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THE INFLUENCE OF LIQUIDITY AND PROFITABILITY TOWARD SHARE PRICE: MEDIATED EFFECT OF HEDGING (EVIDENCES FROM SHARES OF LQ-45 LISTED IN INDONESIAN STOCK EXCHANGE FOR PERIOD OF 2011 TO 2015)
Corresponding Author(s) : Tigor Sitorus
Humanities & Social Sciences Reviews,
Vol. 7 No. 5 (2019): September
Abstract
Purpose: This study aims at investigating and testing the mediated effect of Hedging on the effect of profitability and liquidity toward share price at shares of LQ-45, listed in Indonesian Stock Exchange from2011 to 2015. The current research was conducted because the phenomenon and the fluctuations in price of shares were unavoidable.
Methodology: The Structural Equation Modelling (SEM) by Amos was used to analyze the 110 observations of data.
Main Findings: The result of analysis shows that; (1) the liquidity gives not significantly negative influence to share price, (2) the liquidity gives significantly negative influence to hedging, (3) the profitability gives significantly positive influence to share price, (4) the profitability gives significantly negative influence to hedging, (5). Hedging gives significantly positive influence to share price.
Implications/Applications: The present study provides new evidence that the mediated effect of Hedging on the influence of liquidity and profitability toward share price has more strength compared to the direct influence of liquidity but not for profitability.
Keywords
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- Afrianti, N. A. (2012). Pengaruh Likuiditas, Solvabilitas dan Pertumbuhan Penjualan Terhadap Pertumbuhan Harga Saham Pada Sektor Industri Barang dan Konsumsi. Universitas Maritim Raja Ali Haji.
- Amelia, N. (2016). Causality test between exchange rate, inflation rate and Stock Price Index in Southeast Asia Tifa. Journal of Administrative and Business Studies, 2(2), 101-106. https://doi.org/10.20474/jabs-2.2.5 DOI: https://doi.org/10.20474/jabs-2.2.5
- Anjani, B. R., and Baihaqi, I. (2018). Comparative analysis of financial Production Sharing Contract (PSC) cost recovery with PSC gross split: Case study in one of the contractor SKK Migas. Journal of Administrative and Business Studies, 4(2), 65-80. https://doi.org/10.20474/jabs-4.2.2 DOI: https://doi.org/10.20474/jabs-4.2.2
- Bahri, C., Mahsina S. E, & Poniwati, M. (2017). The influence of undervaluation, free cash flow, leverage and dispersion of ownerships toward company’s stock repurchase (An empirical study of Indonesia stock exchange public listed companies). Journal of Administrative and Business Studies, 3(5), 235-247. https://doi.org/10.20474/jabs-3.5.3 DOI: https://doi.org/10.20474/jabs-3.5.3
- Bartram, S. M. Brown, G. W. & Fehle, F. (2009). International evidence on financial derivatives usage. Financial Management, 38(1), 185-206. https://doi.org/10.1111/j.1755-053X.2009.01033.x DOI: https://doi.org/10.1111/j.1755-053X.2009.01033.x
- Birnbo L. & Wernersson, S. (2013). Determinant influence on hedging strategies. University of Gothenburg.
- Boyson, N. M., & Mooradian, R. M. (2007). Hedge funds as shareholder activists from 1994-2005. Northeastern University-College of Business Administration.
- Brav, A. Wei, J. Frank, P. & Randall, T. (2006). Hedge fund activism, corporate governance and firm performance. Working Paper. https://doi.org/10.2139/ssrn.919300 DOI: https://doi.org/10.2139/ssrn.919300
- Brigham, E. F. & Joel, F. (2014). Dasar-Dasar Manajemen Keuangan. Jakarta, Indonesia: Salemba Empat.
- Carter, D. Rogers, D. & Simkins, B. (2006). Does hedging affect firm value? Evidence from the US airline industry. Financial Management, 35(1), 53-86. https://doi.org/10.1111/j.1755-053X.2006.tb00131.x DOI: https://doi.org/10.1111/j.1755-053X.2006.tb00131.x
- Chen, S. Y. & Chen, L. J. (2011). Capital structure determinants: An empirical study in Taiwan. African Journal of Business Management, 5(27), 10974-10983. https://doi.org/10.5897/AJBM10.1334 DOI: https://doi.org/10.5897/AJBM10.1334
- Chow, E. & Chen, H. L. (1998). The determinants of foreign exchange rate exposure: Evidence from Japanese firms. Pacific-Basin Financial Journal. 6(1-2), 153-174. https://doi.org/10.1016/S0927-538X(97)00020-6 DOI: https://doi.org/10.1016/S0927-538X(97)00020-6
- Curry S. J. & Winfield, (1994). Success in Investment. London, UK: John Murray Publishers Ltd.
