Electronic copy available at: https://ssrn.com/abstract=2995908. The Influence of Inflation, Exchange Rate, Market Value Added and Market. Capitalization Value ...
The Influence of Inflation, Exchange Rate, Market Value Added and Market Capitalization Value on Stock Price Marselinus Asri * Otniel* * Atma Jaya Makassar University-Indonesia 1. INTRODUCTION 1.1 Background Composite Stock Price Index (CSPI) in Indonesia has increased from year to year. The increase in CSPI is due to the improving economy in Indonesia. Growth during the year 2014 increased by 21.15% from 2013 (www.okezone.com). As a result of the increase in CSPI is the increased stock returns. This is due to the increase in JCI each year indicates the increase was mostly the value of existing stock in the Indonesian Stock Exchange (BEI). Growth stock value will certainly affect the increased return that will be given. In addition,momentumpro¢ts around theworld are economically large and statistically reliable in both good and bad economic states. Further, thesemomentumpro¢ts reverse over 1- to 5-year horizons, an action inconsistent with existing risk-based explanations of momentum. (Griffin, Ji, & Martin, 2003) Investors would be attracted to the increase in stock returns. This is because the investors to invest in stocks to get a stock return. Return to be gained from the stock in the form of capital gains and dividends. In addition, other important things that should be considered by investors is the amount of risk that should be borne as the magnitude of the logical consequences of investment decisions taken (Ang, Hodrick, & Xing, 2007) suggests a rational investor would consider two things in investing, the expected revenues (expected return ) and risk (risk) is contained in the investment they will do. The presentation of changes in assets and liabilities of the company's long term issuer is seen by investors and capital market analysts as the company-specific risks that have an impact on asset pricing. This condition is caused due to the operational needs of the company with regard to the use of fixed assets in the machinery and equipment manufacturing companies considered important by investors(Asri, 2017) An investor when going to invest will have his own valuation of the stock to be invested. Investors certainly hope that its investments will generate returns or the returns are great. However, the return is most certainly have a greater risk. This is due to the company that provides a great return possibility is a company that has a large
Electronic copy available at: https://ssrn.com/abstract=2995908
operational scale. Companies that have large-scale operations certainly have a higher level of activity than companies whose scale of operations is small so that investors need to assess the company to know the risks of the activities undertaken by the company. The risk level of an investment can be known by the investor from activities run by the company. The higher the level of corporate activity, the greater the risk faced by investors. The higher the risk of an investment, the greater the level of return expected by investors, so investors certainly hope its investments on companies that have a high level of activity that will generate huge returns. The deviation is shown to be small for assets in a realistic finite economy and is arbitrarily close to zero for those assets with arbitrarily small size relative to aggregate wealth. It follows that the linear pricing equation provides a good approximation for the mean returns of all traded assets.(Grinblatt & Titman, 1983) Stock returns is influenced by several factors, including external factors, market factors and internal factors. External factors are difficult for companies to control, so firms must prepare plans for future problems. When companies are able to cope with problems related to external factors, then the company will be able to survive in the long run. For example, such as Bank BCA, in 2013 where the inflation rate reached 8.38% (www.bi.go.id), Bank BCA's share was able to grow by 4.39% due to good corporate performance. In 2014 the inflation rate reaches 8.36%, but the stock price indicates a rising value. In the period 4-15 August 2014, the value of stock increased from Rp 11,725 to Rp 11,800 (www.okezone.com). Investors should be able to analyze an economic condition. This is very important because the returnon their investment is strongly influenced by macro factors other than internal factors. If the conditions are again in a state of an economy is not good, then the most likely rate of return will also decrease and vice versa. This study will consider two macro conditions, including inflation and exchange rates. The use of variable inflation because these variables describe the economic state of a country. If the inflation rate of a country is high then it illustrates the economic condition in the country is not good.In addition, inflation will lead to rising prices in general so that companies will have problems against the price increase. There are several consequences caused by inflation, one of them is going to create uncertainty (uncertainity) for economic agents to make decisions in the conduct
Electronic copy available at: https://ssrn.com/abstract=2995908
of consumption, investment and production (www. Bi.go.id ). Therefore, if the inflation rate is high then it will greatly affect the performance of the company. This is due to high inflation rate will result in income gap. The impact of this is a group of people able to increase their income, but most will experience a decrease in income that will result in decreasing purchasing power. Declining purchasing power will make the profit of the company will decrease which will interfere with the performance of the company. Inflation significant effect on the financial performance, inflation is positive and significant impact on the return on assets (ROA). This shows that inflation is very influential on corporate financial performance where the financial performance of the company can describe the performance of the company. The better the performance of the company, the higher the return that can be given by the company. Another macro factor to be considered in this study is the exchange rate. The economic development of a country is affected by the exchange rate. This is because the exchange rate also reflects the economic conditions of a country.If the exchange rate of a country's domestic currency strengthens, then this indicates the economic conditions in the country improved. Conversely, if the domestic currency exchange rate weakens, then there will be an economic slowdown. The exchange rate is very important for the economy in Indonesia. If the exchange rate weakens, it will impact the decline of the economy that will interfere with the performance of the company. When the rupiah weakens, this will affect the companies that transact using foreign currency. If the company imports, it will increase the cost that will be incurred due to the weakening of the rupiah exchange rate. The result is a decrease in profits to be gained by companies where the performance of a company can be seen from their ability to earn profits every year. The exchange rate have a significant effect on the financial performance after decentralization. The result of the research is exchange rate has influence to financial performance. The results of the study indicate that if the domestic exchange rate increases or decreases, then the financial performance will be affected. In addition to macro factors, there are market factors that need to be noticed by investors when will invest their capital. Market factors are factors that describe the current value of a company. Market factors examined in this study is the market value added (MVA) and the value of market capitalization (NKP) .MVA describe the amount of value that can be capitalized and maximize the value used in a perusahaan.MVA also reflects how smart the management in creating or Increasing prosperity to owner or
