Pengaruh covid-19, dividend announcement, dan stock liquidity terhadap return saham pada perusahaan sub-sektor perbankan yang terdaftar di bursa efek Indonesia

Aprianti Seventina Panjaitan, Michael Hadjaat

Abstract


Tujuan penelitian ini adalah untuk mengetahui pengaruh Covid-19, Dividend Announcement, Dan Stock Liquidity Terhadap Return Saham Pada Perusahaan Sub-Sektor Perbankan. Data yang diambil merypakan data sekunder, berupa data pertumbuhan harian Covid-19 dan laporan keuangan perusahaan perbankan selama 13 bulan, dari Maret 2020 hingga Maret 2021. Populasi data yang digunakan dalam penelitian ini adalah seluruh perusahaan perbankan yang terdaftar di Bursa Efek Indonesia dengan total populasi 46 perusahaan. Berdasarkan Teknik pengambilan sampel, purposive sampling sehingga sampel yang digunakan sebanyak 44 perusahaan. Penelitian ini menggunakan metode dokumentasi yang didapat dari laporan keuangan yang dipublikasikan di website resmi Bursa Efek Indonesia. Hasil yang di dapat menunjukkan bahwa (1) Covid-19 berdampak positif dan tidak signifikan terhadap return Saham. (2) Dividend Announcement berdampat negative dan tidak signifikan terhadap Return Saham. (3) Stock Liquidity bedampak positif dan signifikan terhadap return Saham.

Keywords


Covid-19; return saham; dividend announcement; stock liquidity; perbankan

References


Akram, N. (2014). The Effect of Liquidity on Stock Returns: An Evidence From Pakistan. In IOSR Journal of Business and Management (IOSR-JBM), 16 (2) 1, 66-19. www.iosrjournals.org

Al Salamat, W. A., & Mustafa, H. H. H. (2016). The Impact of Capital Structure on Stock Return: Empirical Evidence from Amman Stock Exchange. In International Journal of Business and Social Science, 7 (9). www.ijbssnet.com

Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19virus on stock market returns. In Journal of Behavioral and Experimental Finance, 27. https://doi.org/10.1016/j.jbef.2020.100326

Alex, D., & Latheef, N. (2017). Accounting Information, Dividend Announcement and Ex-Dividend Effects on Stock Returns-Evidence from Indian Market. In SSRG International Journal of Economics and Management Studies ( SSRG – IJEMS ),4 (1). www.internationaljournalssrg.org

Anwar, S., Singh, S., & Jain, P. K. (2015). Cash Dividend Announcements and Stock Return Volatility: Evidence from India. Procedia Economics and Finance, 30, 38–49. https://doi.org/10.1016/s2212-5671(15)01253-8

Apergis, N., & Apergis, E. (2020). The role of COVID-19 for Chinese stock returns: evidence from a GARCHX model. In Asia-Pacific Journal of Accounting and Economics. https://doi.org/10.1080/16081625.2020.1816185

Bae, S., Masud, M., & Kim, J. (2018). A Cross-Country Investigation of Corporate Governance and Corporate Sustainability Disclosure: A Signaling Theory Perspective. Sustainability, 10(8), 2611. doi:10.3390/su10082611

Baltagi, B.H. (2005) Econometric Analysis of Panel Data. 3rd Edition, John Wiley & Sons Inc., New York.

Bhattacharyya, N. (2007). Dividend policy: a review. In Managerial Finance, 33(1), 4-13. Emerald Group Publishing Ltd. https://doi.org/10.1108/03074350710715773

Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2010). Signaling Theory: A Review and Assessment. Journal of Management, 37(1), 3967. doi:10.1177/0149206310388419

Darmayanti, N., Mildawati, T., & Dwi Susilowati, F. (2021). Dampak COVID-19 Terhadap Perubahan Harga Dan Return Saham. Ekuitas (Jurnal Ekonomi Dan Keuangan), 4(4), 462–480. https://doi.org/10.24034/j25485024.y2020.v4.i4.4624

Hung, D. van, Hue, N. T. M., & Duong, V. T. (2021). The Impact of COVID-19 on Stock Market Returns in Vietnam. Journal of Risk and Financial Management, 14(9), 441. https://doi.org/10.3390/jrfm14090441

Jensen, G. R., Solberg, D. P., Zorn, T. S., & Solberg, D. R. (1992). Simultaneous Determination of Insider Ownership, Debt, and Dividend Policies. In Source: The Journal of Financial and Quantitative Analysis, 27 (2), 247-263. http://dx.doi.org/10.2307/2331370

Karaman, A.S., Kilic, M., Uyar, A. (2020). Green logistics performance and sustainability reporting practices of the logistics sector: the moderating effect of corporate governance. Journal of Cleaner Production, 258, 120718. https://doi.org/10.1016/j. jclepro.2020.120718.

Kartal, M. T., Kiliç Depren, S., & Depren, Ö. (2021). How Main Stock Exchange Indices React to COVID-19 Pandemic: Daily Evidence from East Asian Countries. Global Economic Review, 50(1), 5471. https://doi.org/10.1080/1226508X.2020.1869055

Liem, C. C., Saerang, I. S., & Maramis, J. B. (2019). Effect Of Stock Liquidity, Business Diversification And Free Cash Flow On Stock Returns In Food And Beverages Manufacturing Companies Listed On The Indonesia Stock Exchange In The Period 2012-2016. In Jurnal EMBA, 7(3), 2591–2600.

