ANALISIS PENGARUH MARKET BASED RATIO TERHADAP RETURN SAHAM PERUSAHAAN YANG TERMASUK DALAM INDEKS LQ45 DI BURSA EFEK INDONESIA (BEI)

Abstract

LQ-45 index is a stock index which the stocks are actively traded in Indonesian Stock Exchange (IDX) so that it can be made as an indicator of stock market activity. Based on that reason, LQ-45 index is chosen as research object to test whether stock return of LQ45 index member influenced by market based ratio or not. The market based ratio consists of Price Earning Ratio (PER), Earning Per Share (EPS), and Price to Book Value (PBV). Those market based ratios are choosen because those ratios according to Tandelilin (2001) and Sawir (2000) are the main components that base investor mind set in choosing the stock. Sampling technique employed in this research is purposive judgement sampling based on researchers judgment that the object is the best and most suitable object to be made as research object that will fit in the researchs purpose. Multiple linier regressions is used as analysis technique to know how independent variable (PER, EPS, and PBV) may influence dependent variable (stock return). The result of this research shows that PER, EPS, and PBV have weak correlation and less dominantly explain the change in stock return of LQ45 index member. While simultaneously those three independent variables have significant influence toward stock return of LQ45 index member. Partially, only PER that gives positive significant influence, while EPS and PBV give insignificant influence towards stock return of LQ45 index member.

Keywords: Price Earning Ratio (PER), Earning Per Share (EPS), Price to Book Value (PBV), and Stock Return.