THE INFLUENCE
OF FUNDAMENTAL AND MACROECONOMIC FACTORS ON STOCK RETURNS IN BUILDING
CONSTRUCTION COMPANIES LISTED ON THE INDONESIAN STOCK EXCHANGE FOR THE
2018-2022 PERIOD
Ahmad Sugianto1, Riyanti2,
Luqman Hakim3
Universitas Muhammadiyah
Jakarta, Jakarta, Indonesia
[email protected]1, [email protected]2, [email protected]3
ABSTRACT
This research focuses on analyzing the impact of
fundamental and macroeconomic factors on stock returns within the building
construction sector of companies listed on the Indonesia Stock Exchange during
the period from 2018 to 2022. Employing a quantitative, associative approach,
the study encompasses a population of 25 building construction companies, with
a purposive sampling method narrowing it down to 14 companies. The research
employs multiple linear regression analysis using IBM SPSS Statistics 26 software
as the analytical tool. The findings reveal that the Return on Equity Ratio
(ROE) and Debt to Equity Ratio (DER) exert a negative and significant influence
on stock returns. Furthermore, economic growth (GDP) demonstrates a positive
and significant impact, while inflation and interest rates exhibit a negative
and insignificant effect on stock returns. Collectively, these factors,
including ROE, DER, GDP, inflation, and interest rates, collectively exert a
significant influence on stock returns. The implications of these findings
underscore the importance of considering these factors for investors,
policymakers, and practitioners in the building construction industry.
Keywords: ROE,
DER, Economic Growth, Inflation and Interest Rates, Stock Returns.
Corresponding Author: Ahmad
Sugianto
E-mail: [email protected]
INTRODUCTION
Looking at the S curve graphic of the
performance movement of several industrial sectors on the IDX for the period
September 2022 - September 2023, it can be seen that in the Infrastructure
sector, the performance movement is at the bottom compared to the Energy,
Industrial, Primary Consumer, Non-Primary Consumer, Health, Finance, Property
and Real sectors. Estate, Transportation and Logistics, as shown in the
following image:
Figure 1.
S Curve Comparison of Several Stock Performances
Industrial
Sector September 2022 - September 2023
Source: IDX, 2023
By looking at the S curve image
comparing the stock performance of several industrial sectors above,
researchers are interested in observing the movement of stock performance in
the Infrastructure sector. They will review it for the past five years before
2023.
From the researcher's observations
on the performance of infrastructure sector shares on the IDX, in the period
2018 to 2022, the movement of stock performance was very volatile. These fluctuations also reached their
lowest numbers in negative numbers, such as in September 2020, which reached
10.91%; July 2021, 4.18%; and December 2022, 11.61%.
Likewise,
with the movement of share prices and returns from building construction
companies, which are the infrastructure sub-sector, 2018-2022 was volatile;
even in 2021, there was a very sharp decline, reaching -28.37%, shown in Figure
2.
This figure shows that building
construction companies produced negative average stock returns in 2018, 2020,
2021, and 2022. Only in 2019 were stock returns positive, and that was only
worth 0.49%. This means that over the last five years, stock returns for
building construction companies have yet to be able to achieve high returns; in
fact, they have always been in negative numbers.
Figure 2. Trend in Stock Returns
of Building Construction Companies
Source: Yahoo Finance, 2023
Meanwhile, looking at one of the
indicators of economic growth, namely the growth of Gross Domestic Product
(GDP) in the construction sub-sector in 2018 - 2022, the average growth in
Gross Domestic Product (GDP) in the construction sub-sector in 2018 - 2022 is
2.68%, which can be said to be good or it is natural because in 2019-2020
Indonesia experienced a contraction in economic growth, this was due to the
impact of the Covid-19 pandemic.
Based on its contribution to the
economy, the building construction sub-sector is one of the strongest
sub-sectors that supports economic growth in Indonesia. Apart from that, in
terms of production value, this sector also has a fairly high contribution to
the national economy. Since 2014, Indonesia's infrastructure development has
continued to experience growth due to the government's accelerated
infrastructure development program involving several national building
construction companies; despite the COVID-19 pandemic from 2019 to 2020,
infrastructure development continued, especially the construction of toll roads
and dams.
