STOCK RETURN ANALYSIS AND IMPLICATIONS IN COMPANY VALUE (PLASTIC AND PACKAGING COMPANIES LISTED IN IDX)

Abstract

This study aims to analyze fundamental factors and technical factors that influence stock returns and their implications for company value in Indonesia Stock Exchange, sub sector plastic and packaging. Fundamental factors of financial ratios are return on assets (ROA), current ratio (CR), debt to equity ratio (DER), and price earnings ratio (PER) while the technical factors are the rupiah exchange rate using changes in value exchange rupiah (RP) against United States dollar (USD). This study used annual data for the observation period from 2010 to 2017. The sampling method used was Purposive Sampling, as the result 8 companies (64 samples) met the criteria and processed using E-views 9 program. The analytical method used in this study is panel data and multiple linear regression as a method of analysis and measurement of direct effect and indirect effect analysis. The results showed that ROA, CR, DER, and PER are having positive and insignificant influence on stock returns however the exchange rate has negative and significant influence on stock returns. ROA, DER, and PER are having positive and insignificant influence on company value however CR and exchange rates have a negative and insignificant effect on company value. Stock returns has positive and significant influence on company value. The examination of indirect effects showed stock return could be considered as an intervening variable to measure the influence of fundamental factors and technical factors to company value.