JEFMS Journal

Google Scholar

Article Pdf

---

ABSTRACT:

Stock prices change daily, driven by a variety of global and internal factors. This purpose of this study is to gather empirical evidence on how global factors (Fed Fund Rate, oil prices) and internal factors (dividend policy, profitability, firm size) drive stock prices of LQ45 companies listed on the Indonesian stock market. To meet the research objectives, secondary data from 2018 to 2023 was utilized for 17 LQ45 companies chosen through purposive sampling methods. Panel data regression methods have been employed to analyze how both global and internal factors affect company stock prices. The research findings indicate that among global factors, only oil prices negatively impact stock prices, whereas the Fed Fund Rate has no influence. For internal factors, only profitability and firm size positively drive stock prices, whereas dividend policy has no effect. The outputs of this study are valuable for investors as they provide insights into both global and internal factors of a company, helping them make informed decisions when selecting the right stock investments in the capital market.

KEYWORDS:

stock price, global factors, internal factors, LQ45, capital market

REFERENCES:

1) Adam, Pasrun, Usman Rianse, Edi Cahyono, and Manat Rahim. 2015. “Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia.” International Journal of Energy Economics and Policy 5(2):550–57.

2) Adesina, K., U. Uwuigbe, O. R. Uwuigbe, O. Asiriuwa, and S. Oriabe. 2017. “Dividend Policy and Share Price Valuation in Nigerian Banks.” E u r o E c o n o m i c A 1(36):185–95.

3) Amalia, Qoniti, and Acep Purqon. 2019. “The Influence of Oil Price Fluctuations on Indonesian Stock Prices Through Wavelet Coherence.” Journal of Physics: Conference Series 1204(1). doi: 10.1088/1742-6596/1204/1/012062.

4) Ardillah, K., and I. Juana. 2021. “The Modelling of Stock Price Based on Dividend Policy, Intellectual Capital, Sales Growth, and Capital Structure.” Jurnal Ilmu Manajemen Dan Ekonomika 13(2):81–88.

5) Arifin, Nita Fitriani, and Silviana Agustami. 2017. “Pengaruh Likuiditas, Solvabilitas, Profitabilitas, Rasio Pasar, Dan Ukuran Perusahaan Terhadap Harga Saham (Studi Pada Perusahaan Subsektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Tahun 2010-2014).” Jurnal Riset Akuntansi Dan Keuangan 4(3):1189–1210. doi: 10.17509/jrak.v4i3.4673.

6) Arisanti, Ike. 2020. “Herding Behaviour Around Fed Fund Rate Announcements in Southeast Asia.” Jurnal Reviu Akuntansi Dan Keuangan 10(1):93–102. doi: 10.22219/jrak.v10i1.10652.

7) Balcılar, Mehmet, Rıza Demirer, and Talat Ulussever. 2017. “Does Speculation in the Oil Market Drive Investor Herding in Emerging Stock Markets?” Energy Economics 65:50–63. doi: 10.1016/j.eneco.2017.04.031.

8) Bansaleng, Resky D. V., Ivonne Saerang, and Parengkuan Tommy. 2014. “Debt Policy, Ownership Structure and Profitability on Dividend Policy in Food and Beverage Companies on the Indonesia Stock Exchange.” Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi 2(3):817–30.

9) BenMabrouk, Houda, and Houda Litimi. 2018. “Cross Herding between American Industries and the Oil Market.” North American Journal of Economics and Finance 45(September 2017):196–205. doi: 10.1016/j.najef.2018.02.009.

10) Bernanke, Ben S., and Kenneth N. Kuttner. 2005. “What Explains the Stock Market’s Reaction to Federal Reserve Policy?” Journal of Finance 60(3):1221–57. doi: 10.1111/j.1540-6261.2005.00760.x.

11) Budi, Hananiel Stephen Mangku, and Arthik Davianti. 2022. “Firms’ Profitability and Stock Returns: Does It Always Affect Positively?” International Journal of Social Science and Business 6(1):103–9. doi: 10.23887/ijssb.v6i1.41927.

12) Chandra, Cindy Novita, and Maria Stefani Osesoga. 2021. “Analysis on Factors That Affect Stock Price: A Study on Property, Real Estate, and Building Construction Companies At Indonesia Stock Exchange.” Ultimaccounting : Jurnal Ilmu Akuntansi 13(1):32–45. doi: 10.31937/akuntansi.v13i1.1933.

