Analysis of Fundamental Factors Affecting Islamic Bank Share Prices in Indonesia
Abstract
While investing in the stock market can generate profits, it can also generate losses. Understanding the impact of certain important components on stock prices can help investors make more profitable investment decisions. The study investigated the key components that influenced the price of sharia bank Indonesian shares. Secondary data used for research. The information comes from monthly financial statements compiled from June 2018 to December 2020. The study looked at the impact of the shock and long-term response of each variable on the stock price using the Vector Error Correction Model (VECM). In the long run, PER and ROE variables have a positive effect on the stock price, but EPS has a negative effect. Unlike other variables, DER and PBV do not affect the stock price. The main factor is the EPS, which has a big and positive impact on the stock price in the short term. DER and PER have a very negative impact on the value of stocks. PBV has a negative but non-significant impact, while ROE has a positive but not significant impact.
Keywords: Fundamental Factor, Stock Price, Vector Error Correction Model
References
[1] N. M. H. Masoud, “The impact of stock market performance upon economic growth,” Int. J. Econ. Financ. Issues, vol. 3, no. 4, pp. 788–798, 2013.
[2] P. Srinivasan, “Determinants of equity share prices in India: A panel data approach,” Rom. Econ. J., vol. 46, no. 6, pp. 205–228, 2012.
[3] R. Fauzi and I. Wahyudi, “The effect of firm and stock characteristics on stock returns: Stock market crash analysis,” J. Financ. Data Sci., vol. 2, no. 2, pp. 112–124, 2016.
[4] H. Rusliani and N. Mubyarto, “Dampak Penerapan Perbankan Syari’ah Terhadap Pertumbuhan Ekonomi Negara: Kajian Perbandingan Malaysia Dan Indonesia,” ILTIZAM J. Shariah Econ. Res., vol. 1, no. 1, pp. 37–60, 2017.
[5] R. A. Nagy and R. W. Obenberger, “Factors influencing individual investor behavior,” Financ. Anal. J., vol. 50, no. 4, pp. 63–68, 1994.
[6] W. F. M. De Bondt and R. H. Thaler, “Financial decision-making in markets and firms: A behavioral perspective,” Handbooks Oper. Res. Manag. Sci., vol. 9, pp. 385–410, 1995.
[7] O. Aregbeyen and S. O. Mbadiugha, “Factors influencing investors decisions in shares of quoted companies in Nigeria,” Soc. Sci., vol. 6, no. 3, pp. 205–212, 2011.
[8] D. Kourtidis, Ž. Ševic, and P. Chatzoglou, “Investors’ trading activity: A behavioural perspective and empirical results,” J. Socio. Econ., vol. 40, no. 5, pp. 548–557, 2011.
[9] C. J. Auret and R. A. Sinclaire, “Book-to-market ratio and returns on the JSE,” Invest. Anal. J., vol. 35, no. 63, pp. 31–38, 2006.
[10] Y. Kurihara, “The Relationship between Exchange Rate and Stock Prices during the Quantitative Easing Policy in Japan.,” Int. J. Bus., vol. 11, no. 4, 2006.
[11] Y. R. Bhattarai, “Determinants of share price of Nepalese commercial banks,” Econ. J. Dev. issues, pp. 187–198, 2014.
[12] E. Thalassinos, E. Ugurlu, and Y. Muratoglu, “Income Inequality and Inflation in the EU,” 2012.
[13] R. L. Poudel, “Determinant of Stock Price of Selected Banks in Nepal,” Int. J. Manag. Soc. Sci., vol. 4, no. 9, pp. 541–549, 2016.
[14] M. A. Chhipa and A. A. Nabi, “Factors affecting share prices of banking sector of Pakistan,” J. Econ. Info, vol. 3, no. 1, pp. 1–5, 2016.
[15] T. Sharif, H. Purohit, and R. Pillai, “Analysis of factors affecting share prices: The case of Bahrain stock exchange,” Int. J. Econ. Financ., vol. 7, no. 3, pp. 207–216, 2015.
[16] A. Masum, “Dividend policy and its impact on stock price–A study on commercial banks listed in Dhaka stock exchange,” Glob. Discl. Econ. Bus., vol. 3, no. 1, 2014.
[17] K. Tandon and N. Malhotra, “Determinants of stock prices: Empirical evidence from NSE 100 companies,” Int. J. Res. Manag. Technol., vol. 3, no. 3, pp. 2249–9563, 2013.
[18] J. Collins, “How to study the behavior of bank stocks,” Financ. Anal. J., vol. 13, no. 2, pp. 109–113, 1957.
[19] H. Guo, “Stock market returns, volatility, and future output,” Rev. Reserv. Bank Saint Louis, vol. 84, no. 5, pp. 75–84, 2002.
[20] M. A. Almumani, “Determinants of equity share prices of the listed banks in Amman stock exchange: Quantitative approach,” Int. J. Bus. Soc. Sci., vol. 5, no. 1, 2014.
[21] W. A. Almaaiteh and A. S. Alsaraireh, “Accounting indicators and their impact on market prices of shares of commercial banks listed on the Amman stock exchange for the period 2006-2017,” Int. Rev. Manag. Mark., vol. 9, no. 4, p. 32, 2019.
[22] S. Sarbabidya and T. Saha, “Factors affecting investment decisions: A study on Bangladesh stock market,” J. Account., vol. 8, no. 2, pp. 1–19, 2018.
[23] D. Sunaryo, “The Effect of Current Ratio (CR), Debt To Equity Ratio (DER), and Earning Per Share (EPS) on Share Prices With Returning Assets As A Moderated Variables,” Int. J. Econ. Manag. BUSINESS, Soc. Sci., vol. 1, no. 1, pp. 98–110, 2021.
[24] S. T. Rachev, S. Mittnik, F. J. Fabozzi, and S. M. Focardi, Financial econometrics: from basics to advanced modeling techniques. John Wiley & Sons, 2007.
[25] J. D. Hamilton, “Time Series Analysis, New Jersey, Princeton Uni.” Press, 1994.
[26] G. Kirchgässner, J. Wolters, and U. Hassler, Introduction to modern time series analysis. Springer Science & Business Media, 2012.
[27] C. W. J. Granger, “Co-integrated variables and error-correcting models.” Discussion Paper 83-13. Department of Economics, University of California at …, 1983.
[28] S. Burke and J. Hunter, Modelling non-stationary economic time series: A multivariate approach. Springer, 2005.
[29] J. Hunter, “Tests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom,” J. Policy Model., vol. 14, no. 4, pp. 453–463, 1992.
[30] S. Johansen and K. Juselius, “Some structural hypotheses in a multivariate cointegration analysis of the purchasing power parity and the uncovered interest parity for UK,” 1990.
[31] J. Hunter and M. Simpson, “Exogeneity and identification in a model of the UK effective exchange rate,” in Econometrics Society European Meeting, Istanbul, 1996.
[32] D. Ratih, A. E. Prihatini, and S. Saryadi, “Pengaruh EPS, PER, DER, ROE terhadap harga saham pada Perusahaan Sektor Pertambangan yang terdaftar di Bursa Efek Indonesia (BEI) tahun 2010-2012,” J. Ilmu Adm. Bisnis, vol. 3, no. 1, pp. 83–94, 2014.
[33] T. Akbar and A. Afiezan, “Determination of sharia stock price through analysis of fundamental factors and macro economic factors,” Acc. Financ. Manag. J., vol. 3, no. 10, pp. 1739–1745, 2018.