Pengaruh Kebijakan Dividen dan Nilai Perusahaan terhadap Harga Saham pada Perusahaan Indeks LQ45 Periode 2019-2024

Amita Fatmasari Dewi; Cynthia Eka Violita; Achmad Zaki; Devika Eka Cherly

doi:10.31961/ijaaf.v6i1.15709

Penulis

Amita Fatmasari Dewi Universitas Nahdlatul Ulama Sidoarjo
Cynthia Eka Violita Universitas Nahdlatul Ulama Sidoarjo
Achmad Zaki Universitas Nahdlatul Ulama Sidoarjo
Devika Eka Cherly Universitas Nahdlatul Ulama Sidoarjo

DOI:

https://doi.org/10.31961/ijaaf.v6i1.15709

Kata Kunci:

Dividend Payout Ratio, LQ45, Price to Book Value, Stock Price

Abstrak

Penelitian ini bertujuan untuk menganalisis pengaruh kebijakan dividen dan nilai perusahaan terhadap harga saham pada perusahaan yang tergabung dalam indeks LQ45 periode 2019–2024. Kebijakan dividen diproksikan menggunakan Dividend Payout Ratio (DPR), sedangkan nilai perusahaan diukur dengan Price to Book Value (PBV). Penelitian ini menggunakan pendekatan kuantitatif dengan metode regresi data panel, serta pemilihan model melalui uji Chow, Hausman, dan Lagrange Multiplier yang secara keseluruhan merekomendasikan penggunaan Random Effect Model (REM). Pengujian hipotesis dilakukan menggunakan uji t untuk mengetahui pengaruh parsial variabel independen terhadap harga saham. Hasil penelitian menunjukkan bahwa Dividend Payout Ratio (DPR) tidak berpengaruh signifikan terhadap harga saham (koefisien = 0,0122; probabilitas = 0,5647 > 0,05), sedangkan Price to Book Value (PBV) berpengaruh positif dan signifikan (koefisien = 0,5046; probabilitas = 0,0000 < 0,05). Temuan ini mengindikasikan bahwa investor cenderung lebih mempertimbangkan valuasi perusahaan dibandingkan kebijakan dividen dalam pengambilan keputusan investasi. Namun, nilai koefisien determinasi (R-squared) yang relatif rendah sebesar 0,3791 (37,91%) menunjukkan bahwa harga saham juga dipengaruhi oleh faktor lain di luar model. Penelitian ini memberikan implikasi bahwa peningkatan nilai perusahaan menjadi faktor penting dalam mendorong harga saham, serta membuka peluang bagi penelitian selanjutnya untuk memasukkan variabel makroekonomi dan faktor eksternal lainnya guna meningkatkan kemampuan model.

Unduhan

Data unduhan belum tersedia.

Referensi

Akib, M., Nurdin, E., Purnaman, S. M. N., & Anwar, F. (2023). Does Capital Structure, Profitability, and Dividend Policy Improve Stock Prices? International Journal of Professional Business Review: Int. J. Prof.Bus. Rev., ISSN 2525-3654, ISSN-e 2525-3654, Vol. 8, No. 6, 2023 (Ejemplar Dedicado a: Continuous Publication; E01278), 8(6), 16. https://doi.org/10.26668/businessreview/2023.v8i6.2395

Amin, M. H., Silalahi, A. D., & Lubis, R. H. (2022). Analysis of Determining Factors of Earnings Persistence in Consumer Goods Industry Companies Listed on the Indonesia Stock Exchange. Jurnal Akuntansi Audit dan Perpajakan Indonesia (JAAPI), 3(1), 302–310. https://doi.org/10.32696/JAAPI.V3I1.1281

Astuti, A. P., & Setiawati, E. (2024). The Effect of EPS, ROA, DER, and PBV on Stock Prices (A Case Study of LQ-45 Companies Listed on the Indonesia Stock Exchange for the Period 2018-2021). Junral Rimba, 2(2), 112–126. https://doi.org/https://doi.org/10.61132/rimba.v2i2.697