shareholder capital.Therefore, if the company has a low MVA, then the company must improve their performance in order to have a high MVA. MVA has a positive and significant effect on stock prices. This shows when MVA is high, then stock price will also rise. The rising stock price can reflect the profit owned by the company has increased which means that the performance of the company has increased In addition to MVA, there is also NKP which is one important market factor for the company. Every company wants to have a high NKP.When NKP a low company, then the company must improve their performance to make NKP higher. The performance in question is the performance of the company because the company is expected to generate a stable profit each year to attract investors to the company's stock and make increased demand for these stock which resulted in the price of the company's stock will rise. High NKP will attract investors to invest in the company. NKP has a positive and significant effect on stock prices. The results showed that when the NKP value is high, then the stock price of the company is also high.This illustrates that the company has a good performance so as to generate profits. Companies that are able to generate a stable profit each year will make investors' demand for stock of the company increased which resulted in stock prices will rise. Based on the description above, this study examines the effect of macroeconomic variables and stock prices. The difference of this study with previous research is found in the addition of independent variables such as MVA and NKP and variables of mediation in the form of company performance. The reasons for the addition of MVA and NKP variables are the two variables can be considered as one of the factors considered before making investment decisions because MVA describes the ability of management in generating increase or increase of wealth for shareholders and NKP is the market value of the company so the higher the value of NKP company, The higher the market value of the company. Consideration of the use of the variable performance of the company because the company's performance is an important factor affecting stock returns of a company. The ability of a company's management can be seen from their performance in overcoming macroeconomic factors and market factors faced by the company. If the company is able to overcome these problems, then the company can survive in the long term, which would certainly be one of the attractions for investors to invest mereka.Selain it, free cash flow is an important factor as a manifestation of the company's performance should be considered as if the company has
A lot of cash, investors are certainly interested in buying stock of the company. This is because companies that have a lot of cash will have a great investment opportunity. 1.2 Problem Formulation The formulation of the problem in this research are: 1. Does inflation have any effect on company performance? 2. Does the exchange rate have any influence on the performance of the company? 3. Does MVA have any influence on company performance? 4. Does NKP have any influence on company performance? 5. Does the company's performance has no effect on stock returns? 6. Does the company performance mediates the effects of inflation, exchange rate, MVA and NKP on stock returns? 1.3 Research Objectives The purpose of this study was to investigate: 1. The effect of inflation on stock returns; 2. Effect of exchange rate on stock returns; 3. Effect of MVA on stock returns; 4. Effect of NKP on stock returns; 5. Effect of the performance of companies on stock returns; and 6. The effect of the company's performance mediate inflation, exchange rate, MVA and NKP on stock returns. 1.4 Research Benefits 1.Benefits through Home Visits The results are expected to contribute to the development of knowledge concerning the effects of inflation, exchange rate, MVA and market capitalization on the performance of the company and its impact on stock returns. 2.Benefits P raktis a. For the company, the results of this study are expected to be utilized as guidance in taking action when faced with changes derived from macro and technical economic factors; and b. For investors, the results of this study are expected to be utilized as one of the pertimbongan materials in assessing the capital market and the basis of investment decision-making. 2. LITERATURE REVIEW
2.1 Prior Research Research on inflation, exchange rate, MVA, NKP, the company's performance and stock returns have been made by some previous researchers. The researchers there who investigated the influence of macroeconomic variables with stock prices or stock returns. 2.2 Platform Theory 2.2.1 Signaling Theory Signaling theory shows how to reduce asymmetric information in the market by providing more information to others (Boehme, Danielsen, Kumar, & Sorescu, 2009). Information should present information, notes or descriptions either for past, current or future circumstances for the survival of a company and how its market effects. So it is very important information issued by the company. In addition, the information must be complete, relevant, accurate and timely because the information will be used by investors to determine the investment policy that they will do. The purpose of providing accurate information by the company is that investors become interested in investing their capital to the company. Such information can also show the advantages of the company compared to other companies. In addition, the main purpose of the company issuing information is because there is information asymmetry between the company and Parties outside the company. After all market participants receive information issued by the company, they will analyze the information and determine whether the information is a good signal (good news) or poor signal (bad news).According to (Sharpe, 1964) the announcement of accounting information gives a signal that the company has good prospects in the future so that investors become interested to invest their capital to the company. One of the information in the form of a good signal for investors is the annual report. This is because the financial statements provide information relating to accounting information or information that is not related to accounting. After all the necessary information is obtained, the investor will analyze the information and make the investment policy they will do (www.usu.ac.id). Financial reporting quality that reflects corporate value is a positive signal that can influence decision making. In the theory of signaling, investment spending gives a positive signal about the company's growth in the future, whereas the increase in debt is defined as a company's ability to pay its obligations in the future so that this is also a positive signal from the company.
