Account and Financial Management Journal e-ISSN: 2456-3374

Volume 3 Issue 10 October- 2018, (Page No.-1739-1745)

DOI:10.31142/afmj/v3i10.01, I.F. - 4.614
© 2018, AFMJ

Determination of Sharia Stock Price through Analysis of Fundamental

Factors and Macro Economic Factors
Taufiq Akbar1, Adam Afiezan2
1,2
Faculty of Economics and Business, Perbanas Institute, Jakarta, Indonesia
Corresponding Author: Taufiq Akbar
Faculty of Economics and Business, Perbanas Institute, Jakarta, Indonesia

Abstract: This study aims to analyze and obtain empirical evidence regarding the influence of corporate fundamental and
macroeconomic factors on Islamic stock prices listed in the Jakarta Islamic Index (JII). The company's fundamental information is
taken from the company's financial statements on the Indonesia Stock Exchange from 2012 to 2016 and Macro Economic Data
taken from the official website of the Indonesian Central Statistics Agency. The method of selecting samples used was purposive
sampling. The study results were fundamental factors such as Earning per Share (EPS), Return on Assets (ROA), Debt to Equity
Ratio (DER) and Exchange Rate significantly influences stock prices. On the other hand, the interest rate has no significant effect
on stock prices. The model studied shows that the influence of independent variables on the dependent variable is high, namely
73.4%. It meansother factors that can affect stock prices outside the variables studied are worth 26.6%.
Key Words: Stock Price, Fundamental Factor, Macro Economic Factor.

INTRODUCTION Figure 1. Sharia Stock Development

The era of globalization forms different behaviors for
humans in carrying out activities. One form of innovation in
the era of globalization is the way humans carry out
investment. Previously, investments tend to be made in the
real sector such as investment in land and precious metals.
However, now there are other alternatives in investing,
namely share investment in the Capital Market. Investment
in capital market is means to invest their money in
securities(Luhukay, Mangantar, Baramuli, 2016).
As a country that has a majority population of Muslims,
Indonesia should provide investment instruments based on
the needs of its population. In terms of investment activities,
Muslim communities should not make investments that are
contrary to sharia principles. Therefore, Indonesia through
Bapepam-LK has issued a sharia capital market regulation Source: www.ojk.go,id
package in 2006 and a list of sharia securities in 2007
(www.ojk.go.id). With those lists, the community will be As with conventional stock price movements, Islamic stock
easier to know which stocks have fulfilled the sharia prices are also not much different(Setiawan and Oktariza,
element. 2013). Share prices can be influenced by various factors
The launch of the Jakarta Islamic Index (JII) in 2000 and the both from the internal side of the company such as
sharia online trading system in 2011 impacted the increase fundamental factors and external factors such as the
in Islamic stock trading in Indonesia. The number of shares company's macroeconomic factors. Several studies have
that entered the category of sharia continued to increase, but been conducted in this regard, in terms of fundamental
from 2012 to 2016 the shares included in the sharia category factors, the results are found that Earning Per Share (EPS),
showed a horizontal trend which was in the range of 304 to Return on Assets (ROA) and Debt to Equity Ratio (DER)
306 shares as shown in the following figure: affect stock prices (Manoppo, 2015). However, some other
studies have different results where EPS, ROA and DER
have no effect on stock prices (Anita and Yadav, 2014),
(Saragih, 2018).