From the description above,
economic growth in the building construction sub-sector has been quite good in
recent years. By looking at these conditions, it is necessary to know why
sectors experiencing growth in terms of productivity are experiencing a significant
decline in stock returns compared to other sectors. So, from this phenomenon,
it is necessary to analyze the factors that influence the condition of stock
returns in the building construction sub-sector; even though the COVID-19
pandemic occurred from 2019 to 2020, infrastructure development continues,
especially the construction of toll roads and dams.
Research on the influence of
company fundamental and macroeconomic variables which are linked to stock
returns has been carried out by many previous researchers, including (Sailendra & Suratno, 2014), (Denziana et al., 2015), (Har & Ghafar, 2015), (Riadevi & Darma, 2016), (Salim & Simatupang,
2016), (Dirga et al., 2016), (Mulya &
Turisna, 2016), (Ardhi et al.,
2017), (Kurniasari
& Budiatmo, 2018), (Aditya et
al., 2018).
Even though
many previous researchers have conducted studies on stock returns, research in
this field is still very interesting because the findings between one
researcher and another are only sometimes consistent, and the influencing
variables always change according to conditions and technological advances. ,
especially those caused and influenced by world macroeconomic factors, which
are increasingly dynamic and sensitive to the stock market.
This
research aims to determine and analyze the influence of Return on Equity (ROE),
Debt Equity Ratio (DER), economic growth (GDP), Inflation, and Interest Rates
on stock returns in building construction companies listed on the Indonesia
Stock Exchange in 2018 � 2022.
METHOD
This type of research is
quantitative and classified as descriptive verification research through
hypothesis testing using statistics. The dependent variable in this research is
stock returns. The independent variables used in this research are Return On
Equity Ratio (ROE), Debt Equity Ratio (DER), Economic Growth (GDP), Inflation,
and Interest Rates. Data Source, Place and Time of Research: The description of
the data used in this research is as follows:
Table
1. Types and Sources of Data
Variable |
Data |
Source |
Stock
returns |
Monthly
closing stock price |
Yahoo Finance (finance.yahoo.com) |
Return
On Equity
(ROE) |
ROE |
Indonesia stock exchange (www.idx.co.id) |
Debt
Equity Ratio
(DER) |
DER |
Indonesia stock exchange (www.idx.co.id) |
Growth Economy |
GDP
Rate Based on Prices Constant
2010 annual cumulative |
Central
Bureau of Statistics (www.bps.go.id) |
Inflation |
Annual
cumulative inflation |
Central
Bureau of Statistics (www.bps.go.id) |
Interest
rate |
BI
7-Day Repo Rate |
Bank
Indonesia (www.bi.go.id). |
Source:
Various sources (2023)
The population in this research is
all building construction companies registered on the BEI from 2018 to 2022.
The population in this research is 25 companies. Determining the sample using
the purposive sampling method resulted in 14 companies.
The data
collection methods used are the library study method and documentation method.
The data analysis method used is the classic assumption test, which consists of
the normality, heteroscedasticity, multicollinearity, and autocorrelation
tests. Apart from that, multiple linear regression analysis, coefficient of
determination test, simultaneous test, and partial test with IBM SPSS Statistics 26 software.
RESULTS AND
DISCUSSION
The objects
of this research are building construction companies listed on the IDX during
the 2018-2022 observation period. The data used
in this research is secondary data using document materials. All data used in
this research were obtained from financial reports published by the Indonesian
Stock Exchange. The list of companies studied is in Table 2
Table 2. List of Companies in the
Research Sample
No. |
Company Code |
Name Company |
1 |
ACST |
PT Acset Indonusa Tbk |
2 |
ADHI |
PT Adhi Karya (Persero) Tbk |
3 |
DGIK |
PT Nusa Construction Engineering Tbk |
4 |
IDPR |
PT Indonesia Pondasi Raya Tbk |
5 |
JKON |
PT Jaya Construction Manggala Pratama Tbk |
6 |
NRCA |
PT Nusa Raya Cipta Tbk |
7 |
PBSA |
PT Paramita Bangun Sarana Tbk |
8 |
PTPP |
PT Pembangunan Perumahan (Persero) Tbk |
9 |
SSIA |
PT Surya Semesta Internusa Tbk |
10 |
TOPS |
PT Totalindo Eka Persada Tbk |
11 |
TOTL |
PT Total Bangun Persada Tbk |
12 |
WEGE |
PT Wijaya Karya Gedung Tbk |
13 |
WIKA |
PT Wijaya Karya (Persero) Tbk |
14 |
WSKT |
PT Waskita Karya (Persero) Tbk |
Source:
Indonesian Stock Exchange (2023)
In this research, the variables
used are Return on Equity Ratio (ROE), Debt to Equity Ratio (DER), Economic
Growth (GDP), Inflation, Interest Rate (BI Rate), and Stock Returns. This
research was conducted on building construction companies registered on the IDX
from 2018 to 2022.