2.2.2 Stock Stock are securities used as proof of ownership of the assets of the issuing company. Stock represent a mark of ownership of a person or entity in an enterprise in which the stock are in the form of a sheet of paper explaining that the owner of the paper is the owner of the company issuing the securities. Stock can be defined as a sign of capital participation of a company or limited liability company.Therefore, as a reciprocal of such equity participation, the shareholder will have a claim on the company and obtain a dividend and is entitled to participate in the General Meeting of Shareholders (GMS). The benefits of owning a stock is financial benefits can include dividends, being a division of corporate profits or capital gain (loss), which is a gain or loss derived from the difference between the purchase price and the selling price saham, There are also non-financial benefits of having the voting rights in determining the activities of the company. Stock consist of two types when viewed from the ability in charging rights, ie common stock and preferred stock. Common stock is the most heavily traded stock. The common stock owners are entitled to participate in the GMS and get a dividend payment. For the distribution of dividends, ordinary shareholders will receive dividends after dividends for preferred shareholders are paid. 2.2.3 Stock Return Stock returns are benefits investors as a result of their investments on the stock in a company. R eturnclappers stock is enjoyed by investors on investment they do. R eturn stock is divided into two, namely return realization and return expectations (expected return). Return realization is the return that has happened and is one measure of corporate performance. The higher the return a company, then the company can be considered as a company that performs well. While the expected return is the returnexpected by investors to happen or acquired in the future. So it can be said that the expected return has not happened. According to (Liu, Lu, Mu, & Yang, 2016) there are two important things that concern investors in investing. Both of these are expected return and risk inherent in the investment tersebut.Sehingga investors tend to select stocks with lower risk. Whereas if the same risk level, investors will prefer stocks that rate of return is higher. Stock return consists of two components, namely capital gain (loss) and dividends. Capital gain(loss) is income or loss obtained by investors from rising or
falling share prices, while the dividend reflects the company where the income earned from part of the proceeds will be distributed to investors in the form of dividends. 2.2.4 Company Performance Company performance is the result of which company managers do in running the company. Company performance refers to the end result of a process of company activity during one period and resulted from an evaluation of the implementation of company policy. The results of the performance is expected to be good because the good results of the company's performance will make investors become interested to invest their capital to the company. Every company has a goal to be dicapai.Salah one of those goals is to satisfy the interests of stakeholders .In order to meet these objectives, the company must have bagus.Penilaian performance of that success can be used as a basis for decision making for both internal and third party External. 2.2.5 Inflation (Schwert, 2003) Inflation can be interpreted as increasing prices and constantly where not only one or two goods, but the price increase widely or general. Inflation is one factor that is very influential on the economy of a country. The result of inflation is the decline in purchasing power, both individual and corporate as a result of price increases. Inflation is caused by economic conditions that are too hot (overheated), which means that economic conditions have a demand for products that exceed the capacity of the product offering, so the price tends to rise. In addition, inflation can also occur if the amount of money in circulation is more than the amount of goods offered. There are three components that must be met in order to be able to say there is inflation, which is the tendency of prices to rise, the increase in the price level occur continuously (sustained), and the price level in question is the price level in general and not just on one or two commodities. Inflation will lead to high foreign exchange that makes investors switch in investing capital to other forms of investment rather than investing capital in the form of stock that will result in a drastic reduction of stock levels. The inflation rate can be classified based on its severity, ie mild inflation is an inflation rate below 10%; Moderate inflation is the rate of inflation between 10% to 30%; Heavy inflation is an inflation rate of between 30% and 100%; And hyperinflation which is an inflation rate above 100% ..
2.2.6 Exchange Rate The exchange rate is the price of a country's currency against another country's currency. For example is the price of one US dollar ($) is Rp 13,500. Currency exchange rates in a country can be stable or unstable. This is based on economic conditions in the country. In addition to economic conditions, the exchange rate is also influenced by political conditions, conditions The economies of other countries, and the conditions of the world economy. The increase or strengthening of the exchange rate is called the appreciation of the currency. While the decline or weakening of the exchange rate is called the depreciation of domestic currency. The exchange rate is known there are four types, namely: 1. Selling rate (selling rate) is the rate that is determined by a bank for the sale of certain foreign currency at a given time; 2. Middle rate (middle rate) is the middle value between selling and buying rate of foreign currency against the national currency set by the Central Bank at a particular moment; 3. Buying rate (buying rate) is the rate that is determined by a bank to buy certain foreign currencies at a given moment; and 4. Flat rate (flat rate) is the rate applicable in the buying and selling of bank notes and traveler chaque, in which the exchange rate has taken into account the promotion and other costs. There is a positive thing about the strengthening of the exchange rate of which shows the economy in the country is in good condition. But there is also a negative impact of the strengthening of a country's exchange rate, ie investors coming from abroad are reluctant to invest or invest They are in the country due to the strengthening of the exchange rate. As a result of the strengthening of the exchange rate makes it required more currency of other countries issued in order to obtain currency in the country. An example is suppose if initially to get Rp 13,500 only takes $ 1, then there is a strengthening of the value of Rupiah so to get Rp 13.500 it takes $ 1.5. Strengthening this exchange rate will indirectly affect the interest of outside investors to invest because they will need more capital expended. 2.2.7 Market Value Added (MVA) (Petersen, 2009) states MVA is a cumulative measure of the performance of the company and is represented in the stock market's assessment of the past and
projected capital . states MVA is the result of the company's performance of some investments that have been made so that the MVA is able to maximize the prosperity of our shareholders with Allocation of appropriate resources. MVA is also called the present value of EVA in the future. MVA is a single measure and does not require trend analysis or industry norm analysis so it is easier to assess company performance. MVA can be applied to the company as a value-added tool to improve the company's welfare for shareholders and can be used by investors for decision making. The MVA reflects how much value can be capitalized and maximized the value of capital used in a company and how smart the management is in creating or increasing the prosperity of the shareholders. MVA also reflects the company's performance as long as the company stands. 2.2.8 Market Capitalization (NKP) NKP is a measure of the total value of a company listed on the stock exchange. The market value of the firm comes from multiplying the stock price of the firm by the number of stock in circulation. So it can be seen that the value of NKP may change if there is a change in the stock price or the number of stock outstanding. Stock can be grouped by capitalization, namely: 1. Capitalization large (big-cap) Large capitalization is stock with NKP greater than or equal to Rp 5 trillion. Bigcap stocks are generally owned by companies that have a long-term achievement of revenue and dividends as well as a leader in the industry by the company. 2. Capitalization moderate (mid-cap) Medium capitalization is a share with a NKP of between Rp 1 trillion and less than Rp 5 trillion. Mid-cap stocks have advantages of stock for this group provide a return on investment (ROI) are relatively large and the price tends to rise or stabilize. 3. Capitalization (small-cap) Small capitalization stocks that have NKP is less than Rp 1 triliun.Saham promising small-cap high ROI, but is accompanied by a large degree of risk. 2.3 Thinking Framework Theory Stock returns is the main objective of the investment made by the investor. The higher the returnobtained by investors, the greater the kertarikan investors to invest in
