Financial Performance, Macroeconomics, And Systematic Risk On Islamic Stocks Of Manufacturing Entities

Rizky Siswanto, Sigid Eko Pramono, Rifki Ismal

Abstract


This study is to examine and analyze the effect of financial performance as measured by Return On Assets (ROA), Current Ratio (CR) and Earning Per Share (EPS), macroeconomic indicators using the BI rate, exchange rate and inflation as well as adding systematic risk as an intervention variable to the Islamic stock returns in the manufacturing sector on the Indonesian Sharia Stock Index (ISSI). The research sample was 51 companies with observations from 2016 to 2020, using the Structural Equation Modeling (SEM) method and IBM AMOS (Analysis of Structural Moment) V.22 software to test the available data. The direct test results show that financial performance and systematic risk have an effect on Islamic stock returns, while macroeconomic indicators have no effect. The test results through the intervention variables show that financial performance has an effect, but macroeconomic indicators still have no effect on Islamic stock returns through systematic risk. The activities of the consumer goods industry and basic industry which have always been the main needs are the reason why issuers in the manufacturing sector at ISSI are not affected by changes in macroeconomic indicators.

Penelitian ini untuk menguji dan menganalisis pengaruh kinerja keuangan yang diukur dengan Return On Assets (ROA), Current Ratio (CR) dan Earning Per Share (EPS), indikator makroekonomi menggunakan BI rate, nilai tukar dan inflasi serta menambahkan risiko sistematis sebagai variabel intervensi terhadap return saham syariah sektor manufaktur pada Indeks Saham Syariah Indonesia (ISSI). Sampel penelitian sebanyak 51 perusahaan dengan pengamatan dari tahun 2016 sampai dengan tahun 2020 menggunakan metode Structural Equation Modeling (SEM) dan software IBM AMOS (Analysis of Structural Moment) V.22 untuk menguji data yang tersedia. Hasil pengujian langsung menunjukkan bahwa kinerja keuangan dan risiko sistematik berpengaruh terhadap return saham syariah, sedangkan indikator makroekonomi tidak berpengaruh. Hasil pengujian melalui variabel intervensi menunjukkan bahwa kinerja keuangan berpengaruh, namun indikator makroekonomi masih belum berpengaruh terhadap return saham syariah melalui risiko sistematis. Aktivitas industri barang konsumsi dan industri dasar yang selalu menjadi kebutuhan utama menjadi alasan emiten di sektor manufaktur di ISSI tidak terpengaruh oleh perubahan indikator makroekonomi.

Keywords


financial performance; macroeconomic indicators; systematic risk; islamic stock returns

Full Text:

PDF

References


Abdul Jabar, A. K., & Cahyadi, I. F. (2020). Pengaruh Exchange Rate, Inflasi, Risiko Sistematis Dan BI Rate Terhadap Return Saham Syariah Di Jakarta Islamic Index (JII) Periode 2015-2018. MALIA: Journal of Islamic Banking and Finance, 4(1), 12. https://doi.org/10.21043/malia.v4i1.8409

Akbar, T., & Afiezan, A. (2018). Determination of Sharia Stock Price Through Analysis of Fundamental Factors and Macro Economic Factors. Account and Financial Management Journal, 03(10). https://doi.org/10.31142/afmj/v3i10.01

Aldiena, E., & Hanif al Hakim, M. (2019). The Impact of Companies’ Internal Factors On The Performance of Their Stock Returns. Journal of Islamic Economic Laws, 2(1), 120–149. https://doi.org/10.23917/jisel.v2i1.7708

Astuty, P. (2017). The influence of fundamental factors and systematic risk to stock prices on companies listed in the Indonesian stock exchange. European Research Studies Journal, 20(4), 230–240. https://doi.org/10.35808/ersj/830

Ayedh, A. M. A., Shaharuddin, A., & Kamaruddin, M. I. H. (2019). Shariah Screening Methodology: Does It ‘Really’ Shariah Compliance? Iqtishadia, 12(2), 144. https://doi.org/10.21043/iqtishadia.v12i2.5573

Aziz, T., Marwat, J., Mustafa, S., & Kumar, V. (2020). Impact of Economic Policy Uncertainty and Macroeconomic Factors on Stock Market Volatility: Evidence from Islamic Indices. Journal of Asian Finance, Economics and Business, 7(12), 683–692. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.683

Boudt, K., Raza, M. W., & Ashraf, D. (2019). Macro-financial regimes and performance of Shariah-compliant equity portfolios. Journal of International Financial Markets, Institutions and Money, 60(August), 252–266. https://doi.org/10.1016/j.intfin.2019.01.001

Brigham, E. F., & Houston, J. F. (2018). Fundamentals of Financial Management Cegage Learning. In The Journal of Finance (Vol. 34, Issue 5). Cengage Learning.

