Research Paper
Year: 2022 | Month: August | Volume: 9 | Issue: 8 | Pages: 358-370
DOI: https://doi.org/10.52403/ijrr.20220828
The Effect of Profitability, Leverage, and Macroeconomics on Stock Price Volatility in Construction, Property, and Real Estate Companies Listed on the Indonesia Stock Exchange
Andrew Octavian1, Idhar Yahya1, Sirojuzilam1
1Department of Accounting, Faculty of Economics and Business Universitas Sumatera Utara, Indonesia
Corresponding Author: Andrew Octavian
ABSTRACT
This study aims to determine the effect of profitability, leverage, and macroeconomics on stock price volatility in construction, property, and real estate companies listed on the Indonesia Stock Exchange. The variables used in this study are stock price volatility as a dependent variable and dividend payout ratio, earning volatility, debt to equity ratio, exchange rates, and inflation as independent variables. Samples were taken from as many as twenty-eight construction, property, and real estate companies listed on the Indonesia Stock Exchange (IDX) from 2011-2020. The normality test produces abnormal data so that the researcher transforms data.
The data used in the financial statements of each sample company, published through www.IDX.co.id and www.financeyahoo.com. The analysis method used in this study is a quantitative method, with classic assumption testing and statistical analysis, namely multiple linear regression analysis using the random effect model. The sampling method used is purposive sampling.
The analysis showed that the dividend payout ratio partially had a negative and significant effect on the volatility of stock prices. Earing volatility and partial inflation have a positive and significant impact on stock price volatility. In contrast, the debt to equity ratio and exchange rates have no significant effect on stock price volatility.
Keywords: Stock Prices Volatility, DPR, Earning Volatility, DER, Exchange Rate, and Inflation
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