THE INFLUENCE OF FINANCIAL RATIOS AND INVESTOR SENTIMENT ON STOCK RETURN OF IDX ENERGY SECTOR COMPANIES
Abstrak
The present study aims to investigate the effect of financial ratios and investor sentiment on the stock returns of energy sector firms listed on the Indonesia Stock Exchange (IDX). Background Problems: The stock returns of energy sector companies listed on the Indonesia Stock Exchange (IDX) exhibit noticeable inconsistencies. Accordingly, this study seeks to explore whether financial ratio indicators and investor sentiment exert a significant influence on those returns. Novelty: Beyond the analysis of financial ratio variables, this study integrates investor sentiment as an additional explanatory factor outside the scope of conventional financial metrics. Research Methods: Multiple Linear Regression Analysis is used to examine the relationship between the independent variables (Total Asset Turnover, Return on Equity, Debt to Equity Ratio, Current Ratio, Investor Sentiment) and the dependent variable (Stock Return). Finding/Results: Among the five variables examined, Return on Equity, Current Ratio, and Investor Sentiment have a positive effect on stock returns. Meanwhile, the other two variables, Total Assets Turnover and Debt to Equity Ratio have a negative effect on stock returns. Conclusion: The study concludes that stock returns in the IDX energy sector are significantly influenced by profitability, liquidity, and investor sentiment, implying that both financial fundamentals and market psychology play crucial roles in shaping investor returns.
Referensi
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Alfian, Y., & Indah, N. P. (2022). Pengaruh Return 0n Asset (ROA), Current Ratio (CR), Total Asset
Turnover (TATO), dan Debt to Equity Ratio (DER) terhadap Return Saham Perusahaan Sub Sektor
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Ass, S. B. (2020). ANALISIS RASIO PROFITABILITAS DAN SOLVABILITAS PADA PT. MAYORA INDAH Tbk.
BRAND Jurnal Ilmiah Manajemen Pemasaran, 2(2), 195–206.
https://ejournals.umma.ac.id/index.php/brand
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic
Perspectives, 21(2), 129–151. https://doi.org/10.1257/jep.21.2.129
Beer, F., & Zouaoui, M. (2012). Measuring Stock Market Investor Sentiment. Journal of Applied Business
Research (JABR), 29(1), 51. https://doi.org/10.19030/jabr.v29i1.7555
Cevik, E., Kirci Altinkeski, B., Cevik, E. I., & Dibooglu, S. (2022). Investor sentiments and stock markets
during the COVID-19 pandemic. Financial Innovation, 8(1). https://doi.org/10.1186/s40854-022-
00375-0
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise Trader Risk in Financial
Markets. Journal of Political Economy, 98(4), 703–738. https://doi.org/10.1086/261703
Efendi, L. P. P., Aridinanti, L., & Wildani, Z. (2022). Pemodelan Return Saham di Perusahaan Sektor
Properti dan Real Estate yang Terdaftar di Bursa Efek Indonesia Tahun 2019. Jurnal Sains Dan Seni
ITS, 11(1). https://doi.org/10.12962/j23373520.v11i1.69297
Fadhel, R., Adrianto, F., & Alfarisi, M. F. (2022). Analisis Sentimen Investor terhadap kinerja saham
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https://doi.org/10.33395/owner.v6i4.1183
Fang, H., Chung, C. P., Lu, Y. C., Lee, Y. H., & Wang, W. H. (2021). The impacts of investors’ sentiments
on stock returns using fintech approaches. International Review of Financial Analysis, 77(July),
101858. https://doi.org/10.1016/j.irfa.2021.101858
Gultom, D. K., Manurung, M., & Sipahutar, R. Pa. (2020). Jurnal Humaniora Pengaruh Current Ratio ,
Debt To Equity Ratio , Total Asset Turnover. Jurnal Humaniora, 4(1), 1–14.