13) Chikita, Aninda Priska Chikita Ayu, and Metasari Kartika. 2023. “The Influence of Firm Size, Share Sales, and Inflation on Stock Prices in Companies Registered on The Jakarta Islamic Index.” Jurnal Ekonomi Dan Perbankan Syariah 11(2):146–55. 14) Christina, Olivia, and Robiyanto. 2018. “The Effect of Financial Performance and Firm Size on Stock Prices of Manufacturing Company in 2013-2016.” Prosiding Seminar Nasional Multi Disiplin Ilmu Dan Call For Papers (2007):559–65.

15) Cueppers, Laura, and Dieter Smeets. 2015. “How Do Oil Price Changes Affect German Stock Returns?” International Journal of Energy Economics and Policy 5(1):321–34.

16) Ehrmann, Michael, and Marcel Fratzscher. 2009. “Global Financial Transmission of Monetary Policy Shocks.” Oxford Bulletin of Economics and Statistics 71(6):739–59.

17) Ekanayake, E. M., Robin Rance, and Mihalis Halkides. 2008. “Effects of Federal Funds Target Rate Changes on Stock Prices.” International Journal of Business & Finance Research (IJBFR) 2(1):13–29.

18) Endri, Endri, Muhamad Rinaldi, Dini Ari Ian, Bungaran Saing, and Aminudin Aminudin. 2021. “Oil Price and Stock Return: Evidence of Mining Companies in Indonesia.” International Journal of Energy Economics and Policy 11(2):110–14. doi: 10.32479/ijeep.10608.

19) Fathinah, Hanifah, and Chandra Setiawan. 2021. “The Effect of Financial Ratios and Firm Size Toward Stock Price of Consumer Goods Industry Listed in the IDX.” International Conference on Economics, Management, and Accounting 203–11. doi: 10.11594/nstp.2021.1025.

20) Filis, George. 2010. “Macro Economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist among Their Cyclical Fluctuations?” Energy Economics 32(4):877–86. doi: 10.1016/j.eneco.2010.03.010.

21) Filis, George, Stavros Degiannakis, and Christos Floros. 2011. “Dynamic Correlation between Stock Market and Oil Prices: The Case of Oil-Importing and Oil-Exporting Countries.” International Review of Financial Analysis 20(3):152–64. doi: 10.1016/j.irfa.2011.02.014.

22) Garg, Kunaey, and Margaret Chapman. 2008. “The Effect of Changes in the Federal Funds Rate on Stock Markets: A Sector-Wise Analysis.” Undergraduate Economic Review 4(1):1–36.

23) Gong, Pu, and Jun Dai. 2017. “Monetary Policy, Exchange Rate Fluctuation, and Herding Behavior in the Stock Market.” Journal of Business Research 76:34–43. doi: 10.1016/j.jbusres.2017.02.018.

24) Gordon, M. J. 1963. “Optimal Investment and Financing Policy.” The Journal of Finance 18(2):264. doi: 10.2307/2977907.

25) Gracia, Ivena, and Rosinta Ria Panggabean. 2019. “Factors Affecting Capital Structure And Stock Prices Of Agricultural And Mining Companies.” Riset 1(2):099–111. doi: 10.35212/riset.v1i2.10.

26) Gusni. 2016. “Dividend Policy , Corporate Governance Mechanism , Profitability , Systematic Risk , and Firm Size : A Panel.” Gadjah Mada International Conference on Economics and Business (January):1–14.

27) Gusni, Gusni, Nugraha Nugraha, Disman Disman, and Tomas Chochole. 2023. “Analysis of Aggregate Herding Behavior in the Capital Market: Evidence from Indonesia and Singapore.” Media Ekonomi Dan Manajemen 38(2):362. doi: 10.56444/mem.v38i2.3934.

28) Hidayat, David Mu’amar, and Tri Kartika Pertiwi. 2021. “The Effect of Profitability on Stock Price With Company Size As a Modering Variable.” Jurnal Ekonomi Balance 17(1):128–37. doi: 10.26618/jeb.v17i2.6281.

29) Ifada, Luluk Muhimatul, Sri Sulistyowati, and Maya Indriastuti. 2021. “Capital Structure and Dividend Policy Role in Building Stock Price.” Jurnal ASET (Akuntansi Riset) 13(2):249–58. doi: 10.17509/jaset.v13i2.35564.