Classic
assumption test
Normality test
The
Normality test results from this research look like Figure 4 below:
Figure 4. Normality Test Results
Source: IBM SPSS Statistics 26 Processing Results
From Figure 4 above, it can be
seen that the data is spread around the diagonal line and follows the direction
of the diagonal line, so the data is normally distributed, and the regression
model meets the assumptions of normality.
Heteroscedasticity Test
The heteroscedasticity test was
carried out in this research using the Scatter plot chart.
Through the Scatter plot graph, in detecting whether there is
heteroscedasticity, you can see whether there is a certain pattern between
SRESID and ZPRED on the graph. The following is a scatter plot image
of the heteroscedasticity test results:
Figure 5. Heteroscedasticity Test Results
Source: IBM
SPSS Statistics 26 Processing Results
Figure 5 above the Scatter p lot image shows
that the dots are spread in an unclear pattern above and below the number 0 on
the Y axis, so the regression model does not have heteroscedasticity problems.
Autocorrelation Test
In this
method, the autocorrelation test is carried out using the Durbin-Watson test
method (DW Test). The results of the Autocorrelation test with Durbin-Watson
showed that the Durbin-Watson or dw value was 1.863, as in Table 3 below:
Table 3. Autocorrelation Test Results � Durbin Watson
Model |
R |
Std. Error of the Estimate |
Durbin-Watson |
1 |
.527 a |
19.70481 |
1,863 |
a. Predictors: (Constant), X5_Interest Rates, X2_DER,
X3_GDP, X1_ROE, X4_Inflation |
|||
b. Dependent Variable: Y_Share Return |
Source: IBM
SPSS Statistics 26 Processing Results
From Table 3, the dw value = 1.863
and the du value in the Durbin Watson table value distribution based on k (5)
and n (70) with α (5%), where k = number of variables, n = number of
research objects, α = significance then The Durbin Watson table value is
1.7683. so the results of the autocorrelation test with Durbin Watson are Du
(1.7683) < Durbin Watson (1,863) < 4-du (2.2317). Thus, the results of
this formulation are the basis for decision-making, namely that there are no
symptoms of autocorrelation.
Multicollinearity Test
This research conducted
multicollinearity testing by looking at the Variance Inflation Factor (VIF)
value and the reliance value in the regression model. The following is a table
of multicollinearity test results;
Table 4.
Multicollinearity Test
Model |
Collinearity Statistics |
||
Tolerance |
VIF |
||
1 |
(Constant) |
|
|
X1_ROE |
,497 |
2,012 |
|
X2_DER |
,509 |
1,966 |
|
X3_PDB |
,506 |
1,975 |
|
X4_Inflation |
,473 |
2,115 |
|
X5_Interest Rate |
,407 |
2,457 |
|
a. Dependent Variable: Y_Share Return |
Source:
Results of IBM SPSS statistics 26
Based on table 4 above, the
correlation value of Return on Equity (ROE) is 0.497, Debt to Equity (DER)
0.509, Economic Growth (GDP) 0.506, Inflation 0.473 and Interest Rate 0.407
which is above 0.1 and the VIF (Variance Inflation) value Factor): Return on
Equity (ROE) of 2.012, Debt to Equity (DER) of 1.966, Economic Growth (GDP) of
1.975, Inflation of 2.115 and Interest Rate of 2.457 are less than 10. This
shows that there is no perfect or close-to-linear relationship between
independent variables. So, this research's regression model did not find
multicollinearity problems and met the prerequisites for a good regression
model.
