The Effect of Internal and External Factors on Stock Return: Empirical Evidence from the Indonesian Construction Subsector
Keywords:
Internal and External Factors, Construction Subsector, Stock Returns, Panel Data Analysis, Indonesia Stock Exchange (IDX)Abstract
Many objectives that become a concern for investor while investing in the stock market. The aims  of this study are to identify the effect of internal factors and external factors on stock returns construction Subsector in Indonesia Stock Exchange (IDX) during 2010 to 2014, and analyzing the beta values of all construction companies which will determine investment decisions. The internal factors are financial performances there are Quick Ratio, Debt to Equity Ratio (DER), Return on Equity (ROE), Earning per Share (EPS), and Price earning Ratio (PER). The external factors are Inflation, Interest Rate, Exchange Rate and Presidential Regulation. Panel data analysis was applied to estimate the relationship between internal factors and external factors on stock returns. The result of the study shows that the internal factor which is Quick Ratio, Debt To Equity Ratio (DER) and Price Earning Ratio (PER) has a significant negative effect on stock returns in Indonesian construction subsector. The study also shows that Inflation and Interest rate, has a significant negative effect on stock returns construction Subsector. The Exchange Rate has a significant positive effect, and Presidential regulation has insignificant effect on stock returns construction subsector. The beta values shows that all of beta values construction companies are above one, which implies that these stocks of construction companies are aggressive stocks.
Keywords— Internal and External Factors, Construction Subsector, Stock Returns, Panel Data Analysis, Indonesia Stock Exchange (IDX)
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