- Darmadji, T. F., & Hendy, M. (2012). Pasar Modal di Indonesia. Jakarta, Indonesia: Salemba Empat.
- Dwijayanto A., & Anggriawan, V. (2016). Darmin Nasution: Ekonomi Indonesia Rentan di Sektor Keuangan dan Permodalan. Retrieved from https://bit.ly/32J5CEr
- Ferdinand, A. (2006). Structural Equation Modelling Dalam Penelitian Manajemen. Universitas Diponegoro, Semarang, Badan Penerbit.
- Ghozali, I. (2008). Persamaan Struktural, Konsep dan Aplikasi dengan Program AMOS Ver.5.0. Semarang: BP UNDIP.
- Hady, H. (2010). Manajemen Keuangan Internasional, Edisi Kedua. Jakarta: Mitra Wacana Media.
- Harjito, A. M. (2014). Manajemen Keuangan, Edisi Kedua. Depok: Ekonisia.
- He, J. & Ng, L. K. (1998). The foreign exchange exposure of Japanese multinational corporations. Journal of Finance, 53(2), 733-753. https://doi.org/10.1111/0022-1082.295575 DOI: https://doi.org/10.1111/0022-1082.295575
- Hendar, (2016). BI: Volume Transaksi Hedging Capai US$41,61 Miliar. Retrieved from https://bit.ly/2YeYoc1
- Hoai, N. N., & Thanwadee, H. (2015). Investigating factors influencing profits enhancement in real estate companies in Ho Chi Minh City, Viet Nam. International Journal of Business and Administrative Studies, 1(3), 107-113. https://doi.org/10.20469/ijbas.10005-3 DOI: https://doi.org/10.20469/ijbas.10005-3
- Hosban, A. A. (2016). Accounting disclosure for stock goods and industrial companies IAS 2-An analytical study of industrial companies listed on the Amman Stock Exchange. International Journal of Business and Administrative Studies, 2(2), 24-28. https://doi.org/10.20469/ijbas.2.10001-2 DOI: https://doi.org/10.20469/ijbas.2.10001-2
- Hsu, A., & Utami, F. (2016). Central bank intervention and stock market response. International Journal of Business and Administrative Studies, 2(5), 151-161. https://doi.org/10.20469/ijbas.2.10005-5 DOI: https://doi.org/10.20469/ijbas.2.10005-5
- Ihalauw, J. (2008). Konstruksi Teori: Komponen Dan Proses. Jakarta: Grasindo.
- Indarti, A. W. D. I. (2011). Pengaruh NPM, ROA dan ROE terhadap Harga Saham yang Terdaftar Dalam Indeks Emiten LQ45.
- José L. R. & Laham, J. (2017). The impact of hedging on firm value: evidence from Brazil. Retrieved from https://bit.ly/2Y0zf5u
- Kinata, E. J. (2016). The effect of market volatility and firm size towards the difference of market reaction around stock-split announcement in Indonesia stock exchange. Journal of Administrative and Business Studies, 2(6), 304-313. https://doi.org/10.20474/jabs-2.6.5 DOI: https://doi.org/10.20474/jabs-2.6.5
- Kusumadewi, R. (2015). Pengaruh Earning Per Share (EPS), Return On Asset (ROA), Return On Equity (ROE) dan current ratio (cr) terhadap harga saham pad perusahaan manufaktur yang terdaftar di bursa efek indonesia tahun 2011-2013. Universitas Stikubank.
- Latan, H. G. (2012). SEM: Structural Equation Modeling. Yogyakarta: BPFE.