Multiple
Linear Regression Analysis;
This multiple linear regression
analysis was carried out to determine the influence of the independent
variables, namely Return on Equity (ROE), Debt to Equity Ratio (DER), Economic
Growth (GDP), Inflation and Interest Rate (BI Rate) as a whole on Stock Returns.
The following is Table 5 Regression Coefficients:
Table 5.
Regression Coefficients
Model |
Unstandardized Coefficients |
||
B |
Std. Error |
||
1 |
(Constant) |
12,314 |
13,715 |
X1_ROE |
-.136 |
,045 |
|
X2_DER |
-.033 |
,008 |
|
X3_PDB |
2,560 |
1,179 |
|
X4_Inflation |
-4,199 |
2,496 |
|
X5_Interest Rate |
-3,215 |
3,787 |
|
a. Dependent Variable: Y_Share Return |
Source:
Results of IBM SPSS statistics 26
Based on Table 5 of the Regression
Coefficients Table, the following regression equation is obtained:
Y = 12.314 � 0.136Xı - 0.033X2 + 2.560X3 �
4.199X4 � 3.215X5 + e
The regression equation can be explained as follows:
a. The constant of 12.314 means that if the Return on Equity (ROE),
debt-to-equity ratio (DER), Economic Growth (GDP), Inflation, and Interest Rate
(BI Rate) are 0, then the stock return is 12,314 units.
b. The Return on Equity regression coefficient is -0.136. If the
return on Equity (ROE) decreases by 1 unit, stock returns will increase by
0.136 units, assuming other variables are constant. A negative coefficient
means that the Return on Equity (ROE) hurts stock returns; the lower the Return
on Equity (ROE), the higher the stock returns.
c. The debt-to-equity ratio (DER) regression coefficient is -0.033.
If the debt-equity ratio (DER) decreases by 1 unit, stock returns will increase
by 0.033 units, assuming other variables are constant. The coefficient is
negative, meaning that the debt-equity ratio (DER) hurts stock returns; the
lower the debt-equity ratio (DER), the higher the stock return.
d. Economic Growth (GDP) regression coefficient of 2.560: This means
that if Economic Growth (GDP) increases by 1 unit, then stock returns will
increase by 2,560 units, assuming other variables are constant. The coefficient
is positive, meaning that Economic Growth (GDP) positively affects stock
returns; the higher the Economic Growth (GDP), the higher the stock returns.
e. The inflation regression coefficient is -4.199. This means that if
inflation decreases by 1 unit, stock returns will increase by 4,199 units,
assuming other variables are constant. The coefficient is negative, meaning
that inflation hurts stock returns. The lower the inflation is, the higher the
stock returns will be.
f. The BI Interest Rate regression coefficient is -3.215. If the BI
interest rate decreases by 1 unit, stock returns will increase by 3,215 units,
assuming other variables are constant. The coefficient is negative, meaning
that interest rates hurt stock returns; the lower the interest rate, the higher
the stock return.
Hypothesis test;
a.
t-test
To calculate the results of the
IBM SPSS statistics, 26 calculations, which the researcher has processed, can
be seen in Table 6. Table of Calculation of t-Test Results:
Table 6. Calculation of t-Test Results
Model |
t |
Sig. |
||
1 |
(Constant) |
,898 |
,373 |
|
X1_ROE |
-2,996 |
,004 |
||
X2_DER |
-4,349 |
,000 |
||
X3_PDB |
2,172 |
,034 |
||
X4_Inflation |
-1,682 |
,097 |
||
X5_Interest Rate |
-.849 |
,399 |
||
a. Dependent Variable: Y_Share Return |
Source:
Results of IBM SPSS statistics 26
1) Return on Equity (ROE) has a significant effect on stock returns.
Because the significance value of 0.004 is smaller than 0.05.
2) Debt to Equity (DER) has a significant effect on stock returns.
Because the significance value of 0.000 is smaller than 0.05.