the company. To be able to provide large returns to investors, companies must be able to generate profits annually. The higher the profit generated by the company, the greater the return that can be given by the company to investors. To earn a large profit, the company must be supported with good performance. Studies on the relationship of inflation, exchange rate, MVA and NKP to return stock with the company's performance as a mediating variable uses signaling theory .Teori inimenunjukkan how to reduce asymmetric information in the market by providing more information to others (Morris, 1987). Companies must give a positive signal to investors to attract investors to invest to the company. Performance of excess cash intangible company is one of the signal given by the company to investors in order to attract investors to invest them to the company. This is because companies that have excess cash will have a great investment opportunity. In addition, if the company has a good performance, then the company will be able to manage the excess cash it has to generate additional wealth for shareholders. High inflation will signal to investors that the price of goods will increase where not only the price of one or two types of goods, but many types. High inflation will result in a revenue gap. The impact of this is a group of people able to increase their income, but most will experience a decrease in income that will result in decreasing purchasing power. The decline in purchasing power decline, it will interfere with the performance of the company for profit to be generated may drop resulting in return of stock to be granted to investors will decline or even not shared. The exchange rate is the price of a country's currency against another country's currency. The decline in the exchange rate of the domestic currency will give a signal to investors that there will be increased sales or increased costs for companies that transact in foreign currencies. If the company imports when there is a decline in the domestic exchange rate, it will increase the cost that will be incurred due to the weakening of the domestic currency exchange rate. And vice versa if the company exports will increase export volumes and market demand is sufficiently elastic if this would result in an increase in domestic corporate cash flow. The result is an increase or decrease of total profits to be gained by the company. MVA provides a signal to investors about ABILITY companies in creating or improving shareholder wealth. MVA that will either indicate that the performance of the company is good because it can create or increase the wealth of the shareholders in which prosperity in the form of stock returns.
NKP is the market value of a company that comes from multiplying the stock price of the firm by the number of stock outstanding so that investors will get a good signal if the NKP is good. NKP a good company will show the performance of the company is good. This is because the stock price of a company will be high if the company is able to generate a stable profit every year. Performance of the company that produces a steady income each year will ensure the return of stock to be acquired shareholders. Based on the above explanation, the theoretical framework as follows:
Figure 2.1 Framework INFLATION
EXCHANGE RATE MARKET VALUE ADDED (MVA)
PERFORMANCE
STOCK RETURN
MARKET CAPITALIZATION
2.4 Development of Hypotheses Based on the theoretical framework that has been made, it will be developed a hypothesis about the relationship pattern between variables in this study: 2.4.1 Inflation Relations and Company Performance According to research conducted oleh (Álvarez-Lois, 2004) states that inflation significantly influence financial performance. This suggests that inflation affects the
perusahan.Hal performance is also supported inflation is positive and significant impact on the return on assets (ROA). The high inflation rate would give a signal to investors that prices will tend to rise. In addition, high inflation will also lead to income gaps. The impact of this is a group of people able to increase their income, but most will experience a decrease in income that will result in decreasing purchasing power. The impact of the decrease in public purchasing power is the decrease in profits to be obtained by the company so that this will disrupt the performance of the company. Firms capable of dealing with inflationary problems will signal investors that the company is able to survive in the long term. However, when the inflation rate is high and the company is unable to cope with the problems arising from inflation, the performance of the firm will decrease which will impact the decrease of investor confidence to the company. Based on the above explanation, the hypothesis is formulated as follows: H1: Inflation has a significant influence on the performance of the company 2.4.2 Relation of Exchange Rates and Company Performance Effect of exchange rate on the performance keuangan.Hasil of these studies is the exchange rate had a negative effect on the performance of keuangan.Hasil other research shows that if the domestic exchange rate has decreased, then the financial performance will increase, and vice versa. The financial performance of a company can describe the performance of a company because the main purpose of the company is to create laba.Penelitian conducted (Álvarez-Lois, 2004). Stating the exchange rate have a significant effect on the financial performance after decentralization. The decline in the exchange rate give a signal to investors that the companies that make transactions using foreign currency income will increase if export or import increased costs. The decline in the domestic currency will increase the volume of exports and if the market demand is quite elastic this will result in an increase in cash flow of domestic companies, while for companies that import, will increase costs for companies will get less quantity of goods than before the decline in the exchange rate with the number of the same money. Companies are able to take advantage of changes in the domestic exchange rate is a company that has a good performance. This would give a positive signal to investors about the company. Companies that perform well will be able to increase sales through exports or address problems such as an increase in costs when importing if the
decline in the exchange rate. This will certainly increase the revenue to be obtained by the company. Based on the explanation above, it formulated the following hypotheses: H2 : The exchange rate has a significant influence on the performance of the company 2.4.3 MVA Relations and Corporate Performance MVA is positive and significant effect on stock prices. It showed when the MVA is high, then the stock price will also rise. The share price rose to reflect the profit owned by the company has increased which means that the performance of the company increased. Pernyataaan supported MVA berpenagruh studies suggest positive and significant impact on stock prices. MVA provides a signal to investors about ability companies in creating or improving shareholder wealth. MVA that will either indicate that the performance of the company is good because it can create or increase the wealth of the shareholders in which prosperity in the form of return of stocks. So it will attract investors to invest in the company. MVA high value would indicate that the performance of the company is good because it can create or increase the wealth of the shareholders. Conversely, if the value of MVA is low, it shows that the company's performance is less good at creating or increasing prosperity to their shareholders so companies need to improve their performance. Based on the explanation above, it formulated the following hypotheses: H3 : MVA has a significant influence on the performance of the company 2.4.4 NKP Relations and Corporate Performance NKP positive and significant impact on prices saham.Hasil these studies indicate when NKP value is high, then the company's stock price tinggi.Ini also illustrates that the company has performed well so as to produce laba.Perusahaan that can generate a steady income every year will make a request investors on the company's stock to rise resulting in stock prices will rise. NKP is a result of the share price multiplied by number of stock outstanding. In addition, NKP also describes the market value of perusahaan.Sehingga, NKP gives a signal to investors about the state of perusahaan.Investor certainly interested in stock of companies that have a high price because of high stock prices owned by companies that are able to produce a stable profit every year.
