SIDIK, BAZZURI (2022) DETERMINAN RETURN SAHAM DENGAN KEBIJAKAN DIVIDEN SEBAGAI VARIABEL MODERASI PADA PERUSAHAAN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to determine the determinants of stock returns, including current ratio, debt to equity ratio, total asset turnover, return on assets and firm size with dividend policy as a moderating variable. This research was conducted on companies listed on the Jakarta Islamic Index for the 2016-2020 period. The sampling technique used in this study was purposive sampling. The sample in this study were 10 companies originating from the Jakarta Islamic Index company with 43 observational data. The data analysis method used was panel data regression analysis and MRA with the EViews program. From the results of this study obtained the current ratio, debt to equity ratio and return on assets which have a significant positive effect on stock returns, inversely proportional to the size of the company which has a significant negative effect on stock returns, while total asset turnover has no significant effect on stock returns. Then the next result is that the dividend policy moderating variable is only able to moderate the current ratio and return on assets. Keywords: current ratio, debt to equity ratio, total asset turnover, return on asset, firm size, dividend policy, stock return. Penelitian ini bertujuan untuk mengetahui determinan return saham antara lain current ratio, debt to equity ratio, total asset turnover, return on asset dan ukuran perusahaan dengan kebijakan dividen sebagai variabel moderasi. Penelitian ini dilakukan pada perusahaan yang terdaftar di Jakarta Islamic Index periode tahun 2016-2020. Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah purposive sampling. Sampel dalam penelitian ini sebanyak 10 perusahaan yang bersumber dari perusahaan Jakarta Islamic Index dengan data observasi sebanyak 43. Metode analisis data yang digunakan adalah analisis regresi data panel dan MRA dengan alat bantu program EViews. Dari hasil penelitian ini diperoleh current ratio, debt to equity ratio dan return on asset yang berpengaruh positif signifikan terhadap return saham, berbanding terbalik dengan ukuran perusahaan yang berpengaruh negatif signifikan terhadap return saham, sedangkan total asset turnover tidak berpengaruh signifikan terhadap return saham. Kemudian hasil selanjutnya variabel moderasi kebijakan dividen hanya mampu memoderasi current ratio dan return on asset. Kata kunci: current ratio, debt to equity ratio, total asset turnover, return on asset, ukuran perusahaan, kebijakan dividen, return saham.
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