Fajri, N. F., Siregar, H., & Syarifuddin, F. (2019). The effect of five price categories in tick size policy on trade and stock returns based on the LQ45 Index. Jurnal Keuangan Dan Perbankan, 23(1). https://doi.org/10.26905/jkdp.v23i1.2598

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486

Ghazali Syamni, Murhadi, T., Marzuki, M., Zainuddin, Z., & Yulis Terfiadi, S. (2025). Financial Investment Behavior of Individual Investor in Indonesia After the Revocation of the Covid-19 Policy. Matrik: Jurnal Manajemen, Strategi Bisnis Dan Kewirausahaan, 17(2), 184–195. https://doi.org/DOI: 10.24843/matrik:jmbk.2023.v17.i02.p06

Ghozali, I. (2023). Multivariate Analysis Application with IBM SPSS 29 Program (10th Edition) (10th ed.). Badan Penerbit Universitas Diponegoro (BPUNDIP).

Habibah, U., & Heruwanto, J. (2022). Financial Performance in Influencing the Return of LQ45 Company Shares on the Indonesia Stock Exchange. EKOMABIS: Jurnal Ekonomi Manajemen Bisnis, 3(02), 181–190. https://doi.org/10.37366/EKOMABIS.V3I02.505

Kayode, K., Gbenga, O., & Ayobami, R. (2022). Effect of Dividend Policy on Share Price Movement: Focusing on Companies Listed on the Nigerian Stock Exchange Market. Institutions and Risks, 6(4), 101–108. https://doi.org/10.21272/fmir.6(4).101-118.2022

Khoirayanti, R. N., & Sulistiyo, H. (2020). The Effect of Stock Price, Trading Volume, and Trading Frequency on Bid-Ask Spread. Jurnal Ilmiah Akuntansi Fakultas Ekonomi, 6(2), 231–240. https://doi.org/https://doi.org/10.34204/jiafe.v6i2.2305

Khoirunisa, F., Mahirun, & Meliza. (2024). The Effect of Liquidity, Profitability, and Dividend Policy on Firm Value with Firm Size as a Moderating Variable. Entrepreneur: Jurnal Bisnis Manajemen Dan Kewirausahaan, 5(3), 397–411. https://doi.org/10.31949/Entrepreneur.V5I3.11958

Kumaraswamy, S., Ebrahim, R. H., & Wan Mohammad, W. M. (2019). Dividend Policy and Stock Price Volatility in Indian Capital Market. Entrepreneurship and Sustainability Issues, 7(2), 862–874. https://doi.org/10.9770/JESI.2019.7.2(5)

Lahouel, B. Ben, Zaied, Y. Ben, Song, Y., & Yang, G. (2021). Corporate social performance and financial performance relationship: A data envelopment analysis approach without explicit input. Finance Research Letters, 39, 101656. https://doi.org/10.1016/j.frl.2020.101656

Laksmiwati, M., Meidiyustiani, R., Oktaviani, R. F., & Priyanto, S. (2023). The Role of Dividend Policy as An Intervening of Financial Performance on Company Value. International Journal of Social Service and Research, 3(1), 170–180. https://doi.org/10.46799/IJSSR.V3I1.234

Lisnawati, I., Made, A., & Dianawati, E. (2018). The Effect of Dividend Policy and Debt Policy on Stock Price with Firm Value as an Intervening Variable (Study on Manufacturing Companies Listed on the Indonesia Stock Exchange for the Period 2013-2015). Jurnal Riset Mahasiswa Akuntansi, 6(2). https://doi.org/10.21067/JRMA.V6I2.4226

Malkiel, B. G. (2019). A Random Walk The Time-Tested Strategy for Successful Investing. W. W. Norton & Company.

