94297
11.03642

74.36222
36.68282

2.808388
0.190442

Observations

56

56

56

56

56

Source: Data processing result with Eviews version 9.0, (2020).
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1. The stock return variable shows a minimum value of -0.816667. The negative number of the

minimum value is because there are several sample companies that have negative stock returns
three times or more during the study period. And the maximum value is 3.740000. And the
company average has a stock return value of 0.089777 with a standard deviation of 0.598154
(above the average). It can also be seen in the stock return variable, the standard deviation value
is greater than the mean. It can be concluded that stock returns have a high level of data
variation and there is a large fluctuation of the stock return variable for textile and garment
companies on the IDX.
2. The current ratio variable shows a minimum value of 0.403100 and a maximum value of
6.505906. The average company has a current ratio value of 1.831973, this shows that every Rp
1 current liabilities can be fulfilled with 1.831973 current assets owned by the company. The
standard deviation value of the current ratio is 1.410005 (below the average), indicating that the
current ratio has a low level of data variation and there is no large fluctuation of the current
ratio variable against textile and garment companies on the IDX.
3. The total asset turnover variable shows a minimum value of 0.135411 and a maximum value of
1.496908. The average company has a total asset turnover value of 0.891839, this shows that
every Rp 1 of the company's assets can generate 0.891839 times sales. The standard deviation
value is 0.447953. (below average), indicating that the total asset turnover has a low level of
data variation and there is no large fluctuation of the total asset turnover variable for textile and
garment companies on the IDX.
4. The debt to equity ratio variable shows a minimum value of 0.183200 and a maximum value of
3.996260. The average company has a debt to equity ratio of 1.327897, this shows that every
Rp. 1 of equity the company has is used to finance Rp. 1, 327897 of the company's liabilities.
The standard deviation value is 0.816676 (below the average), indicating that the debt equity
ratio has a low level of data variation and there is no large fluctuation of the debt equity ratio
variable against textile and garment companies on the IDX.
5. The return on equity variable shows a minimum value of 0.000400 and a maximum value of
0.307400. The average company has a return on equity value of 0.050150, this shows that for
every Rp. 1 of equity the company can generate Rp. 0.050150 profit. The standard deviation
value is 0.058844 (above the average), indicating that the return on equity has a high level of
data variation and there is a large fluctuation of the return on equity variable for textile and
garment companies on the IDX.
Data Regression Analysis Panel
Table 2 Conclusion Testing Model Data Regression Panel
No
1
2
3

Method
Chow-Test
Lagrange Multiplier-BP
Hausman Test

p-value (α=0,05)
0.1657
0.6706
0.4153

Result
Common Effect
Common Effect
Random Effect

The data regression analysis of the panels used in the hypothesis testing is to test the effect of
current ratio, total assets turnover, debt to equity ratio and return on equity on stock returns. From
the two previous tests, namely the Chow Test and the LM Breusch-Pagan (BP), it was concluded
that the authors' data would be more appropriate using the Common Effect Model (CEM). Here is
an Eviews output for the data regression panel using the Common Effect Model (CEM).
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Table 3 Panel Data Regression Analysis Results
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
CR
TATO
DER
ROE

0.130204
0.027404
-0.599137
0.113949
5.830326

0.214019
0.055157
0.237738
0.109154
1.625833

0.608378
0.496845
-2.520156
1.043925
3.586054

0.5456
0.6214
0.0149
0.3014
0.0008

R-squared
Adjusted R-squared
F-statistic
Prob(F-statistic)

0.210080
0.148125
3.390872
0.015546

Mean dependent var
S.D. dependent var
Durbin-Watson stat

0.089777
0.598154
2.170871

Source: Data processing results with Eviews version 9.0, (2020)