NKP value is high because the company's stock price is high and more stock outstanding. Mrmiliki stock of a company that high prices will be more attractive to investors. For the stock at a high price, the company must have a good performance so as to produce a stable profit even increased. Based on the explanation above, it formulated the following hypotheses: H4 : NKP has a significant influence on the performance of the company 2.4.5 Relations and Corporate Performance Return Stock ROA influence on the return of stock stated ROA has a positive and significant impact on the return stock. Results The study found that if a company's ROA increases, the return of stock of these companies will also rise. High ROA is one aspect which is seen by investors as would invest in the company. ROA describes the financial performance of the company tersebut.Kinerja a company can be seen from its financial performance. A company's performance is one of the aspects considered by investors when berinvestasi.Hal is due to the company's performance gives a signal to investors about the sustainability of the company. Companies that have good performance will survive in the long term. And vice versa if the performance of a company is not good, then the company will not be in the long term. Investors are certainly more interested in investing them to companies that are able to survive in the long term. Each investor is certainly hoping to earn returns high stock of the company. The company will be able to provide a return to investors if the company generates profits. Companies that have good performance will be able to generate a steady income every year. The greater the profit that can be produced by the company, the greater the likelihood of return to be provided to investors. Based on the explanation above, it formulated the following hypotheses: H5 : The company's performance has a significant influence on the return stock
2.4.6 The Role of Mediation Firm Performance of Inflation, Exchange Rate, MVA and NKP to Return Stock The company's performance refers to the end result of a process of the company's activities during the period and results from an evaluation of the implementation of company policy. Good performance of a company will make the company may have a better return than other companies even though the company is having problems. Examples such as Bank BCA has a good performance so that they are having peningkatanpada stock prices in 2013 and 2014 (okezone.com) although
Indonesia is experiencing inflation rate is quite high compared to previous years (bi.go.id). A company's performance is influenced by several external factors such as inflation, exchange rate, MVA and NKP.Inflasi, exchange rate, MVA and NKP are factors beyond the company so that the company is difficult to control these factors. These factors send a signal to investors about the problems that may be faced by the company. So investors have to be clever in analyzing when it will invest to the company. A company's performance is one of the important factors that determine the amount of return ofstock to be received by the investor of a company. Return high stock from high profit generated by the company. To get a big profit, the company must have a good performance. That is to say companies that have a good performance will give a return for a greater share to shareholders Based on the explanation above, it formulated the following hypotheses: H6a: Performance Companies mediate the effect of inflation on the return stock H6b: The company's performance mediates the effect of exchange rate to return stock H6c: Performance Companies mediate the effect of MVA to return stock H6d: NKP Company performance mediates the effect of the return stock
3. METHODS 3.1 Research Design This research is research explanatory research. . Explanatory research is research that explains the causal relationship between the variables through hypothesis testing. Explanatory research can be said as well as research to test the hypothesis between variables with each other. 3.2 Population and Sampling Procedures Research The population in this study is a company listed on the Stock Exchange during the period 2014-2015. The data required are the financial statements and annual reports published by the company for the year 2014-2015.Sampel used in this study were selected by the method of purposive sampling , where samples were selected to meet certain criteria with the purpose of research. The criteria used to determine the sample is as follows:
1. The company is listed continuously on the Stock Exchange during the period from 2014 to 2015; 2. The Company publishes annual financial statements and annual report in full in the rupiah during the period 2014-2015; and 3. Must have information relating to the variables to be studied. 3.3 Data Source Type The type of data used in this study is documentary data. Documentary research is a study of data and information obtained from documentation materials of institutions or companies. The data source used is secondary data where data will be collected by taking the complete annual financial statements and annual report in rupiah currency during the period 2014-2015 from the Capital Market Reference Center of Indonesia Stock Exchange (www.idx.co.id). 3.4 Data Collection Method Data collection in this research is observation and content analysis. Observation method is method observation to source data. Content analysis is done by collecting data, then analyzed the data derived from financial and annual reports published by companies listed on the Stock Exchange. 3.5 Operational Definition and Variable Measurement 3.5.1 Stock Return Stock return is the measurement of stock price in year t with share price of previous year then divided by previous share price. The formula for calculating stock returns is as follows: Information: = : :
(
−
)
Stock Return Share price i at end of period : The stock price i at the beginning of the period
3.5.2 Company Performance