Mugiarni, A., & Wulandari, P. (2021). The Effect of COVID-19 Pandemic on Stock Returns: An Evidence of Indonesia Stock Exchange. Journal of International Conference Proceedings, 4(1), 28–37. https://doi.org/10.32535/jicp.v4i1.1122

Narayan, P. K., Gong, Q., & aliahmed, H. J. (2021). Is there a pattern in how COVID-19 has affected Australias stock returns?. Applied Economics Letters. https://doi.org/10.1080/13504851.2020.1861190

Norvaien, R., & StankeviÄienÄ—, J. (2014). Impact of Companies’ Internal Factors on Stock Liquidity in Baltic Markets. Procedia - Social and Behavioral Sciences, 156, 543–547. doi:10.1016/j.sbspro.2014.11.237

OJK. (2020). Laporan Triwulanan-I. Diakses pada 20 November 2021. www.ojk.go.id

Puspitaningtyas, Z. (2015). Prediksi Risiko Investasi Saham (A. Giyanti, Ed.). Yogyakarta: Griya Pandiva. Diakses pada 04 November 2021. https://www.google.co.id/books/edition/Prediksi_Risiko_Investasi_Saham/hVnHDwAAQBAJ?hl=id&gbpv=1&dq=return+saham&printsec=frontcover

Putra, I., & Yusra, I. (2019). Analisis likuiditas saham menggunakan regresi data panel. INA-Rxiv.

Rivail, D. (2014). Pengaruh Risiko Sistematis Dan Likuiditas Saham Terhadap Return Saham Pada Industri Pertambangan Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2010-2012. Skripsi Fakultas ekonomi, Universitas Andalas. Diakses Pada 12 November 2021. http://repo.unand.ac.id/id/eprint/548

Salmia. (2019). Pengaruh Likuiditas Dan Profitabilitas Terhadap Return Saham Pada Bank Yang Terdaftar Di Bursa Efek Indonesia (BEI). Makasar: Fakultas Ekonomi Universitas Negeri Makassar.

Sastiti, A. (2015). Telaah Return Saham Bank Di Indonesia Berbasis Indikator Kinerja Kesehatan Keuangan Bank. Jurnal Bisnis dan Manajemen. (9), 134-144.

Sudarmanto, Eko., dkk. (2022). Metode Riset Kuantitatif dan Kualitatif. Medan: Yayasan Kita Menulis.

Suwanna, T. (2012). Impacts of Dividend Announcement on Stock Return. Procedia- Social and Behavioral Sciences, 40, 721–725. https://doi.org/10.1016/j.sbspro.2012.03.255

Suwardjono. (2010). Teori Akuntansi: Perekayasaan Laporan Keuangan. Edisi ketiga. Yogyakarta: BPFE. Diakses pada 10 November 2021. http://ucs.sulsellib.net//index.php?p=show_detail&id=52351.

Taj, S.A. (2016). Application of Signaling Theory in management research: addressing major gaps in theory. European Management Journal, 34 (4), 338–348. https://doi.org/10.1016/j. emj.2016.02.001.

Tandelilin, Eduardus. (2010). Portofolio dan Investasi: Teori dan aplikasi. Kanisius.

Toh, M. Y., Gan, C., & Li, Z. (2019). Revisiting the Impact of Stock Market Liquidity on Bank Liquidity Creation: Evidence from Malaysia. Emerging Markets Finance and Trade, 55(8), 1776–1802. https://doi.org/10.1080/1540496X.2018.1496420

Violita, C. E. (2019). Stock Liquidity and Stock Return. Ekspektra : Jurnal Bisnis Dan Manajemen, 111122. https://doi.org/10.25139/ekt.v3i2.2047

Wira, Variyetmi. (2013). Analisis Dampak Rasio Keuangan terhadap Likuiditas Saham pada Industri Otomotif di Bursa Efek Indonesia. Jurnal Manajemen dan Kewirausahaan. Vol 4: hal 1-2.

Yang, Y., Peng, F., Wang, R., Guan, K., Jiang, T., Xu, G., Sun, J., & Chang, C. (2020). The deadly coronaviruses: The 2003 SARS pandemic and the 2020 novel coronavirus epidemic in China. In Journal of Autoimmunity, (Vol. 109). Academic Press. https://doi.org/10.1016/j.jaut.2020.102434

Yapitro,C., Hananto,H., linuwih, S. (2013). Studi Pengaruh Pengumuman Dividen terhadap Reaksi Pasar pada Badan Usaha Go Public yang terdaftar pada Bursa Efek Indonesia tahun 2009- 2011. Jurnal Ilmiah Mahasiswa Universitas Surabaya, Vol.2 No.1. https://journal.ubaya.ac.id/index.php/jimus/article/ download/127/105/

Younis, I., Longsheng, C., Basheer, M. F., & Joyo, A. S. (2020). Stock market comovements among Asian emerging economies: A wavelet-based approach. PLoS ONE, 15(10). https://doi.org/10.1371/journal.pone.0240472

Yudaruddin, R. (2021). Statistik Ekonomi: Aplikasi dengan program SPSS Versi 20. Yogyakarta: Interpena Yogyakarta

Yudaruddin, R. (2021). Laboratorium Statistik. Samarinda: RV Pustaka Horizon




DOI: https://doi.org/10.30872/jimm.v8i4.12079

Refbacks

  • There are currently no refbacks.


Copyright (c) 2024 Jurnal Ilmu Manajemen Mulawarman (JIMM)

Crossref logo 

Editorial Address

Jurnal Ilmu Manajemen Mulawarman (JIMM)
Faculty of Economics and Business, Mulawarman University
Jl. Tanah Grogot No.1 Samarinda Kalimantan Timur 75119
Email: jimm.feb@gmail.com