1739 Taufiq Akbar1, AFMJ Volume 3 Issue 10 October 2018

 “Determination of Sharia Stock Price through Analysis of Fundamental Factors and Macro Economic Factors”
As researches in fundamental factor above, there is will respond positively by following the increase in stock
contradiction result in macro economics. The result of the prices.
researches said that stock price changes are influenced by
The Effect ROA on Sharia Stocks
macro economic factors such as the exchange rate, interest
ROA is a ratio that measures the ability of a company's
rate and Gross Domestic Product (GDP)(Mulyani, 2014).
assets to generate profits. The higher the ROA value is, the
However, there are also research results which state that
higher the company's ability is to generate profits.
these three variables do not significantly influence stock
Improving company performance as indicated by ROA can
prices (Chirchir, 2014), (Suriani, Kumar, Jamil, Muneer,
be used as a positive signal for the company's performance
2015), (Giri and Joshi, 2017).
in the future. Therefore, an increase in ROA will affect the
Because stockis investment instruments that provide high
increase in stock prices (Nurhakim, Anistia S. Yunita, Irni.
returns, but stockis also risky, it requires knowledge about
Iradianty, 2016), (Purnamawati, 2016). With assuming that
the factors that can influence stock price movements. In
the company's performance shows good company
addition, it is interesting to study that there are
performance, so the company's stock price will increase.
inconsistencies in the results of previous studies regarding
the influence of fundamental variables and macroeconomic The Effect of DER on Sharia Stocks
factors on stock prices as explained in the background DER is a ratio that measures the level of leverage against
above. equity owned by a company. A high DER signifies a high
Due to the importance of knowledge about factors that can proportion of the company's asset funding through debt. The
affect the stock price that should be known by Indonesian high level of debt can cause the increse of company's
Muslim investors and there were also the inconsistency interest expense and it results in a decrease in the level of
results of the previous research, it makes researchers profit. Therefore, the high value of DER can be a negative
interested in conducting research on the effect of signal for the company's performance and a decrease in
fundamental variables and macroeconomic variables on investor interest in the stock which will cause decreasing of
Islamic stock prices listed on the Jakarta Islamic Index. the stock price (Dadrasmoghadam and Akbari, 2015), (Ghi
and Ba, 2015).
MATERIAL AND METHOD The Effect of Exchange Rate on Sharia Stocks
The Islamic capital market in Indonesia has been developing Fluctuations in the rupiah exchange rate will cause some
since 1997 which was marked by the launch of Islamic impacts on the economy. The impactsare usually in terms of
mutual funds. Since then, Indonesia's sharia capital market rising commodity prices in the real sector, reduced number
has continued to grow and develop, which is marked by the of domestic savings, and many other impacts. This will
increasing number of Islamic products, the issuance of cause people's purchasing power to decline and it is likely
regulations related to the sharia capital market and the that investors will withdraw their funds to meet their needs.
increasing number of people who know and care about the The decline in investment in the capital market will cause
Islamic capital market. The development of the Islamic stock prices to decline (Mgammal, 2012), (Anggarwal,
capital market should be appreciated. However, the market Priyanka. Saqib, 2017). This is caused by a decrease in
share of Islamic products in the capital market is still demand or interest in investing.
relatively small;therefore, a strategy is needed to increase
the market share of Islamic products. One of them is an The Effect Interest Rate on Sharia Stocks
increase in investment knowledge in Islamic stocks. A high interest rate can be a cause of investors transferring
Changes in the stock price can be influenced by several their investment instruments from stocks to deposits or other
factors, including internal factors such as the company's instruments. This is because deposits have a smaller risk
fundamental factors and external factors such as a than stocks. The decline in interest in investment in shares
company's macroeconomic factors. Fundamental factors can can affect stock prices. Where, when the demand for shares
show the company's financial performance and can decreases will cause the stock price will also decline
also show the company stock performance, while, (Mulyani, 2014), (Shuangqun, 2017).
macroeconomic factors can affect the company's The Effects GDP on Sharia Stocks
performance. In this study the performance of Islamic stocks GDP is a picture of a country's economic growth. The high
in Indonesia will be analyzed using these two factors. value of GDP signifies a better economic growth of a
The Effect of EPS on Sharia Stocks country. In this case, if the increase in GDP is a sign that the
Increased EPS indicates that the company has succeeded in purchasing power of the people is also increasing. When the
increasing the level of investor prosperity. This encourages purchasing power of the people increases, the tendency of
investors to increase the amount of capital invested in the people to save and invest is higher. Therefore, increasing
company's shares. An increase in the number of requests for GDP can be accompanied by an increase in stock prices due
stocks has pushed up share prices (Idawati and Wahyudi, to the increasing demand for share prices (Ayopo, Isola and
2015), (Kumar, 2017). Thus if EPS increases, the market Olukayode, 2016).

