Pengaruh Profitabilitas, Leverage dan Makro Ekonomi terhadap Volatilitas Harga Saham pada Perusahaan Sektor Construction, Property, dan Real Estate yang Terdaftar di Bursa Efek Indonesia

Abstract

The research delves into the effects of profitability, leverage, and macro-economy on the volatility of stock price in the construction, property, and real estate companies listed on IDX (Indonesia Stock Exchange). The research employs the volatility of stock price as a dependent variable and dividend payout ratio, earnings volatility, debt to equity ratio, rate of exchange, and inflation as independent variables. The sample consists of 28 construction, property, and real estate companies listed on IDX in the period 2011-2020. Normality test shows no normal data so that the researcher performs data transformation. The data are the financial statement of each sample companies, published through www.idx.co.id and www.financeyahoo.com. They are analyzed quantitatively with classic assumption, and statistical analysis, multiple linear regression analysis, using random effect model. The samples are taken by using purposive sampling technique. The result of the research demonstrate that dividend payout ratio partially has negative and significant effects on the volatility of stock price, earnings volatility and inflation partially have positive and significant effects on the volatility of stock price while debt to equity ratio and rate of exchange do not have any significant effects on the volatility of stock price.