A company's performance is the result of the managers of companies doing in running the company. The company's performance refers to the end result of a process of the company's activities during the period and results from an evaluation of the implementation of company policy. To calculate the performance of the company using the free cash flow . Free cash flow derived from operating income minus net changes in operating assets (Penman, 2013). Free cash flow is defined as follows: FCF= OI – ΔNOA Information: FCF: Free Cash Flow OI: Operating profit ΔNOA: Changes in net operating assets 3.5.3 Inflation Inflation can be defined as rising prices and persistent in which not just one or two items, but the rising price of widespread or general. Inflation data used is the monthly inflation data for a year that will be averaged. 3.5.4 Exchange Rate The exchange rate is the price of a country's currency against the currencies of other countries. Data exchange rate obtained from Bank Indonesia. The data rate used is the average monthly exchange rate during the year that will be averaged. 3.5.5 Market Value Added (MVA) Steward (1991) states MVA is a cumulative measure of the performance of the company and is represented in the stock market's assessment of the past and projected capital . Market Value Added (MVA) is formulated as follows: MVA = (Stock Market Closing Price x Number of Stock Outstanding) - Total Equity 3.5.6 Market Capitalization Value (MARKET CAPITALIZATION (NKP)) NKP is a measure of the total value of a company listed on the stock exchange. The market value of the company derived from multiplying the stock price of the company by the number of outstanding stock that can be formulated from the understanding that: NKP = Stock Market Closing Price x Number of Stock Outstanding 3.6 Method of Analysis
In this study, the method of analysis in the form of descriptive statistics, normality test, classical assumptions, and tools used to test the hypothesis is regression analysis. 3.6.1 Descriptive Statistics Descriptive statistics provide a picture or a description of the data that makes an information clearer and easier to understand, as seen from the average value ( the mean ), minimum, maximum, and standard descriptive deviasi.Statistik numeric serving sizes are very important for sample data. This descriptive statistical tests using software Statistical Package for the Social Science (SPSS) version 24. 3.6.2 Normality Test Data Normality test is done to test whether a variable has a normal or nearly normal distribution. Normal means having a normal distribution of data. Normal or not a variable is measured based on the normal distribution of the data with the mean and standard deviation of the same. The statistical test that can be used to test the normality of the data, the Kolmogorov-Smirnov test with significance probability level of 0.05. table 3.1 Normality Test Results Variables
Sig.
Information
substructure 1
KolmogorofSmirnov 1.552
0,016
substructure 2
1,428
0,034
Distributed Normal Distributed Normal
Not Not
Source: Processed Data (2016) Normality test results for this study can be seen in table 3.1 that has been presented. Here is a discussion of the results of the test for normality: 1.
Table 3.1 shows that the substructure equation 1 has unstandardized
residual value amounted to 0.016 0.05, which can be seen in table 4.5 so that it can be said that the performance of the company has a negative effect and no significant effect on the return stock. Thus, H 5 which states that the performance of the company has a significant influence on the return stocks declined. 4.7 Direct Impact Test, Indirect Influence, and Influence of Total The direct effect is the effect of the exogenous variables on endogenous variables that occur without other endogenous variables. Values obtained from the direct influence of standardized coefficient beta which is the coefficient of each equation substructure generated through regression análisis. The indirect effect is the effect of the exogenous variables on endogenous variables that occur through other endogenous variables included in the model are analyzed. The net effect is obtained from the accumulated effect of direct and indirect influence. Based on the test results of the test statistic direct effect, indirect effect and total effect can be seen in table 4.6 below: table 4.6 Influence Analysis of Direct, Indirect Influence, and Influence of Total variable Direct Impact Indirect Effect of Total combination Influence X1/Y1 -0.065 -0.065 X2/Y1 -0.018 -0.018 X3/Y1 0.078 0.078 X4/Y1 0,624 0,624
Y1/Y2 X1/Y1/Y2 X2/Y1/Y2 X3/Y1/Y2 X4/Y1/Y2
-0.082 -
0.00533 0.001476 -0.006396 -0.051168
-0.082 0.00533 0.001476 -0.006396 -0.051168
Source: Processed Data (2016) Information : X 1 = Inflation X 2 = Exchange Rate X 3 = MVA X 4 = NKP Y 1 = Kinerja Perusahaan Y 2 = Return saham Tabel 4.7 Hasil Perhitungan Nilai Signifikansi Pengujian Tidak Langsung (Sobel Tes) Kombinasi Variabel Inflation (X 1 ) ke Return (Y 2 ) via Performance (Y 1 )
Nilai Estimasi -0,498 ; -0,010
Standard Error 0,0654 ; 0,008
P Value of Sobel Test 0,51549427
Exchange rate(X 2 ) ke Return (Y 2 ) via Performance (Y 1) MVA (X 3 ) to Return Stock (Y 2 ) via the Performance (Y 1 )
-0,792 ; -0,010
3,658 ; 0,008
0,83106551
0.098; -0.010
0.102; 0,008
0.44620162
NKP (X 4 ) to ReturnStock (Y 2 ) via t Performance (Y 1 )
0.784; -0.010
0.102; 0,008
0.21728080
Source: Calculations with the help of program statistics calculators version 3.0 BETA (2016), http://www.danielsoper.com/statcalc/calculator.aspx?id=31 Testing is not directly in the study using Tes.Variabel Sobel test-variables of the study is said to have an indirect influence each other when all of the significant path coefficients tested. Based on the results of Table 4.7 shows inflation (X 1 ) and exchange rate (X 2 ) does not have an indirect influence on the returnstock (Y 2 ) via the company's performance (Y 1 ) where the result of the calculation is 0.51549427> 0.05; and 0.83106551> 0.05 Results from Table 4.7 also shows that the MVA (X 3 ) and NKP (X4) has no direct influence on the return stock (Y 2 ) via the company's performance (Y 1 ) where the result of the calculation is 0.44620162> 0.05; and 0.21728080> 0.05.