- Layyinaturrobaniyah., Masyita, D., & Sekartadjie, G. (2016). Fundamental and technical analyses for stock investment decision making. Journal of Administrative and Business Studies, 2(1), 1-7. https://doi.org/10.20474/jabs-2.1.1 DOI: https://doi.org/10.20474/jabs-2.1.1
- Liew, C., & Chou, T. N. (2016). The prediction of stock returns with regression approaches and feature extraction. Journal of Administrative and Business Studies, 2(3), 107-112. https://doi.org/10.20474/jabs-2.3.1 DOI: https://doi.org/10.20474/jabs-2.3.1
- Lin, L. H., Lee, P. H., Wu, C. Y., and Ho, Y. L. (2018). Research on exploration and exploitation of expatriate: Antecedent and follow-up effect. Journal of Administrative and Business Studies, 4(1), 41-53. https://doi.org/10.20474/jabs-4.1.5 DOI: https://doi.org/10.20474/jabs-4.1.5
- Madura, J. (2007). Introduction to business, Canada: Thomson South-Western.
- Meythi T. K. & Rusli, L, (n.d.). Pengaruh Likuiditas dan Profitabilitas Terhadap Harga Saham.
- Mishkin, F. S. & Eakins, S. G. (2003). Financial Markets in Institutions. New York, NY: Pearson.
- Neminno, R. C., Gempes, G. P. (2018). The moderating effect of intellectual capital on the relationship between corporate reputation and knowledge sharing of commercial banks. Journal of Administrative and Business Studies, 4(3), 145-155. https://doi.org/10.20474/jabs-4.3.3 DOI: https://doi.org/10.20474/jabs-4.3.3
- Sitorus, T. & Susi, E. (2017). The Influence of Liquidity and Profitability toward the growth of Stock price mediated by the Dividen Paid out (An Empiricall research at the banks listed in Indonesia Stock Exchange Period 2011-2014). Journal of Economics, Business, and Accountancy Ventura, 19(3), 377-392. https://doi.org/10.14414/jebav.v19i3.582 DOI: https://doi.org/10.14414/jebav.v19i3.582
- Sitorus, T. (2016). The influence of profıtabılıty and debt ratıo toward the value of stock medıated by the issuer’s actıon (empirical study on fishery companies listed on The Indonesia Stock Exchange Period 2008–2014). Asia-Pacific Management and Business Application, 4(3), 96-111. https://doi.org/10.21776/ub.apmba.2016.004.03.1 DOI: https://doi.org/10.21776/ub.apmba.2016.004.03.1
- Subramanyam, K. R. W. & John, J. (2013). Analisis Laporan Keuangan. Jakarta: Salemba Empat.
- Sugiyono, (2010). Metode Penelitian Kuantitatif Kualitatif & RND. Bandung: Alfabeta.
- Sundar, C. S., & Al Harthi, F. N. S. (2015). Impact of capital structure on firm's profitability with reference to companies listed on MSM (Muscat Securities Market). International Journal of Business and Administrative Studies, 1(1), 23- 28. https://doi.org/10.20469/ijbas.10004 DOI: https://doi.org/10.20469/ijbas.10004
- Taechaubol, K. (2017). Investor types and trading of the environment, social and governance stocks in the stock exchange of Thailand. Journal of Administrative and Business Studies, 3(1), 38-48. https://doi.org/10.20474/jabs-3.1.5 DOI: https://doi.org/10.20474/jabs-3.1.5
- Tsai, W. L., & Chang, P.T. (2018). Combining data envelopment analysis and competitive dynamic theory for exploring global smartphone manufacturers' performance. Journal of Administrative and Business Studies, 4(2), 109-125. https://doi.org/10.20474/jabs-4.2.5 DOI: https://doi.org/10.20474/jabs-4.2.5
- Umar, H. (2008). Metode Penelitian untuk Skripsi dan Tesis Bisnis. Jakarta: PT RajaGrafindo.
- Zachary, M. L. (2011). Determinants of exchange rate hedging: An empircal analysis of U. S. small-cap industrial firms. (Master’s thesis), University of Central Florida, Orlando.
References
Afrianti, N. A. (2012). Pengaruh Likuiditas, Solvabilitas dan Pertumbuhan Penjualan Terhadap Pertumbuhan Harga Saham Pada Sektor Industri Barang dan Konsumsi. Universitas Maritim Raja Ali Haji.