Handayani, R., Suhendro, S., & Masitoh W, E. (2022). Pengaruh profitabilitas, debt to equity ratio, price
to eraning ratio dan kapitalisasi pasar terhadap return saham. Inovasi, 18(1), 127–138.
https://doi.org/10.30872/jinv.v18i1.10397
Indriawati, E., Hidayati, A. N., & Fuadilah Habib, M. A. (2022). Pengaruh Net Profit Margin (NPM),
Return On Asset (ROA), Earning Per Share (EPS), dan Debt to Equity Ratio (DER) terhadap return
saham sektor consumer goods industry pada Bursa Efek Indonesia periode 2017-2021. Fair Value:
Jurnal Ilmiah Akuntansi Dan Keuangan, 4(9), 3933–3941.
https://doi.org/10.32670/fairvalue.v4i9.1576
2
nd FEBIC: Faculty of Economics and Business International Conference
Universitas Pekalongan, Indonesia
E-ISSN: xxxx.xxxx
Page | 17
Intan, M., & Jannah, N. (2018). PENGARUH RASIO LIKUIDITAS, RASIO SOLVABILITAS, DAN RASIO
PROFITABILITAS TERHADAP EARNING PER SHARE Yuliastuti Rahayu Sekolah Tinggi Ilmu Ekonomi
Indonesia (STIESIA) Surabaya.
Irawan, J. L. (2021). Pengaruh Return On Equity, Debt to Equity Ratio, Basic Earning Power, Economic
Value Added dan Market Value Added Terhadap Return Saham. Jurnal Akuntansi, 13, 148–159.
https://doi.org/10.28932/jam.v13i1.2948
Januardin, J., Wulandari, S., Simatupang, I., Meliana, I. A., & Alfarisi, M. (2020). Pengaruh DER, NPM,
dan PER terhadap Return Saham pada Perusahaan Sektor Property and Real Estate di Bursa Efek
Indonesia. Owner (Riset Dan Jurnal Akuntansi), 4(2), 423.
https://doi.org/10.33395/owner.v4i2.251
Mahirun, M., & Kushermanto, A. (2018). Capital structure, investment opportunity set, growth sales,
firm size and firm value: R&D intensity as mediating. Quality - Access to Success, 19(164), 117–
122.
Malanuwa, A., Ibrahim, M., Yakup, Y., & Karundeng, D. R. (2023). Pengaruh Tunjangan Kinerja,
Pelatihan, Kedisiplinan Dan Dukungan Organisasi Terhadap Loyalitas Kerja Pegawai. Journal
Economy and Currency Study (JECS), 5(1), 105–117. https://doi.org/10.51178/jecs.v5i1.1369
Meliza, M., Novitasari, N., & Citradika, D. P. (2024). PENGARUH STUKTUR MODAL TERHADAP RETURN
SAHAM DENGAN SUKU BUNGA SEBAGAI VARIABEL MODERASI. Jurnal Ilmiah Manajemen,
Ekonomi, & Akuntansi (MEA), 8(2), 1724–1735. https://doi.org/10.31955/mea.v8i2.4238
Milzam, M., Sigit Taruna, M., & Shofiyuddin, M. (2024). Analisis Keputusan Investasi Gen Z Melalui
Literasi Keuangan Dan Risk Tolerance. Jurnal GeoEkonomi, 15(1), 14–25.
https://doi.org/10.36277/geoekonomi.v15i1.362
Nawangsari, S., Zakaria, A., & Sumiati, A. (2021). Pengaruh Pengungkapan Corporate Social
Responsibility (Csr), Earning Per Shares (Eps), Dan Debt To Equity Ratio (Der) Terhadap Return
Saham Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia. Business,
Entrepreneuship and Finance, 1(2), 85–97. https://doi.org/10.53067/ijebef
Nikmah, L. C., Hermuningsih, S., & Cahya, A. D. (2021). Pengaruh DER, NPM, ROA, Dan TATO Terhadap
Return Saham (Study Pada Perusahaan Sektor Industri Otomotif dan Komponen). Jurnal Ilmiah
Manajemen Kesatuan, 9(2), 21–30. https://doi.org/10.37641/jimkes.v9i2.450
Noviyanti, D., & Ruslim, H. (2021). Pengaruh Struktur Modal, Profitabilitas, Rasio Aktivitas Terhadap
Nilai Perusahaan. Jurnal Manajerial Dan Kewirausahaan, 3(1), 34.
https://doi.org/10.24912/jmk.v3i1.11285
P H, H., & Rishad, A. (2020). An empirical examination of investor sentiment and stock market volatility:
evidence from India. Financial Innovation, 6(1), 34. https://doi.org/10.1186/s40854-020-00198-
x
Kinerja Keuangan Perusahaan Pada Pt. Surya Toto Indonesia Tbk Periode 2010-2018. AKADEMIK:
Jurnal Mahasiswa Ekonomi & Bisnis, 1(2), 68–76. https://doi.org/10.37481/jmeb.v1i2.211
Alfian, Y., & Indah, N. P. (2022). Pengaruh Return 0n Asset (ROA), Current Ratio (CR), Total Asset
Turnover (TATO), dan Debt to Equity Ratio (DER) terhadap Return Saham Perusahaan Sub Sektor
Aneka Industri Otomotif & Komponen selama pada masa Pandemi Covid-19. El-Mal: Jurnal Kajian
Ekonomi & Bisnis Islam, 4(3), 839–851. https://doi.org/10.47467/elmal.v4i4.2156
Arikunto Suharsimi. (2010). Prosedur penelitian suatu pendekatan praktik. In Jakarta: Rineka Cipta (p.
172). http://r2kn.litbang.kemkes.go.id:8080/handle/123456789/62880
Ass, S. B. (2020). ANALISIS RASIO PROFITABILITAS DAN SOLVABILITAS PADA PT. MAYORA INDAH Tbk.
BRAND Jurnal Ilmiah Manajemen Pemasaran, 2(2), 195–206.
https://ejournals.umma.ac.id/index.php/brand
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic
Perspectives, 21(2), 129–151. https://doi.org/10.1257/jep.21.2.129
Beer, F., & Zouaoui, M. (2012). Measuring Stock Market Investor Sentiment. Journal of Applied Business
Research (JABR), 29(1), 51. https://doi.org/10.19030/jabr.v29i1.7555
Cevik, E., Kirci Altinkeski, B., Cevik, E. I., & Dibooglu, S. (2022). Investor sentiments and stock markets
during the COVID-19 pandemic. Financial Innovation, 8(1). https://doi.org/10.1186/s40854-022-
00375-0
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise Trader Risk in Financial
Markets. Journal of Political Economy, 98(4), 703–738. https://doi.org/10.1086/261703
Efendi, L. P. P., Aridinanti, L., & Wildani, Z. (2022). Pemodelan Return Saham di Perusahaan Sektor
Properti dan Real Estate yang Terdaftar di Bursa Efek Indonesia Tahun 2019. Jurnal Sains Dan Seni
ITS, 11(1). https://doi.org/10.12962/j23373520.v11i1.69297
Fadhel, R., Adrianto, F., & Alfarisi, M. F. (2022). Analisis Sentimen Investor terhadap kinerja saham
syariah di Indonesia selama masa pandemi Covid-19. Owner, 6(4), 3579–3591.
https://doi.org/10.33395/owner.v6i4.1183
Fang, H., Chung, C. P., Lu, Y. C., Lee, Y. H., & Wang, W. H. (2021). The impacts of investors’ sentiments
on stock returns using fintech approaches. International Review of Financial Analysis, 77(July),
101858. https://doi.org/10.1016/j.irfa.2021.101858
Gultom, D. K., Manurung, M., & Sipahutar, R. Pa. (2020). Jurnal Humaniora Pengaruh Current Ratio ,
Debt To Equity Ratio , Total Asset Turnover. Jurnal Humaniora, 4(1), 1–14.
Handayani, R., Suhendro, S., & Masitoh W, E. (2022). Pengaruh profitabilitas, debt to equity ratio, price
to eraning ratio dan kapitalisasi pasar terhadap return saham. Inovasi, 18(1), 127–138.
https://doi.org/10.30872/jinv.v18i1.10397
Indriawati, E., Hidayati, A. N., & Fuadilah Habib, M. A. (2022). Pengaruh Net Profit Margin (NPM),
Return On Asset (ROA), Earning Per Share (EPS), dan Debt to Equity Ratio (DER) terhadap return
saham sektor consumer goods industry pada Bursa Efek Indonesia periode 2017-2021. Fair Value:
Jurnal Ilmiah Akuntansi Dan Keuangan, 4(9), 3933–3941.
https://doi.org/10.32670/fairvalue.v4i9.1576
2
nd FEBIC: Faculty of Economics and Business International Conference
Universitas Pekalongan, Indonesia
E-ISSN: xxxx.xxxx
Page | 17
Intan, M., & Jannah, N. (2018). PENGARUH RASIO LIKUIDITAS, RASIO SOLVABILITAS, DAN RASIO
PROFITABILITAS TERHADAP EARNING PER SHARE Yuliastuti Rahayu Sekolah Tinggi Ilmu Ekonomi
Indonesia (STIESIA) Surabaya.
Irawan, J. L. (2021). Pengaruh Return On Equity, Debt to Equity Ratio, Basic Earning Power, Economic
Value Added dan Market Value Added Terhadap Return Saham. Jurnal Akuntansi, 13, 148–159.
https://doi.org/10.28932/jam.v13i1.2948
Januardin, J., Wulandari, S., Simatupang, I., Meliana, I. A., & Alfarisi, M. (2020). Pengaruh DER, NPM,
dan PER terhadap Return Saham pada Perusahaan Sektor Property and Real Estate di Bursa Efek
Indonesia. Owner (Riset Dan Jurnal Akuntansi), 4(2), 423.
https://doi.org/10.33395/owner.v4i2.251
Mahirun, M., & Kushermanto, A. (2018). Capital structure, investment opportunity set, growth sales,
firm size and firm value: R&D intensity as mediating. Quality - Access to Success, 19(164), 117–
122.
Malanuwa, A., Ibrahim, M., Yakup, Y., & Karundeng, D. R. (2023). Pengaruh Tunjangan Kinerja,
Pelatihan, Kedisiplinan Dan Dukungan Organisasi Terhadap Loyalitas Kerja Pegawai. Journal
Economy and Currency Study (JECS), 5(1), 105–117. https://doi.org/10.51178/jecs.v5i1.1369
Meliza, M., Novitasari, N., & Citradika, D. P. (2024). PENGARUH STUKTUR MODAL TERHADAP RETURN
SAHAM DENGAN SUKU BUNGA SEBAGAI VARIABEL MODERASI. Jurnal Ilmiah Manajemen,
Ekonomi, & Akuntansi (MEA), 8(2), 1724–1735. https://doi.org/10.31955/mea.v8i2.4238
Milzam, M., Sigit Taruna, M., & Shofiyuddin, M. (2024). Analisis Keputusan Investasi Gen Z Melalui
Literasi Keuangan Dan Risk Tolerance. Jurnal GeoEkonomi, 15(1), 14–25.
https://doi.org/10.36277/geoekonomi.v15i1.362
Nawangsari, S., Zakaria, A., & Sumiati, A. (2021). Pengaruh Pengungkapan Corporate Social
Responsibility (Csr), Earning Per Shares (Eps), Dan Debt To Equity Ratio (Der) Terhadap Return
Saham Pada Perusahaan Sektor Keuangan Yang Terdaftar Di Bursa Efek Indonesia. Business,
Entrepreneuship and Finance, 1(2), 85–97. https://doi.org/10.53067/ijebef
Nikmah, L. C., Hermuningsih, S., & Cahya, A. D. (2021). Pengaruh DER, NPM, ROA, Dan TATO Terhadap
Return Saham (Study Pada Perusahaan Sektor Industri Otomotif dan Komponen). Jurnal Ilmiah
Manajemen Kesatuan, 9(2), 21–30. https://doi.org/10.37641/jimkes.v9i2.450
Noviyanti, D., & Ruslim, H. (2021). Pengaruh Struktur Modal, Profitabilitas, Rasio Aktivitas Terhadap
Nilai Perusahaan. Jurnal Manajerial Dan Kewirausahaan, 3(1), 34.
https://doi.org/10.24912/jmk.v3i1.11285
P H, H., & Rishad, A. (2020). An empirical examination of investor sentiment and stock market volatility:
evidence from India. Financial Innovation, 6(1), 34. https://doi.org/10.1186/s40854-020-00198-
x
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