Enjelin Rosari Wiyono, A. W. M. (2020). Cuadernos de. Cuadernos de Polipub.Org ISSN, 1853(97), 5739.

Erzad, A. M., & Erzad, A. M. (2017). The Effect of Financial Ratios Toward Sharia Stock Return in Jakarta Islamic Index (JII). QIJIS (Qudus International Journal of Islamic Studies), 5(1), 129. https://doi.org/10.21043/qijis.v5i1.1971

Ghozali, I. (2017). Model persamaan struktural konsep dan aplikasi dengan program amos 24. Badan Penerbit Universitas Diponegoro.

Hassan, M. K., Aliyu, S., Saiti, B., & Abdul Halim, Z. (2020). A review of Islamic stock market, growth and real-estate finance literature. International Journal of Emerging Markets, 16(7), 1259–1290. https://doi.org/10.1108/IJOEM-11-2019-1001

Jaafar, M. N., Muhamat, A. A., Basri, M. F., & Syed Alwi, S. F. (2020). Determinants of Systematic Risk : Empirical Evidence from Shariah Compliants Firms Listed on Bursa Malaysia. International Business Education Journal, 13(1), 71–82. https://doi.org/10.37134/ibej.vol13.1.6.2020

Maharani, Z. B. (2021). Komparasi Faktor Fundamental Mikro dan Makro Ekonomi in Jakarta Islamic Index dan Lq-45. Jurnal Ilmiah Ekonomi Islam, 7(1), 484. https://doi.org/10.29040/jiei.v7i1.1499

Mawardi, I., Widiastuti, T., & Sucia Sukmaningrum, P. (2019). The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia. KnE Social Sciences, 3(13), 499. https://doi.org/10.18502/kss.v3i13.4226

Nita Puspitasari, P. W. S. (2019). Corporate Fundamentals, Bi Rate And Systematic Risk: Evidence From Indonesia Stock Exchange. Jurnal Manajemen, 23(1), 39. https://doi.org/10.24912/jm.v23i1.443

Prasetyo, Y., & Sulaiman, A. A. (2018). Analysis on Risk, Real Returns, and Performance Measurement of Sharia Stocks and Non-sharia Stocks. Development, 7(1).

Purnami, A. A. S., Giri, N. P. R., Jayanti, L. S. E., & Amertha, I. M. S. (2020). Effect of Macroeconomic Factors and Fundamental Factors of the Stock Systems Risk in Manufacturing Companies in Indonesia Stock Exchange. International Journal of Business, Economics & Management, 3(1), 108-116., 3, 108–116.

Rizvi, S. A. R., & Arshad, S. (2018). Understanding time-varying systematic risks in Islamic and conventional sectoral indices. Economic Modelling, 70(October), 561–570. https://doi.org/10.1016/j.econmod.2017.10.011

Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. https://doi.org/10.1016/0022-0531(76)90046-6

Sherif, M., & Lusyana, D. (2017). Shariah -Compliant Investments and Stock Returns : Evidence from the Indonesian Stock Market. Journal of Islamic Accounting and Business Research, 8(2), 1–27.

Sukmajati, A., & Hastuti, D. A. F. (2019). Analysis of Macroeconomic Variables and Fundamental Analysis of Indonesia Shariah Stock Index (ISSI). International Journal of Seocology, 01(01), 19–28. https://doi.org/10.29040/seocology.v1i01.1

Suryadi, S., Endri, E., & Yasid, M. (2021). Risk and Return of Islamic and Conventional Indices on the Indonesia Stock Exchange. Journal of Asian Finance, Economics and Business, 8(3), 23–30. https://doi.org/10.13106/jafeb.2021.vol8.no3.0023

Widagdo, B., Jihadi, M., Bachitar, Y., Safitri, O. E., & Singh, S. K. (2020). Financial Ratio, Macro Economy, and Investment Risk on Sharia Stock Return. Journal of Asian Finance, Economics and Business, 7(12), 919–926. https://doi.org/10.13106/JAFEB.2020.VOL7.NO12.919

Yuliarti, A., & Diyani, L. A. (2018). The effect of firm size, financial ratios and cash flow on stock return. The Indonesian Accounting Review, 8(2), 226. https://doi.org/10.14414/tiar.v8i2.1313

Yusfiarto, R., & Pambekti, G. T. (2020). Effect of Macroeconomic Variables on Jakarta Islamic Index: Evidence the Global Trade War Phenomenon. Media Ekonomi, 27(2), 119–132. https://doi.org/10.25105/me.v27i2.6189




DOI: https://doi.org/10.35836/jakis.v10i1.310

Article metrics

Abstract views : 1269 | views : 760

Refbacks



Bookmark and Share


Copyright (c) 2022 Rizky Siswanto

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

JAKIs was indexed by: