DETERMINAN VOLATILITAS SAHAM PERUSAHAAN BADAN USAHA MILIK NEGARA INDONESIA DI BURSA EFEK INDONESIA DAN UKURAN PERUSAHAAN SEBAGAI VARIABEL MODERASI

I DEWA MADE TIRTA MEIRSHA, . (2026) DETERMINAN VOLATILITAS SAHAM PERUSAHAAN BADAN USAHA MILIK NEGARA INDONESIA DI BURSA EFEK INDONESIA DAN UKURAN PERUSAHAAN SEBAGAI VARIABEL MODERASI. Doktor thesis, UNIVERSITAS NEGERI JAKARTA.

	Text 1. COVER.pdf Download (764kB)
	Text 2. BAB I.pdf Download (888kB)
	Text 3. BAB II.pdf Restricted to Registered users only Download (800kB) | Request a copy
	Text 4. BAB III.pdf Restricted to Registered users only Download (455kB) | Request a copy
	Text 5. BAB IV.pdf Restricted to Registered users only Download (643kB) | Request a copy
	Text 6. BAB V.pdf Restricted to Registered users only Download (231kB) | Request a copy
	Text 7. Daftar Pustaka.pdf Download (277kB)
	Text 8. Lampiran dan DRH.pdf Restricted to Registered users only Download (616kB) | Request a copy

Abstract

Penelitian ini bertujuan untuk menganalisis determinan volatilitas saham perusahaan Badan Usaha Milik Negara Indonesia di Bursa Efek Indonesia dan menguji peran ukuran perusahaan sebagai variabel moderasi. Variabel bebas dalam penelitian ini meliputi fundamental makro, fundamental mikro, struktur modal, volatilitas pasar saham, dan likuiditas pasar. Fundamental makro diukur dengan kurs, inflasi, tingkat bunga, dan pertumbuhan ekonomi. Fundamental mikro diukur dengan current ratio, debt to equity ratio, total asset turnover, net profit margin, return on asset, return on equity, dan market to book ratio. Struktur modal diukur dengan government funding, volatilitas pasar saham diukur dengan indeks harga saham gabungan, likuiditas pasar diukur dengan volume perdagangan saham, dan ukuran perusahaan diukur dengan market capitalization. Penelitian ini menggunakan pendekatan kuantitatif dengan analisis data panel pada 24 perusahaan BUMN Indonesia yang terdaftar di Bursa Efek Indonesia selama periode 2019 sampai 2024. Pengolahan data dilakukan dengan bantuan software STATA. Hasil penelitian menunjukkan bahwa model penelitian secara simultan signifikan dengan nilai Prob. F sebesar 0,0001 dan kemampuan penjelasan model sebesar 40,37%. Secara parsial, inflasi, debt to equity ratio, return on asset, dan government funding berpengaruh signifikan negatif terhadap volatilitas saham. Kurs, tingkat bunga, pertumbuhan ekonomi, current ratio, total asset turnover, net profit margin, return on equity, market to book ratio, volatilitas pasar saham, dan likuiditas pasar tidak berpengaruh signifikan terhadap volatilitas saham. Ukuran perusahaan sebagai variabel moderasi hanya terbukti signifikan dalam memoderasi pengaruh kurs dan return on asset terhadap volatilitas saham. Temuan ini menunjukkan bahwa volatilitas saham BUMN Indonesia lebih banyak dipengaruhi oleh stabilitas harga domestik, struktur solvabilitas, efisiensi aset, dan dukungan pendanaan pemerintah dibandingkan oleh fluktuasi pasar secara umum. Secara teoretis, penelitian ini memperkuat teori efficient market hypothesis bahwa volatilitas saham dipengaruhi oleh kombinasi informasi makroekonomi, fundamental perusahaan, dan kondisi pasar secara simultan. Penelitian ini juga mendukung teori behavioral finance yang menjelaskan bahwa volatilitas saham tidak hanya dipengaruhi faktor fundamental, tetapi juga sentimen investor dan persepsi pasar terhadap perusahaan BUMN. Selain itu temuan ini juga memperluas kajian trade off theory dalam konteks perusahaan milik negara, di mana dukungan pemerintah dapat menurunkan persepsi risiko pasar. Temuan ini menunjukkan bahwa struktur modal BUMN tidak dapat dijelaskan hanya melalui utang dan ekuitas sebagaimana perusahaan swasta. Pada BUMN, struktur modal juga mencakup peran pemerintah sebagai pemilik mayoritas, penyedia dukungan pendanaan, pemberi penugasan, dan penjaga stabilitas ekonomi ***** This study aims to analyze the determinants of stock volatility for Indonesian state-owned enterprises listed on the Indonesia Stock Exchange and to test the role of firm size as a moderating variable. The independent variables in this study include macro fundamentals, micro fundamentals, capital structure, stock market volatility, and market liquidity. Macro fundamentals are measured by exchange rates, inflation, interest rates, and economic growth. Micro fundamentals are measured by the current ratio, debt-to-equity ratio, total asset turnover, net profit margin, return on assets, return on equity, and market-to-book ratio. Capital structure is measured by government funding, stock market volatility is measured by the composite stock price index, market liquidity is measured by stock trading volume, and firm size is measured by market capitalization. This study employs a quantitative approach using panel data analysis on 24 Indonesian state-owned enterprises listed on the Indonesia Stock Exchange during the period from 2019 to 2024. Data processing was conducted using STATA software. The results of the study indicate that the research model is statistically significant at the 0.0001 F-probability level, with an explanatory power of 40.37%. Partially, inflation, debt-to-equity ratio, return on assets, and government funding have a significant negative effect on stock volatility. Exchange rates, interest rates, economic growth, current ratio, total asset turnover, net profit margin, return on equity, market-to-book ratio, stock market volatility, and market liquidity do not have a significant effect on stock volatility. Firm size, as a moderating variable, is only found to be significant in moderating the effects of exchange rates and return on assets on stock volatility. These findings indicate that the stock volatility of Indonesian SOEs is more influenced by domestic price stability, solvency structure, asset efficiency, and government funding support than by general market fluctuations. Theoretically, this study reinforces the efficient market hypothesis that stock volatility is influenced by a combination of macroeconomic information, corporate fundamentals, and market conditions simultaneously This study also supports behavioral finance theory, which explains that stock volatility is influenced not only by fundamental factors but also by investor sentiment and market perceptions of state-owned enterprises (SOEs). Furthermore, these findings expand the analysis of trade-off theory in the context of state-owned enterprises, where government support can reduce market risk perceptions. These findings indicate that the capital structure of SOEs cannot be explained solely through debt and equity, as is the case with private companies. In SOEs, the capital structure also encompasses the government’s role as the majority owner, provider of financial support, assignor of tasks, and guardian of economic stability.

Item Type:	Thesis (Doktor)
Additional Information:	1). Prof. Dr. I Gusti Ketut Agung Ulupui, S.E., M.Si.Ak; 2). Prof. Dr. Adler Haymans Manurung, SH., SE., ME., M.Com.
Subjects:	Manajemen > Manajemen , Business
Divisions:	PASCASARJANA > S3 Ilmu Manajemen
Depositing User:	I Dewa Made Tirta Meirsha .
Date Deposited:	03 Aug 2026 01:40
Last Modified:	03 Aug 2026 01:40
URI:	http://repository.unj.ac.id/id/eprint/67998

Actions (login required)

View Item