30) Ignatius, Bayiuaji, and Henny Setyo Lestari. 2022. “In Consumer Non-Cyclicals Companies in Indonesia.” 10(3):1796–1803.

31) Jones, Charles M., and Gautam Kaul. 1996. “Oil and the Stock Markets.” Journal of Finance 51(2):463–91. doi: 10.1111/j.1540-6261.1996.tb02691.x.

32) Komariah, Siti, Gusni Gusni, and Suskim Riantani. 2024. “Determinants of the Equity Price of Main Board Index Companies.” Jurnal Ilmu Keuangan Dan Perbankan (JIKA) 13(2):355–66. doi: 10.34010/jika.v13i2.12881.

33) Kontonikas, Alexandros, Ronald MacDonald, and Aman Saggu. 2013. “Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis.” Journal of Banking and Finance 37(11):4025–37. doi: 10.1016/j.jbankfin.2013.06.010.

34) Kristin, Maria Alicia, and Nugraheni. 2023. “The Influence of Profitability, Leverage, and Liquidity on Stock Prices in the Food and Beverage Sector Listed on the Indonesia Stock Exchange.” Riwayat: Educational Journal of History and Humanities 6(4):2281–96.

35) Kusumawardhani, Restu Ayuning, and Edi Suswardji Nugroho. 2021. “Pengaruh Profitabilitas Dan Nilai Perusahaan Terhadap Harga Saham Pada Perusahaan Perdagangan Sub Sektor Ritel Yang Terdaftar Di Bursa Efek Indonesia Periode Tahun 2015-2019.” Jurnal Ilmiah Agribisnis, Ekonomi Dan Sosial 31–36.

36) Lee, Yen Hsien, Ya Ling Huang, and Chun Yu Wu. 2014. “Dynamic Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns: The Implications for Optimal Portfolio Construction.” International Journal of Energy Economics and Policy 4(3):327–36.

37) Lestari, Ni Putu Nina Eka, Ni Putu Desy Widiari, I. Gede Eka Sujaya Harta, Ni Putu Ayu Ira Rianti, and I. Made Chandra Mandira. 2022. “The Effect of Profitability , Assets Stucture , Firm Size , and Corporate Governance on Stock Prices With Stock Returns as Moderation Variables.” International Journal of Economics, Business and Accounting Research (IJEBAR) 6(4):2057–71.

38) Loya, Ermelinda Suryanti, and Christina Heti Tri Rahmawati. 2022. “The Influence Of Liquidity And Profitability On Stock Prices Of Food And Beverage Companies Listed In Indonesia Stock Exchange.” Jurnal Ilmiah Manajemen Dan Bisnis 8(2):203. doi: 10.22441/jimb.v8i2.14822.

39) Lv, Xin, Xinyang Dong, and Weijia Dong. 2021. “Oil Prices and Stock Prices of Clean Energy: New Evidence from Chinese Subsectoral Data.” Emerging Markets Finance and Trade 57(4):1088–1102. doi: 10.1080/1540496X.2019.1689810.

40) Mahirun, Mahirun, Arih Jannati, Andi Kushermanto, and Titi Rahayu Prasetiani. 2023. “Impact of Dividend Policy on Stock Prices.” Acta Logistica 10(2):199–208. doi: 10.22306/al.v10i2.375.

41) Al Masum, Abdullah. 2014. “Dividend Policy and Its Impact on Stock Price – A Study on Commercial Banks Listed in Dhaka Stock Exchange.” Global Disclosure of Economics and Business 3(1):7–16. doi: 10.18034/gdeb.v3i1.166.

42) Miller, Merton H., and Franco Modigliani. 1961. “Dividend Policy, Growth, and The Valuation of Shares.” The Journal of Business 34(4):411–33.

43) Moebert, Jochen. 2007. “Crude Oil Price Determinants.” Darmstadt Discussion Papers in Economics 186(186):1–35.

44) Muflih, Al-Qudah Laith Akram. 2012. “The Factors That Affect Shares ’ Return in Amman Stock Market.” (October 2012):1219–32.

45) Mustofa, Catur Ragil Sutrisno, and Dina Amalia Mahmudah. 2024. “Firm Size, Profitability, Debt Policy and Stock Price.” 548–60.

46) Nachrowi, Djalal, and Hardius Usman. 2006. Ekonometrika Untuk Analisis Ekonomi Dan Keuangan : Pendekatan Populer Dan Praktis. Jakarta: Lembaga penerbit Fakultas Ekonomi Universitas Indonesia.