3) Economic Growth (GDP) has a significant effect on stock returns.
Because the significance value of 0.034 is smaller than 0.05.
4) Inflation has no significant effect on stock returns. Because the
significance value of 0.097 is greater than 0.05.
5)
Interest
rates have no significant effect on stock returns. Because the significance value of 0.399 is
greater than 0.05.
b.
F test
The
results of the F test or simultaneous regression coefficient test in this
research appear in Table 7 below:
Table 7.
Calculation of F Test Results
ANOVA a |
||||||
Model |
Sum of Squares |
Df |
Mean Square |
F |
Sig. |
|
1 |
Regression |
9557.901 |
5 |
1911,580 |
4,923 |
.001 b |
Residual |
24849.889 |
64 |
388,280 |
|
|
|
Total |
34407.790 |
69 |
|
|
|
|
a. Dependent Variable: Y_Share Return |
||||||
b. Predictors: (Constant), X5_Interest Rates, X2_DER,
X3_GDP, X1_ROE, X4_Inflation |
Source:
Results of IBM SPSS statistics 26
The level of significance used by
researchers is α = 0.05. The F table value in the statistical table is at
a significance of 0.05, (k; nk) where k = number of independent variables, n =
research object, so; (5;70-5) = (5; 65) then the F table is 2.37. F calculation
based on the results of IBM SPSS statistics 26 calculations which researchers
have processed can be seen in table 4.12, namely 4.923, and the significance
value is 0.001. This means that there is a significant influence of Return on
Equity (ROE), Debt to Equity Ratio (DER), Economic Growth (GDP), Inflation and
interest rates on stock returns simultaneously. The calculated F calculation result of 4.923 is
greater than the F table of 2.37, and the significance value of 0.001 is
smaller than 0.05.
Test Coefficient of
Determination (R2)
The
results of IBM SPSS statistics 26 calculations for the R Square Determination
test (R 2 ) can be seen in Table 8 as follows:
Table 8.
Coefficient of Determination Test Results
Model |
R |
R Square |
Adjusted R Square |
1 |
.527 a |
,278 |
,221 |
a. Predictors: (Constant), X5_Interest
Rates, X2_DER, X3_GDP, X1_ROE, X4_Inflation |
|||
b. Dependent Variable: Y_Share Return |
Source:
Results of IBM SPSS statistics 26
Based on
Table 8 above, the R Square (R2) value is 0.278 or 27.8%. So the
contribution of the influence of the independent variables Return on Equity
Ratio (ROE), Debt to Equity Ratio (DER), Economic Growth (GDP), Inflation and
Interest Rates on stock returns is 27.8%. The remaining 72.2% is influenced by
factors others have yet to research.
From the
results of the data processing above, it can be explained as follows using five
tested hypotheses:
First Hypothesis (H1)
The research
results for Return On Equity (ROE) negatively and significantly affect stock
returns. So if ROE falls, then stock returns will rise. The results of this
research are in line with research (Mulya & Turisna, 2016). The results of this research are an anomaly because normally
when ROE increases, stock returns will increase or vice versa; when ROE
decreases, stock returns will decrease. ROE is a profitability ratio, which is
a ratio that measures net profit after tax with own capital. The higher the
value of this ratio, the better the condition of the company and the higher the
level of the company's ability to pay its debts to creditors. However, this
differs from this research, which shows that ROE decreases, but stock returns
increase. Based on the researcher's analysis, ROE decreased because it was influenced by external factors, namely the impact
of the Covid-19 pandemic because the 2019 - 2021 period was the period when the
Indonesian nation and the world were experiencing the COVID-19 outbreak and the
impact was felt until 2022. Almost all business sectors weakened, including
Indonesia's building construction business sector. However, thanks to the government's policy
to accelerate development, especially in infrastructure and the government's
success in tackling the pandemic, construction companies continue to exist, and
the company's performance is relatively good, so share prices remain relatively
stable and can provide returns to investors. In contrast to research results (Sailendra
& Suratno, 2014), (Aditya et
al., 2018) state that ROE has a positive but
insignificant effect or can not affect stock returns. However, it is different
from research (Djeutem & Dunbar, 2022)
; (Har &
Ghafar, 2015) and (Ardhi et al.,
2017), which shows that ROE has a positive and
significant effect on stock returns.