4.8 Discussion of Results 4.8.1 Inflation Relations and Corporate Performance Inflation has a negative effect on the performance of the company. It indicates when a decline in the inflation rate, there will be an increase in the company's performance. However, the results showed that the effects of inflation are not strong enough to company performance. The results showed that the increase in the inflation rate would lead to a decrease in the company's performance. Inflation may affect the company's performance. When the inflation rate has increased, the price of goods will ceenderung increase. This will result in costs to be incurred by the company will also increase which in turn causes the operating profit to be obtained may drop. The company's profit decreased create cash flow of the company will also be decreased. The results showed the effect of inflation on the performance of the company amounted to 44.7%. It shows the effects of inflation in predicting the performance of the company is not strong. Inflation is not able to predict the performance of the company because when a company has a good performance, then the company will not be unduly influenced by the effect of an increase in the rate of inflation. So that despite increases in the inflation rate, the performance of the company will not be affected too much. The relationship of inflation and corporate performance can be explained by the theory of signaling. The high inflation rate would give a signal to investors that prices will tend to rise. In addition, higher inflation would also result in the income gap. The impact of this is a group of people were able to increase revenue, but most will experience a decline in revenue that would result in purchasing power will decline. The impact of the decline in purchasing power of people is a decrease in the profits they make the company so that it will interfere with the performance of the company. 4.8.2 Relationship Exchange and Corporate Performance The exchange rate had a negative impact on the performance of the company. This shows that when the exchange rate increase, then the company's performance will decline. However, the results showed that the effect of exchange rate terhadapa corporate performance is not very strong. The results showed that the increase in the exchange rate will cause a decrease in the company's performance. The exchange rate can affect the performance of the company. It is caused when the exchange rate has decreased, then the companies that do ekspordapat sell goods abroad with higher numbers for companies to sell goods at lower
prices to overseas so as to increase the demand for such goods. The result is the increase in operating profit from the company and when the operating profit increased, it will cause cash flow of the company will also increase also where the company's performance can be seen from the company's cash flow. The results showed the effect of the exchange rate on the performance of the company amounted to 82.9%. This shows the effect of the exchange rate in predicting the performance of the company is not strong. The exchange rate is not able to predict the performance of the company because when a company has a good performance, then the company will be able to take advantage of changes in exchange rates. So that despite an increase in the exchange rate, the performance of the company will not be affected too much. The decline in the exchange rate can improve the performance of the company. Where a company's cash flow will be greater if the decline in the exchange rate. Companies are able to take advantage of changes in the exchange rate is a company that has a good performance. This would give a positive signal to investors about the company. Companies that perform well will be able to increase sales through exports or address problems such as an increase in costs when importing if the decline in the exchange rate. This will certainly increase the revenue to be obtained by the company. 4.8.3 MVA Relations and Corporate Performance MVA has a positive influence on the performance of the company. This shows that when MVA increase, then the performance of the company will increase. However, the results showed that MVA terhadapa influence the company's performance is not very strong. MVA can improve the performance of the company. This is due to the MVA indicates the company's ability to create or increase prosperity for shareholders. A positive MVA indicates the company managed to create added value for the company's investors. So when a company's MVA is negative, then this would indicate that the company is not able to create or increase wealth for investors. MVA negative company will make investors became less interested in the stock of the company. This will cause the cash flow of the company will decrease as a result of reduced capital raised from investors who invest to the company. So companies have to improve their performance.
The results showed the effect of MVA on the performance of the company amounted to 33.9%. This shows the effect of MVA in predicting the performance of the company is not strong. MVA is not able to predict the performance of the company because when MVA is a high enterprise, not all companies are able to take advantage of it. So despite high capital from the company, the company's performance is not unduly influenced. MVA relations and corporate performance can be explained by the theory of signaling . MVA provides a signal to investors about ABILITY companies in creating or improving shareholder wealth. MVA that will either indicate that the performance of the company is good because it can create or increase the wealth of the shareholders in which prosperity in the form of return of stocks. So it will attract investors to invest in the company. 4.8.4 NKP Relations and Corporate Performance NKP has a positive and significant effect on the performance of the company. This shows that when NKP increase, then the performance of the company will increase. The results showed that the increase NKP will cause an increase in the company's performance. NKP a company can be seen from the company's market value. The market value of the company shows the current value of a company. The market value of the company can be an indicator in predicting the company's cash flow, which, if the company's market value is high, then the future cash flow of the company may be increased. The market value indicates the magnitude of the company's high interest of investors to the company's stock because of greater investor interest in the stock of a company, the higher the company's stock price. The company's share price high and if a lot of the company's outstanding stock will make the market value of the company will be high. More and more investors who invest into the company would increase the assets of the company which will increase the cash flow of the company. This is due to the company that has a lot of capital that investors can use that capital to acquire a higher operating profit. So that when the operating profit increase, the cash flow of the company will also increase the performance of the company which can be seen from the company's cash flow. The results showed the effect of NKP on the performance of the company amounted to 00.0%. This shows the influence of NKP in predicting strong corporate
performance. NKP able to predict the performance of the company because when NKP a high enterprise, then it indicates a good performance of the company. Conversely, if a company NKP low, then it indicates the performance of the company is not good. NKP relations and corporate performance can be explained by the theory of signaling . NKP provide a signal to investors about the state of the company. Investors are certainly interested in the stock of companies that have a high price because of high stock prices owned by companies that are able to produce a stable profit every year. 4.8.5 Relations and Corporate Performance Return Stock The company's performance had a negative influence on the return stock. This shows that when the company's performance has increased, then the return of the stock will decline. However, the results showed that the effect of the company's performance against the return of the stock is not too strong. Meninjukkan research results when the company's performance increases, the return of the stock will decline. The performance of a company can be seen from the company's cash flow. The cash flow of a company can be obtained from the assets, liabilities and operating income of the company. If the company has a high operating profit, the higher the cash flow of the company. Companies are able to generate higher operating profit would be attractive to investors because it gives a signal to investors that the company is able to survive in the long term. The results showed the effect of the company's performance against the return of stock amounting to 24.3%. This shows the influence of the company's performance in predicting the return of stocks is not strong. This is due to the possibility of excess cash held by the company are used for investment and not to provide a return to investors. Which will result in a return that would be obtained by investors will decline. Improved performance of the company can reduce the returns obtained by the investor. A company's performance is one of the aspects considered by investors when investing. This is due to the company's performance gives a signal to investors about the sustainability of the company. Companies that have good performance will survive in the long term. And vice versa if the performance of a company is not good, then the company will not be in the long term. Investors are certainly more interested in investing them to companies that are able to survive in the long term. 4.8.6 The Role of Mediation Performance of Inflation, Exchange Rate, MVA and NKP to ReturnStock