1740 Taufiq Akbar1, AFMJ Volume 3 Issue 10 October 2018

 “Determination of Sharia Stock Price through Analysis of Fundamental Factors and Macro Economic Factors”
Research Design The data taken from this research are stock price data,
This type of research is pure research which aims to verify financial statements, Interest Rate, Exchange Rate and Gross
the acceptance of existing theories and find out more about a Domestic Product at the end of each period starting from
concept (Abdillah, W. Hartono, 2015). The approach used is 2012 to 2016.
a quantitative approach by examining certain populations
Data Observed
and samples with quantitative / statistical analysis aimed at
Research observations are aimed at a set of independent
testing predetermined hypotheses (Jogianto, 2010).
variables, namely fundamental and the macroeconomic
Types of Data, Place and Time of Research factors to the dependent variable, namely the changes in the
The data used in this research is secondary data. Secondary price of Islamic stocks included in the Jakarta Islamic Index.
data is data obtained from existing sources. Secondary data The following is explained the definition of the observed
can be in the form of reports, publications, books, and so on. variable:

Table 1. Observed Variables

Variables Variable Concept Indicator Source
Stock price Prices are formed due to stock offers Closing price at the end of the year. (Suparningsih,
and requests from sellers and buyers. 2017)
Earning per Share Ratio to analyze the ability of (Bratamanggala,
(EPS) companies to generate profits based 2018)
on shares owned.
Return on Assets Ratios that show the ability of the (Bratamanggala,
(ROA) capital invested in total assets in 2018)
generating profits.
Debt to Equity Ratios that show the percentage of (Purnamawati,
Ratio (DER) funds provided by shareholders to 2016)
lenders.
Exchange Rate Rupiah exchange rate against dollar. Rupiah Exchange Rate against Dollar (Mulyani, 2014)
at the end of the year
Tingkat Suku The Policy of interest rates that Bank Indonesia Interest Rate at the (Mulyani, 2014)
Bunga reflect the monetary policy stance set end of the research observation period
by Bank Indonesia and announced to
the Public.
Gross Dosemtic The total value of production of the value of Gross Domestic Product (Mulyani, 2014)
Product (GDP) goods and services within a country at the end of the observation period.
for one year.
Source: Taken from previous researchers

