Determinants of Stock Returns: Evidence from Indonesian Listed Companies (2019–2024)

Baliyah Munadjat; Hari Gursida; Yohanes Indrayono

doi:10.59890/ijmbi.v4i2.396

Authors

Baliyah Munadjat Pakuan University, Bogor
Hari Gursida Pakuan University, Bogor
Yohanes Indrayono Pakuan University, Bogor

DOI:

https://doi.org/10.59890/ijmbi.v4i2.396

Keywords:

Stock Return, ROA, DER, Firm Size, Panel Data

Abstract

In order to better understand how basic business issues affected stock returns for Indonesia Stock Exchange businesses from 2019 to 2024, this research sets out to accomplish just that. The ROA, DER, and SIZE of the company are the independent variables that are used. Using panel data collected from 119 firms over a six-year period, the research takes a quantitative method (714 observations). A panel data regression technique known as the Fixed Effects Model (FEM) is used for the study. According to the findings, ROA and DER significantly impact stock returns in a favorable way, while SIZE has a negligible but negative influence. All of the independent factors impact stock returns significantly at the same time. These results point to the fact that in the Indonesian stock market, profitability and capital structure are the main factors that determine stock returns.

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