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The problem in this study is whether the current ratio (CR), debt to equity ratio (DER), net profit margin (NPM) and risk (beta) have a partial or simultaneous effect on stock returns on companies listed on the Jakarta Islamic Index (JII) during the 2014-2018 period. The purpose of this study is to examine whether CR, DER, NPM, and beta have a partial or simultaneous effect on the stock returns of companies listed on JII during 2014-2018. This research uses quantitative research methods. The population is thirty companies registered in JII 2014-2018. The sample selection method used is purposive sampling. Samples that met the purposive sampling were ten companies listed on JII during the 2014-2018 period. The type of data is secondary data. Data analysis using multiple regression analysis models with SPSS. The results showed that Current Ratio (CR), Debt to Equity Ratio (DER), Net Profit Margin (NPM), and risk (Beta) simultaneously or partially had no effect on stock returns in JII in 2014-2018. The results of this study are expected to be useful as a material consideration for investors for investment decisions in the shares of companies listed on JII.

Hasil penelitian menunjukkan bahwa variabel CR, DER, NPM, dan Beta tidak berpengaruh signifikan terhadap return saham di JII.Pasar saham syariah di JII belum efisien.Penelitian selanjutnya disarankan untuk memperluas cakupan variabel dan periode pengamatan.

1. Penelitian lanjutan dapat mengeksplorasi variabel lain seperti volatilitas pasar atau faktor makroekonomi yang memengaruhi return saham syariah. 2. Studi perlu dilakukan dengan memperpanjang periode pengamatan untuk melihat tren jangka panjang. 3. Penelitian dapat fokus pada sektor industri spesifik di JII untuk memahami perbedaan pengaruh variabel keuangan terhadap return saham.

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