Pengaruh Kebijakan Dividen, Volume Perdagangan, Earning Volatility, Leverage, dan Firm Size Terhadap Volatilitas Harga Saham Perusahaan LQ45

Abstract

This research was conducted to determine the factors that which influence the volatility of the LQ45 companys stock prices. The independent variables used are dividend policy measured by DPR and DY, trading volume, earning volatility, leverage (DER), and firm size. The population of this research is the LQ45 companies listed on the Indonesia Stock Exchange between to 2015-2017. Meanwhile, the sample was selected using a purposive sampling, so that 19 sample companies that fulfill the criteria were obtained. Furthermore, the data in this research was analyzed using multiple linear regression analysis techniques. Based on the results tests, it can be concluded that the DPR has a significant negative effect on stock price volatility, because the large amount of dividend payments give a positive signal regarding with the low investment risk. DY has a significant positive effect on stock price volatility, because the high DY means the current stock price is low, so company has a high investment risk. Trading volume has no effect on stock price volatility, because company is included in blue chips stock with large market capitalization. Earning Volatility has no effect on stock price volatility, because company pays dividend to investors even thought profits earned are not stable. Leverage has no effect on stock price volatility, because the company is able to utilize its loan capital to maximize profits. Firm size has a significant negative effect on stock price volatility, because company that has large assets can increases productivity and reduces level of investment risk.
Keywords: dividend policy; earning volatility; leverage: stock price volatility; trading volume.