Marietza, F., & Tifani, S. (2022). Do Firm Value and Institutional Investors Affect on Herding. JURNAL Riset Akuntansi Dan Keuangan Indonesia, 7(3). https://doi.org/DOI: 10.23917/reaksi.v7i3.20037

Melina, & Tanny, F. E. (2022). Return On Asset and Return On Equity Toward Stock Price On. 3(1), 40–61. https://share.google/VU6MlVlKyvEh04IOP

Mudijaningsih, T., Octisari, S. K., Rokhayati, I., Nugraha, G. A., & Budiastuti, A. (2023). The Impact of Information Asymmetry, Profitability, and Managerial Ownership on Earnings Management. PARAMETER, 8(2), 189–198. https://doi.org/10.37751/Parameter.V8I2.249

Pradnyadewi, D., Priyana, W., Sudharma, A., & Primajana, D. J. (2025). Behavioral Finance Dynamics in the Post-COVID-19 Era. Nusantara Hasana Journal, 4(9), 117–136. https://doi.org/10.59003/NHJ.V4I9.1345

Rachmawati, Y. (2018). The Effect of Inflation and Interest Rates on Stock Prices of Banking Companies Listed in the LQ45 Index of the Indonesia Stock Exchange. Jurnal Media Akuntansi (Mediasi), 1(1), 66–79. https://doi.org/10.31851/Jmediasi.V1I1.2368

Rakhman, A., & Vita, E. (2017). Analysis of the Effect of Capital Structure, Dividend Policy, and Firm Size on Firm Value (Study on Manufacturing Companies Listed on the Indonesia Stock Exchange for the Period 2012-2014). Jurnal Ekonomi Perusahaan, 24(2). https://doi.org/10.46806/JEP.V24I2.446

Sari, L., Yusra, I., & Rahmizal, M. (2022). Do Managers Pay Attention to the Market? Dividend Changes and Stock Price Information in Indonesia. Jurnal Apresiasi Ekonomi, 10(3), 257–267. https://doi.org/10.31846/JAE.V10I3.485

Sartika, D., & Gantino, R. (2023). The Effect of Profitability, Leverage, and Company Size on Dividend Policy: A Case Study of Transportation Companies Listed on the Indonesia Stock Exchange for the 2017-2022 Period. Open Access Indonesia Journal of Social Sciences, 6(6), 1228–1235. https://doi.org/10.37275/OAIJSS.V6I6.194

Septariani, D. (2017). The Effect of Dividend Policy and Debt Policy on Firm Value (An Empirical Study on LQ45 Companies on the IDX for the Period 2012-2015). JABE (Journal of Applied Business and Economic), 3(3), 183–195. https://doi.org/10.30998/JABE.V3I3.1769

Violita, C. E., & Putrihadiningrum, D. C. (2023). Pengaruh Likuiditas Saham dan Capital Structure terhadap Return Saham. GEMA EKONOMI, 12(5). https://doi.org/10.55129/HTTPS://DOI.ORG/10.55129/.V12I4.2927

Wandira, M. A., & Saputra, W. S. (2023). Determinan Perubahan Stock Price Volatility Pada Perusahaan LQ45. Jurnal Akuntansi Bisnis, 16(2), 248–269. https://doi.org/10.30813/JAB.V16I2.4328

Widodo Banjar, W., Saleh, M. H., & Siladjaja, M. (2023). Impact of Earning Per Share, Dividend Payout Ratio, and Price Earning Ratio on Stock Prices in the Manufacturing Sector. Journal of Public Auditing and Financial Management, 3(1), 1–12. https://doi.org/10.36407/JPAFM.V3I1.1579

Wijaya, A. B., & MN, N. (2022). Pengaruh Variabel Makroekonomi dan Rasio Keuangan terhadap Harga Saham. Jurnal Manajerial Dan Kewirausahaan, 4(1), 12–21. https://doi.org/10.24912/JMK.V4I1.17118

Wooldridge, J. M. . (2010). Econometric Analysis of Cross Section and Panel Data. 1064.

Yanto, S. (2021). The Role of Earnings Management, Capital Intensity, Leverage, and Good Corporate Governance on Earnings Quality. COMPETITIVE Jurnal Akuntansi Dan Keuangan, 5(1), 36. https://doi.org/10.31000/COMPETITIVE.V5I1.3085

Zaini, Silitonga, E. S., & Guswandi. (2022). The Influence of Debt to Equity Ratio and Current Ratio to Return on Equity and Price to Book Value: Subsector Food and Baverages Industry of Company Listedat Indonesian Stock Exchange Period 2014-2019. Journal of Economics, Finance And Management Studies, 05(03). https://doi.org/DOI: 10.47191/JEFMS/V5-I3-09