47) Nandha, Mohan, and Robert Faff. 2008. “Does Oil Move Equity Prices? A Global View.” Energy Economics 30(3):986–97. doi: 10.1016/j.eneco.2007.09.003.

48) Nida, Rahma Sofia, Widi Savitri Andriasari, Iain Kudus, and Iain Kudus. 2024. “Spillover Effect Indeks GEPU , Harga Minyak Dunia , Fed Fund Rate Terhadap Harga Saham Syariah Indonesia.” 2(3):299–313.

49) Noval, Noval. 2022. “Mediasi Nilai Tukar (IDR/USD) Dalam Pengaruh Harga Minyak Mentah Dan Emas Dunia Terhadap Pasar Saham Syariah Di Indonesia.” 4(1):42–56.

50) Nurfauzi, A., P. D. Jayanti, Z. S. Aminah, M. J. Indrawan, and Gusni. 2020. “The Determinants of Stock Prices: A Study of Financial Listed Firms in Indonesia Capital Market.” PalArch’s Journal of Archaeology of Egypt / Egyptology 17(4):3489–99.

51) Nurwulandari, Andini. 2022. “The Effect of Dividend Policy on Stock Prices in LQ 45 Companies in Indonesia.” Jurnal Ekonomi, 11(2):1624–28.

52) Oktafiani, Fida, Sukma Irdiana, Irwan Moridu, Fandy Latuni, and Revi Sesario. 2022. “Effect of Dividend Policy on Stock Price in LQ45 Companies.” IBudapest International Research and Critics Institute- Journal 5(2):10031–39. doi: 10.33258/birci.v5i2.4801.

53) Potto, Otniel Syebastian Agusto, and Robiyanto Robiyanto. 2021. “The Dynamic Correlation Between Oil Prices and the Indonesian Oil Companies’ Stock Price.” Image : Jurnal Riset Manajemen 10(1):28–43. doi: 10.17509/image.v10i1.31283.

54) Priana, I. Wayan Korin, and Ketut Muliartha. 2018. “Pengaruh Volume Perdagangan Saham, Leverage, Dan Dividend Payout Ratio Pada Volatilitas Harga Saham.” E-Jurnal Akuntansi Universitas Udayana 20(1):1–29.

55) Purnamawati, I. Gusti Ayu. 2016. “The Effect of Capital Structure And Profitability on Stock Price (Study of The Manufacturing Sector In Indonesia Stock Exchange).” International Hournal of Business, Economics and Law 9(1):10–16.

56) Purwanto, P., and Jillian Agustin. 2017. “Financial Performance towards Value of Firms in Basic and Chemicals Industry.” European Research Studies Journal 20(2):443–60. doi: 10.35808/ersj/652.

57) Putra, Aidil, and Rosyeni Rasyid. 2020. “The Impact of Dividend Policy on Stock Prices With Profitability as Variable Mediation in Manufacturing Companies Listed in Indonesia Stock Exchange.” 152:526–42. doi: 10.2991/aebmr.k.201126.059.

58) Rahman, Eki R., and Ermawati. 2020. “Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the US.” Buletin Ekonomi Moneter Dan Perbankan 23(3):297–318. doi: 10.21098/BEMP.V23I3.1362.

59) Rahman, R. Eki, and Ermawati. 2019. “Analisis Herding Behavior Di Pasar Saham : Studi Kasus ASEAN-5 + US.” Bank Indonesia 1–21.

60) Rahmanto, Fariz, Muhammad Hira Riga, and Vika Indriana. 2016. “The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation.” Indonesian Capital Market Review 8(1). doi: 10.21002/icmr.v8i1.5442.

61) Rigobon, Roberto, and Brian Sack. 2003. “Measuring the Reaction of Monetary Policy to the Stock Market.” The Quarterly Journal of Economics 118(2):639–69.

62) Roslita, Evy, and Arsyad Daud. 2019. “Pengaruh Kepemilikan Saham, Profitabilitas, Leverage, Dan Pajak Tangguhan Terhadap Manajemen Laba Dengan Kualitas Audit Sebagai Variabel Pemoderasi.” Jurnal Manajemen Biisnis 22(2):213–34.

63) Sachdeva, Muskan, Ritu Lehal, Sanjay Gupta, and Aashish Garg. 2023. “What Make Investors Herd While Investing in the Indian Stock Market? A Hybrid Approach.” Review of Behavioral Finance 15(1):19–37. doi: 10.1108/RBF-04-2021-0070.