Data Collection Technique c) End of year data from the Interest Rate, Exhange
Population is the object of research that has certain qualities Rate and Gross Domestic Gross for the 2012 to
and characteristics set by researchers to be studied and then 2016 period obtained from the Indonesian Statistics
drawn conclusions (Sugiyono, 2012). The population in this Agency (www.bps.go.id)
study were all syaria stocks that entered the Jakarta Islamic
Data analysis
Index on the Indonesia Stock Exchange. Semple was chosen
The data analysis was carried out by first testing the
by using purposive sampling technique that is the selection
classical assumptions which is by testing normality,
of samples based on certain criteria (Jogianto, 2010). The
multicollinearity, heterocedasticity and autocorrelation.
criteria used in purposive sampling are as follows:
After the data analyzed meets the requirements of the
a) Sharia Share Price Data included in the Jakarta
classical assumption test then hypothesis testing is done by
Islamic Index on shares listed on the Indonesia
doing t test, f test and determination coefficient.
Stock Exchange for the period 2012 to 2016. Data
obtained from the official website of the Indonesia
RESULTS
Stock Exchange (www.idx.co.id).
The results of this research are the results of the second data
b) Financial report data included in the Jakarta Islamic
processing. The first data obtained the multicollinearity of
Index on shares listed on the Indonesia Stock
the exchange rate and GDP variables. This means, there is a
Exchange in the 2012 to 2016 period obtained from
high correlation between the two variables. Therefore, in
the official website of the Indonesia Stock
this study research only uses one of them. The variable
Exchange (www.idx.co.id).
1741 Taufiq Akbar1, AFMJ Volume 3 Issue 10 October 2018
 “Determination of Sharia Stock Price through Analysis of Fundamental Factors and Macro Economic Factors”
chosen to apply in this study is the exchange rate variable. Tabel 2. Multicollinearity Test Results
With these changes produce a better model. This is
evidenced by the increasingly large coefficient of Collinearity Statistics
determination (R2) which was previously worth 64% Model Tolerance VIF
changed to 71%. This is reinforced by the results of previous 1 (Constant)
research which states that there is a significant effect of the EPS .863 1.159
exchange rate variable on the GDP variable (Kganyago and ROA .722 1.386
Gumbo, 2015). DER .788 1.269
Exchange_Rate .921 1.089
Classic assumption testing Interest_Rate .960 1.042
Normality testing
Source: Processed by SPSS (2018)
Normality test is done to see whether the independent and
dependent variables have normal distribution or not. Testing
From the table above shows that all independent variables
the normality of data in this study uses the normal P-Plot
have a tolerance value above 0.1 and the VIF value is below
graph method of Standardized residual cumulative
the number 10. This indicates that the independent variables
probability, by identifying if the distribution is around the
used in this study do not show the presence of
normal line, it can be concluded that the independent and
multicollinearity so that the regression model is feasible for
dependent variables are normally distributed. Results from
testing hypotheses.
the normal P-plot graph can be seen in the following figure:
Heteroscedasticity Testing
Figure 2. Test Results for Normality Assumptions with
Heteroscedasticity testing aims to test whether in the
P-plots.
regression model there is a variance inequality from residual
one observation to another observation. Scatterplot can be
used to test this, where the X axis is the ZPRED predictive
values = Regression Standardized Predicted Value with the
Y axis is the ZRESID = Regression Standardized Predicted
Value value. If the graph obtained shows that there are
certain patterns produced by the existing points, it is said to
occur heteroscedasticity, but if it does not form a particular
pattern, it is said that heteroscedasticity does not occur.
Heteroscedasticity test results can be seen in the picture
below:
Figure 3. Heteroscedasticity Test Results

Source: Processed by SPSS (2018)