4.8.6.1 Mediating Effect of Performance Against Inflation Return Stock Table 4.7 shows the results of a test Sobel role in mediating the effects of the company's performance of inflation to return stock. The test results gives the figure 0.51549427, where the figure is greater than the value of 0.05, which means that the company's performance did not mediate the effect of inflation on the return stock. The inability of the company's performance in mediating the effects of inflation on the return of the stock may be due to the good performance of the company so that the increase in inflation is not very influential. signaling explained that inflation will send a signal to investors about the rise in the prices of goods in general. So the company should be able to manage its cash flow well so that it can make investors interested to invest capital to companies in the hope investors will get a return . 4.8.6.2 Performance Mediating Effect of Exchange Rates To Return Stock Table 4.7 shows the results of a test Sobel role in mediating the effects of the company's performance against the exchange rate of return stock. The test results gives the figure 0.83106551, where the figure is greater than the value of 0.05, which means that the company's performance did not mediate the effect of exchange rate to return stock. The inability of the company's performance in mediating the effect of the exchange rate against the return of the stock may be due to good performance of the company so as to take advantage of changes in exchange rates. The result is a change in exchange rates will not affect the company's performance. The concept of the signaling explained that changes in the exchange rate will send a signal to investors that the performance of the company may be decreased. So the company should be able to take advantage of the change in the exchange rate that will increase business profits. Increased operating profit will make investors be interested to invest to the company. 4.8.6.3 Influence of MVA Mediating Performance Against Return Stock Table 4.7 shows the result of a test of the role of the firm's performance in mediating the effect of MVA on stock returns. Test results produce the number 0.44620162, where the number is greater than the value of 0.05 which means that the company's performance does not mediate the influence of MVA on stock returns. The
inability of a firm's performance in mediating the influence of MVA on stock returns may be due to a company less able to generate or increase the wealth of investors. The signaling concept explains that MVA sends signals to investors about the company's ability to generate or increase wealth for investors. So when the MVA of a company high, then it can describe the performance of a good company where it will certainly attract investors to invest their capital to the company. 4.8.6.4 Corporate Performance to Mediate The Effect Of NKP On Stock Return Table 4.7 shows the result of a test of the role of the firm's role in mediating the effect of NKP on stock returns. Test results yielded the number 0.21728080, where the number is greater than the value of 0.05 which means that the company's performance does not mediate the effect of NKP on stock returns. The inability of firm performance in mediating NKP's influence on stock return may be caused by the company's inability to utilize its owned capital so that the company is unable to generate high operating profit. The signaling concept explains that NKP sends a signal to investors that the market value of the company is high. The high market value of the firm comes from the company's high stock price and the large number of shares outstanding. High company stock prices will certainly attract investors because it describes a good company performance. Investors certainly hope by investing capital to companies that have a stock with a high price will increase the return of shares to be obtained. 5.CONCLUDING REMARKS This study was conducted to examine the effect of inflation, exchange rate, market value added (MVA) and the value of market capitalization (NKP) to return the stock to the company's performance as a mediating variable. Based on the analysis that has been carried out, the conclusions of this study are as follows:
1. Inflation have effect negative and no significant to performance perusahaan.Hal t
his show that whenhappen enhancement level inflation then will performance co mpany will experience Decline. 2. Value exchange have effect negative and no significant to the performance of the company. This mattershow that change value The exchange is not strong for influence the performance of the company. 3. MVA has a positive effect and no significant effect on the company's
performance. This shows that when MVA is high, then the company's performance is also high. This is due to the MVA illustrates the company' ability to generate or increase wealth for investors. So, when MVA is high, good corporate performance. 4. NKP has a positive and significant impact on the performance of the company. This suggests that NKP can predict the strong performance of the company. This is because the NKP describes the market value of the company. Companies that have a high market value because the company has a high stock price and outstanding stock lot. With stock prices are high, then it will attract investors to invest modalnyan to the company. 5. The company's performance has a negative effect and no significant effect on the return stock. This shows that the good performance of the company will not necessarily give the returns are high for investors. This is due to the excess cash held by the company may not be distributed to investors as return , but is used for investment. 6. The company's performance did not mediate the effects of inflation, exchange rate, MVA and NKP to return stock. This shows that the performance of companies are not able to cope with the problems arising from an external company as well so that the return of the stock granted to investors is low. 5.2 Implications of Research Theoretical Implications Theoretical implication of this study reinforces the theory signaling . Although most are not consistent with the theory of signaling proposed by (Grundy & Martin, 2001)There are findings that are inconsistent with the theory of signaling , the findings relating to the performance of companies that can negatively affect the return stock. This may be
caused by excess cash held by the company are used for investment and not for distribution to investors as return .Sehingga although investors have enough information about the company, the return obtained by actually decreased. Practical implication The practical implications of this research are expected kandapat used as consideration by the company to improve its performance with better able to gain the confidence of investors to invest to the company. In addition, the study is expected to be used by investors as a consideration in making investment. The results of this study are also expected to be useful for the academic field in order to provide empirical evidence and additional resources for research in the future regarding the variables related to that effect nflasi, exchange rate, market value added (MVA) and the value of market capitalization (NKP) to return the stock to performance company as a mediating variable.
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