Second
Hypothesis (H2)
The research results for Debt to
Equity (DER) are that it has a negative and significant effect on stock
returns. So, if the DER decreases, stock returns will increase. This research
aligns with the results of research (Mulya & Turisna, 2016), which found that DER has a negative and significant effect on
stock returns. This research is different from the theory (Modigliani & Miller, 1958), which states that a company will get better if it uses more debt.
The increasing use of debt is reflected in the greater DER, so the same
earnings before interest and tax (EBIT) will produce greater earnings per
share. If earnings per share increase, it will increase the share price or
stock return. This research also differs from the results of research (Claassen et al., 2023) ; (Aditya et al., 2018) and (Purnama & Purbawangsa, 2017), who found that DER had a significant positive effect on stock
returns.
Third Hypothesis (H3)
The research results for Economic
Growth (GDP) positively and significantly affect stock returns. If Economic
Growth (GDP) increases, stock returns will also increase. The results of this
research are in line with the results of research (Antoniou & Mitali, 2023) ; (Kibria et al., 2014), and (Purnama & Purbawangsa, 2017) that Economic Growth (GDP) has a significant positive effect on
stock returns. Economic Growth describes how much increase in national income
is generated by the industrial sector. Therefore, a growing GDP value indicates
that economic conditions are improving, and the higher economic growth of a
country indicates that demand for goods is increasing, including demand in the
building construction sector. Good economic conditions will facilitate
development activities, so active construction activities can increase
investors' interest in buying shares, which can influence stock returns.
However, this research is different from the research (Abbas et al., 2015) (Kewal, 2012), which found that Economic Growth (GDP) had an insignificant or no
negative effect.
Fourth Hypothesis (H4)
The research results for inflation are that it has an
insignificant negative effect on stock returns or has no effect because it is not
significant. If inflation falls or rises, stock returns will rise because the effect is
insignificant or can be said to have no effect. The results
of this research are in line with the research (Salim & Simatupang, 2016), (Sailendra & Suratno, 2014), (Wiratno et al., 2018), (Abbas et al., 2015), (Alam et al., 2014). The results of this research are different from the results of
research (Dirga et al., 2016), (Ardhi et al., 2017), (Kibria et al., 2014), namely that inflation has a positive and significant effect on
stock returns.
Fifth Hypothesis (H5)
The research results for interest rates are that they have an
insignificant negative effect on stock returns or have no effect because they are insignificant. If interest rates fall or rise,
stock returns will rise because the effect is insignificant or can
be said to have no
effect. The results of this research are
in line with research (Ardhi et al., 2017), (Wiratno et al., 2018), (Alam et al., 2014), (Kewal, 2012) which states that interest rates have a significant negative
effect on returns. Share. In contrast to research (Aditya et al., 2018), (Dirga et al., 2016), (Denziana et al., 2015) which shows that interest rates have a significant positive effect
on stock returns.
CONCLUSION
Based on the analysis
and discussion regarding the influence of fundamental and macroeconomic factors
on stock returns in building construction companies listed on the Indonesian
stock exchange for the period 2018 - 2022, the following conclusions can be
drawn: 1) Return on Equity (ROE), Debt to Equity (DER) negative and significant
effect on stock returns. 2) Economic Growth (GDP)
positively and significantly affects stock returns. 3) Inflation and interest
rates have a negative and insignificant effect on stock returns.
Simultaneously, the factors of Return on Equity (ROE), Debt to Equity Ratio
(DER), Economic Growth (GDP), Inflation and interest rates. Significant effect
on stock returns. This research has several limitations that can be considered
for further research, including fundamental variables limited to the
profitability ratio, namely Return On Equity (ROE) and the leverage ratio,
namely Debt Equity Ratio (DER). The macro economy is limited to economic growth
(GDP), inflation and interest rates (BI Rate). This research only uses a sample
of companies in the building construction sub-sector, listed on the Indonesia
Stock Exchange continuously from 2018 to 2022, so more than the number of
companies used as a sample is needed to represent all companies in the building
construction sub-sector.
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