64) Salehi, Mahdi, and Kumars Biglar. 2009. “Study of the Relationship between Capital Structure Measures and Performance: Evidence from Iran.” International Journal of Business and Management 4(1):97–103. doi: 10.5539/ijbm.v4n1p97.

65) Sauwamah, Aswin, Vivin Gotama Tie, and Imang Dapit Pamungkas. 2025. “The Impact of Profitability on Stock Prices : The Moderating Role of Firm Size in Publicly Listed Companies.” 3(Idx):92–99.

66) Septian, Riantino, and Henny Setyo Lestari. 2016. “Factors Affecting Dividend Policy on Non-Financial Companies Listed on the IDX.” Seminar Nasional Cendekiawan (30):1–13.

67) Sharif, Taimur, Harsh Purohit, and Rekha Pillai. 2015. “Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange.” International Journal of Economics and Finance 7(3):207–16. doi: 10.5539/ijef.v7n3p207.

68) Singh, Narinder Pal, and Aakarsh Tandon. 2019. “The Effect of Dividend Policy on Stock Price: Evidence from the Indian Market.” Asia-Pacific Journal of Management Research and Innovation 15(1–2):7–15. doi: 10.1177/2319510x19825729.

69) Sitorus, Friska Darnawaty, Medianta Nugraha Perangin-Angin, Sentosa, and Vivian Lim. 2021. “The Effect of Firm Size, Profitability, Capital Structure and Liquidity on Stock Market Prices of Manufacturing Companies on the Indonesia Stock Exchange 1.” Mantik Journal 5(1):343–53.

70) Sukesti, Fatmasari, Imam Ghozali, Fuad Fuad, Abdul Kharis Almasyhari, and Nurcahyono Nurcahyono. 2021. “Factors Affecting the Stock Price: The Role of Firm Performance.” Journal of Asian Finance, Economics and Business 8(2):165–73. doi: 10.13106/jafeb.2021.vol8.no2.0165.

71) Suoth, Christina Mikhaila, and Feibe Cindy T. Rumengan. 2023. “The Relationship between Oil Prices and Energy Sector Stocks in the Global Recession Issue.” The Contrarian : Finance, Accounting, and Business Research 2(2):36–40. doi: 10.58784/cfabr.25.

72) Supiyadi, Dedi, and Intan Novitas. 2023. “The Effect of Firm Size, Credit Risk, Interest Rates, and Liquidity on Bank Profitability: Study on State-Owned Banks in Indonesia.” Jurnal Ilmu Keuangan Dan Perbankan (JIKA) 13(1):33–44.

73) Suryani, Arna. 2021. “Analisis Leverage, Firm Size, Deviden Payout Terhadap Stock Price Volatility Pada Perusahaan LQ45 Di BEI Tahun 2015-2019.” Eksis: Jurnal Ilmiah Ekonomi Dan Bisnis 12(1):113. doi: 10.33087/eksis.v12i1.244.

74) Tanjung, Gusni. 2016. “Factors That Affect Stock Pricing In Indonesia Stock Exchange.” Widyatama International Seminar on Sustainability (January).

75) Tyas, Hayuning, and Siti Almurni. 2020. “The Influence of Firm Size, Profitability, and Leverage on Stock Prices of Property and Real Estate Companies Listed in Indonesia Stock Exchange in 2015-2018.” Sekolah Tinggi Ilmu Ekonomi Indonesia 1–16.

76) Utama, Budi Ahmad Nur, and Ade Irma Suryani. 2023. “Stock Price with Profitability Effect (Case Study: Food and Beverage Sub-Sector Company on Indonesia Stock Exchange).” Journal of Economics, Finance and Management Studies 06(11):5352–56. doi: 10.47191/jefms/v6-i11-10.

77) Vijayakumar, A. 2010. “Effect of Financial Performance on Share Prices in the Indian Corporate Sector: An Empirical Study.” Management and Labour Studies 35(3):369–81. doi: 10.1177/0258042X1003500304.

78) Yuliza, Arma. 2018. “The Effects of Earnings Per Share and Firm Size to Stock Price LQ45 Company Listed in Indonesian Securities.” International Journal of Engineering & Technology 7(4.9):247–49. doi: 10.14419/ijet.v7i4.9.21089.