On the P-Plot chart above, it can be seen that the points

spread on the diagonal line. The graph shows that the
regression model is feasible to use because it meets the
assumption of normality or in other words that the
regression model can be continued.
Multicollinearity Testing
Multicollinearity testing aims to test whether the regression
model found correlation between independent variables. A Source: Processed by SPSS (2018)
good regression model should not correlate between
independent variables. Multicollinearity can be seen from From the results of the heteroscedasticity test above, it can
the tolerance value and Variance Inflation Factor (VIF). If be seen that the scatterplot points above do not form a
the VIF value is greater than 10 and the tolerance value is particular pattern. This shows that the regression model is
less than 0.1, multicollinearity will occur and the regression not exposed to heteroscedasticity.
model is suitable for use. The tolerance calculation results
and VIF can be known in the table below:
1742 Taufiq Akbar1, AFMJ Volume 3 Issue 10 October 2018
 “Determination of Sharia Stock Price through Analysis of Fundamental Factors and Macro Economic Factors”
Autocorrelation Testing Simultaneous Testing (f Test)
Autocorrelation testing aims to test whether in a linear Simultaneous effect test is used to show that the independent
regression model there is a correlation between sample variables simultaneous affect the dependent variable. The
members sorted by time. A good regression model is free result of the f test in the study is seen in the table below:
from autocorrelation. To test the presence or absence of
Table 5. Simultaneous Test Results Table (Test f)
correlation can be done through testing of the value of
Durbin Watson. The results of the autocorrelation test can be f hitung f table Pengaruh Sig. Signifikansi
seen in the following table: 35,287 2,35 Berpengaruh ,000 Signifikan
Source: Processed by SPSS (2018).
Table 3.Autocorrelation Test Results
Std. Error From these results it can be concluded that the f count is
R Adjusted R of the Durbin- greater than f table. While for the level of significance the f
Model R Square Square Estimate Watson test has a significance level of 0.000 or less than 0.050.
1 ,857a ,734 ,713 4889,7284 ,658 Based on these results, the EPS, ROA, DER, Exchange Rate
and Interest Rate have a significant effect simultaneously on
Source: Processed by SPSS (2018)
stock prices.
From the results of the autocorrelation test aboveshows that
the value of Durbin-Watson is equal to 0.658. Means, the Coefficient Determination Testing
Durbin-Watson value is between -2 and 2. This result shows The coefficient of determination is used to measure how
that the regression model used by the researcher does not much the percentage of the variation of the independent
experience autocorrelation problems. variables in the multiple linear regression model on the
dependent variable. The coefficient of determination is
Hypothesis testing between zero and one. The results of the calculation of the
Individual Parameter Testing (t test) coefficient of determination (R2) in this study are presented
The results of the statistical t-test show how far the influence in the table below:
of one independent variable individually in explaining the
Table 6. Determination Coefficient Test Results
variation of the dependent variable. It is also used to
determine whether the is influence of each independent Std. Error
variable individually on the dependent variable at the 0.05 R Adjusted of the Durbin-
significance level. Model R Square R Square Estimate Watson
1 ,857a ,734 ,713 4889,7284 ,658
Table 4. Individual Parameter Test Results
Source: Processed by SPSS (2018).
Variabel t t table Pengaruh Signifikansi
count Sig.
From the results of the SPSS process in the table above
EPS 9,455 1,669 Berpengaruh ,000 Signifikan shows the value of Adjusted R Square is 0.713 or 73.4%.
ROA 3,667 1,669 Berpengaruh ,001 Signifikan This means, the independent variables of the model studied
DER 4,508 1,669 Berpengaruh ,000 Signifikan have a contribution of influence as much as 73.4%. While
Exchange 1,669 Berpengaruh Signifikan there are other variables that affect prices outside of the
2,741 ,008
Rate variables studied by 73.4%.
Interest 1,669 Tidak Tidak
0,069 ,952
Rate CONCLUSION
Source: Processed by SPSS (2018). Based on the results of the study, it is known that during the
period of observation the factors influencing stock prices are
From the table above it can be conclude that the variables EPS, ROA, DER, and Exchange Rate which affect
EPS, ROA, DER, and Exchange Rate have t count values individually on stock prices. This is in accordance with the
greater than t table values. Therefore we can conclude that hypothesis formulated earlier and the results of several
individually only EPS, ROA, DER, and Exchange Rate previous researchers. But in this case the interest rate is not
affect stock price movements. In addition, it can be seen that proven to affect stock prices. This proves that the interest
the influence of EPS, ROA, DER, and Exchange Rate on rate cannot influence the decision of stock investors to
stock prices has a high level of confidence, this is indicated invest or change the financial instruments of investors from
by the sig value of EPS, ROA, DER, and Exchange Rate stock investments to deposit or other instruments affected by
smaller than 0.05. While the interest rate does not have a interest rates, and otherwise.
significant effect on stock prices as indicated by the value of This study also proves that there is a high correlation
t count is smaller than t table while the confidence level is between the variable exchange rate and the GDP variable.
above 0.05. This may occur because transactions such as buying or
selling from a national scale company during the
1743 Taufiq Akbar1, AFMJ Volume 3 Issue 10 October 2018
 “Determination of Sharia Stock Price through Analysis of Fundamental Factors and Macro Economic Factors”
observation period are strongly influenced by the rupiah 7. Dadrasmoghadam, A. and Akbari, S. M. R. (2015)
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rate can affect the national business climate and economic Prices of Agriculture-Related Companies Accepted
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