Analisis Pengaruh Faktor-Faktor Fundamental Terhadap Return Saham Syariah Pada Perusahaan yang Tergabung Dalam Jakarta Islamic Index (Jii) Tahun 2007-2011

Abstract

The purpose of this research is to know the influence of fundamental factor that consists of Current Ratio, Total Assets Turnover, Return On Asset, Debt to Equity Ratio, and Price to Book Value for syari’ah stock return in the company that has combination into Jakarta Islamic Index (JII) year 2007-2011. This research using of sample from the companies that has combination in the group of Jakarta Islamic Index (JII) in the stock exchange Indonesia year 2007-2011. The method of taking sample by using of purposive sampling method. From those method it gets 12 sample of syari’ah stock that can fulfill the criteria to use as the research sample.

The model of analysis that used in this research is multiple linear regression technique. The result of this analysis shows the fundamental factor that consists of Current Ratio, Total Assets Turnover, Return On Asset, Debt to Equity Ratio, and Price to Book Value as a simultaneous gives the significant effect for the stock return. The result from this analysis as a partial Return On Asset, Debt to Equity Ratio, and Price to Book Value have the significant effect for the stock return, meanwhile Current Ration and Total Assets Turnover does not give the significant effect for the stock return. The result of the research shows 37,3% variable return stock variation can be explained by Current Ratio Variable, Total Assets Turnover, Return On Asset, Debt to Euity Ratio, and Price to Book Value. While the rest 62,7% variable return stock variation explained by another factor in the outside of model.