Determinant Factors in Stock Returns of Food and Beverage Industry Companies in Indonesia

Muhammad Amin Fatkur Rohman; Saefudin

doi:10.56741/jmsd.v3i01.448

Authors

Muhammad Amin Fatkur Rohman University of Technology Yogyakarta
Saefudin
Sasep8556@gmail.com
Muhammadiyah University of Karanganyar

DOI:

https://doi.org/10.56741/jmsd.v3i01.448

Keywords:

Internal Factors, External Factors, Stock Returns

Abstract

This study aims to analyze the influence of internal and external factors on stock returns in destroying the food and beverage industry listed on the IDX from 2011 to 2021. The sample in this study used a purposive sampling technique or was based on specific criteria with 12 companies. This research data is panel data, namely a combination of times series and cross-section data, which is tested statistically using Stata. Three data analyses are used: model estimation test, model selection, and static panel regression model estimation results with the criterion of a P value < 0.05, so there is a significant influence between the independent and dependent variables. The research results prove that the best model chosen is the CEM model. The research results demonstrated that the variables ROE (P Value: 0.543 > 0.05), DER (P Value: 0.491 > 0.05), interest rates (P Value: 0.373 > 0.05), and inflation (P Value: 0.165 > 0.05) statistically does not affect stock returns. However, the exchange rate variable (P Value: 0.005 < 0.05) significantly impacts stock returns. The research results also prove that ROE, DER, interest rates, exchange rates, and inflation can explain stock returns of 12.30%. In comparison, the remaining 87.70% is influenced by other variables not included in the research.

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Author Biographies

Muhammad Amin Fatkur Rohman, University of Technology Yogyakarta

is alumnae of University of Technology Yogyakarta, Yogyakarta, Indonesia. He is graduated from Management Department. He is distinguishes himself through active engagement in various student organizations. His enthusiasm extends to his strong interest in contributing to several community empowerment programs. (email: aminfr@gmail.com).

Saefudin, Muhammadiyah University of Karanganyar

is a lecturer in the Department of Digital Business at Muhammadiyah University of Karanganyar. He holds a Bachelor's degree in Management from the University of Technology Yogyakarta, an MBA from Gadjah Mada University in Yogyakarta, and a Master's in Management from Sebelas Maret University in Surakarta, Indonesia. With a focus on Business Digitalization and Management, he has contributed significantly to these fields through his writings. (email: Sasep8556@gmail.com).

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