Impact of current ratio on stock returns
The first hypothesis (H1) which states that the current ratio has a positive effect on stock
returns, is rejected. This shows that the current ratio has no significant effect on stock returns. The
results of this study are in line with research conducted by Erik Setiyono and Lailatul Amanah
(2016) and Ihsan S. Basalama, Sri Murni, Jacky S.B. Sumarauw (2017) which states that the
current ratio has no effect on stock returns, but it is not in line with previous research conducted
by Yuliya Wingsih (2013), Khairani Purnamasari et. al (2014) and Sugiarti (2015). The current
ratio is used to measure the company's ability to meet its short-term debt by using its current assets
(assets that will turn into cash within one year or one business cycle). The ability of a company to
pay off its short-term obligations on time or at maturity can lead to good prospects from investors
to the company. With a good perspective, it will generate interest in investing, so that the supply
and demand for shares can occur which in turn has an impact on changes in the company's stock
return.
In the research results, the current ratio does not have a significant effect on company stock
returns, this is probably because most companies in the study are still affected by the impact of the
crisis experienced by this industry so that the overall ability of current assets available in the
company is not good enough. In addition, the interpretation of this ratio can be different for
several industries, not only for manufacturing and non-manufacturing, so it needs a
reinterpretation of how much the current ratio is acceptable for each specific different industry.
Thus it can be said that investors in predicting stock returns cannot consider the current ratio in
making decisions.
Impact of total assets turnover on the stock returns
The second hypothesis (H2) which states that total asset turnover has a negative effect on
stock returns, is accepted. This shows that total asset turnover has a significant effect on stock
returns. The results of this study are in accordance with the hypothesis proposed in the study and
also in line with previous research conducted by Dwi Martani, Mulyono and Rahfiani Khairurizka
(2009) and Ajeng Ika Ariyanti and Suwitho (2016) regarding total asset turnover which states that
total asset turnover has a significant effect. to stock returns. However, the results of this study
contradict the research of Tri Laksita Asmi (2014), Chrismas Bisara and Lailatul Amanah (2015)
and Farda Eka Septiana and Aniek Wahyuati (2016) which states that total asset turnover has no
significant effect on stock returns. Total asset turnover is measured by sales volume, meaning that
the ability of all assets to create sales can certainly increase profits. However, this can be a
consideration for investors because not always profit can be used by investors' interests. Profits
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can be used to pay corporate debts, therefore investors can consider this ratio in predicting stock
returns.
Impact of debt to equity ratio on stock returns
The third hypothesis (H3) which states that the debt to equity ratio has a negative effect on
stock returns, is rejected. This shows that the debt to equity ratio has no significant effect on stock
returns. The results of this study are in line with previous research conducted by Sari Oktavera
(2016) and Gharaibeh (2014) who said that debt to equity ratio has no effect on stock returns.
However, this is not in line with or inconsistent with the results of research by Ayu Kemala Putri
(2016), Sari (2016) and Moh. Zainuddin Arief et al (2017) who show that the debt to equity ratio
has a significant effect on stock returns. Debt equity ratio is a ratio of lavarage (solvency) which
can describe the level of risk of a company due to the use of debt for its operating activities. Debt
To Equity Ratio (DER) can be used to measure the extent to which owner's capital can cover debts
to outsiders. A high debt to equity ratio indicates the dependence of the company's capital on
outsiders and affects the company's performance. This will reduce shareholder rights (in the form
of dividends), as well as reduce investor interest in the company's shares because the rate of return
is getting smaller. From the results of this study, it can be concluded that the real condition of
investors before investing their capital cannot be fixed or focused on the value of a company's debt
to equity ratio. This may be due to losses incurred by companies from the previous period which
resulted in changes in equity that can be distributed to owners of the parent entity.
Impact of return on equity on stock returns
The fourth hypothesis (H4) which states that return on equity has a positive effect on stock
returns, is accepted. This shows that return on equity has a significant effect on stock returns. The
results of this study are in accordance with the hypothesis proposed in the study and also in line
with research previously conducted by Michael Aldo Carlo (2014), Neni Awika Andansari, Kharis
Raharjo, Rita Andini (2016) and Arifah Rusydina and Sugeng Praptoyo (2017) regarding return on
equity which states that return on equity has a significant effect on stock returns. However, the
results of this study contradict the research of Mutiara Tumonggor, Sri Murni, Paulina Van Rate
(2017) and Ayu Nurhayani Aisah and Kastawan Mandala (2016) which state that return on equity
has no significant effect on stock returns. From the research results, it can be said that investors in
predicting stock returns can consider return on equity in making investment decisions. The higher
the return on equity means the better the company's performance in managing its capital to
generate profits for shareholders. The value of return on equity itself has no limits, because return
on equity is the ability to earn profits, so it has no limitations. With an increase in net income, the
return on equity value will also increase so that investors are interested in buying these shares,
which in turn will increase the company's stock return.
Impact of current ratio, total assets turnover, debt to equity ratio and return on equity affect
stock returns
The results of the fifth hypothesis research (H5) which states that the current ratio, total asset
turnover, debt to equity ratio and return on equity have a positive effect on stock returns. So that
the results obtained indicate that the current ratio, total asset turnover, debt equity ratio and return
on equity have a significant effect on the stock return variable.
CONCLUSION
1. There is no effect of the current ratio on stock returns in textile and garment companies listed on
the Indonesia Stock Exchange (IDX) for the period 2012-2019.

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2. There is a negative effect of total asset turnover on stock returns in textile and garment
companies listed on the Indonesia Stock Exchange (BEI) for the period 2012-2019.
3. There is no effect of the debt equity ratio on stock returns in textile and garment companies
listed on the Indonesia Stock Exchange (BEI) for the period 2012-2019.
4. There is a positive effect of return on equity on stock returns in textile and garment companies
listed on the Indonesia Stock Exchange (BEI) for the period 2012-2019.
5. Simultaneously there is a significant effect of the current ratio, total asset turnover, debt equity
ratio and return on equity to stock returns in textile and garment companies listed on the
Indonesia Stock Exchange (BEI) for the period 2012-2019.
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