Amelia, N. (2016). Causality test between exchange rate, inflation rate and Stock Price Index in Southeast Asia Tifa. Journal of Administrative and Business Studies, 2(2), 101-106. https://doi.org/10.20474/jabs-2.2.5 DOI: https://doi.org/10.20474/jabs-2.2.5
Anjani, B. R., and Baihaqi, I. (2018). Comparative analysis of financial Production Sharing Contract (PSC) cost recovery with PSC gross split: Case study in one of the contractor SKK Migas. Journal of Administrative and Business Studies, 4(2), 65-80. https://doi.org/10.20474/jabs-4.2.2 DOI: https://doi.org/10.20474/jabs-4.2.2
Bahri, C., Mahsina S. E, & Poniwati, M. (2017). The influence of undervaluation, free cash flow, leverage and dispersion of ownerships toward company’s stock repurchase (An empirical study of Indonesia stock exchange public listed companies). Journal of Administrative and Business Studies, 3(5), 235-247. https://doi.org/10.20474/jabs-3.5.3 DOI: https://doi.org/10.20474/jabs-3.5.3
Bartram, S. M. Brown, G. W. & Fehle, F. (2009). International evidence on financial derivatives usage. Financial Management, 38(1), 185-206. https://doi.org/10.1111/j.1755-053X.2009.01033.x DOI: https://doi.org/10.1111/j.1755-053X.2009.01033.x
Birnbo L. & Wernersson, S. (2013). Determinant influence on hedging strategies. University of Gothenburg.
Boyson, N. M., & Mooradian, R. M. (2007). Hedge funds as shareholder activists from 1994-2005. Northeastern University-College of Business Administration.
Brav, A. Wei, J. Frank, P. & Randall, T. (2006). Hedge fund activism, corporate governance and firm performance. Working Paper. https://doi.org/10.2139/ssrn.919300 DOI: https://doi.org/10.2139/ssrn.919300
Brigham, E. F. & Joel, F. (2014). Dasar-Dasar Manajemen Keuangan. Jakarta, Indonesia: Salemba Empat.
Carter, D. Rogers, D. & Simkins, B. (2006). Does hedging affect firm value? Evidence from the US airline industry. Financial Management, 35(1), 53-86. https://doi.org/10.1111/j.1755-053X.2006.tb00131.x DOI: https://doi.org/10.1111/j.1755-053X.2006.tb00131.x
Chen, S. Y. & Chen, L. J. (2011). Capital structure determinants: An empirical study in Taiwan. African Journal of Business Management, 5(27), 10974-10983. https://doi.org/10.5897/AJBM10.1334 DOI: https://doi.org/10.5897/AJBM10.1334
Chow, E. & Chen, H. L. (1998). The determinants of foreign exchange rate exposure: Evidence from Japanese firms. Pacific-Basin Financial Journal. 6(1-2), 153-174. https://doi.org/10.1016/S0927-538X(97)00020-6 DOI: https://doi.org/10.1016/S0927-538X(97)00020-6
Curry S. J. & Winfield, (1994). Success in Investment. London, UK: John Murray Publishers Ltd.
Darmadji, T. F., & Hendy, M. (2012). Pasar Modal di Indonesia. Jakarta, Indonesia: Salemba Empat.
Dwijayanto A., & Anggriawan, V. (2016). Darmin Nasution: Ekonomi Indonesia Rentan di Sektor Keuangan dan Permodalan. Retrieved from https://bit.ly/32J5CEr
Ferdinand, A. (2006). Structural Equation Modelling Dalam Penelitian Manajemen. Universitas Diponegoro, Semarang, Badan Penerbit.
Ghozali, I. (2008). Persamaan Struktural, Konsep dan Aplikasi dengan Program AMOS Ver.5.0. Semarang: BP UNDIP.
Hady, H. (2010). Manajemen Keuangan Internasional, Edisi Kedua. Jakarta: Mitra Wacana Media.
Harjito, A. M. (2014). Manajemen Keuangan, Edisi Kedua. Depok: Ekonisia.
He, J. & Ng, L. K. (1998). The foreign exchange exposure of Japanese multinational corporations. Journal of Finance, 53(2), 733-753. https://doi.org/10.1111/0022-1082.295575 DOI: https://doi.org/10.1111/0022-1082.295575
Hendar, (2016). BI: Volume Transaksi Hedging Capai US$41,61 Miliar. Retrieved from https://bit.ly/2YeYoc1
Hoai, N. N., & Thanwadee, H. (2015). Investigating factors influencing profits enhancement in real estate companies in Ho Chi Minh City, Viet Nam. International Journal of Business and Administrative Studies, 1(3), 107-113. https://doi.org/10.20469/ijbas.10005-3 DOI: https://doi.org/10.20469/ijbas.10005-3
Hosban, A. A. (2016). Accounting disclosure for stock goods and industrial companies IAS 2-An analytical study of industrial companies listed on the Amman Stock Exchange. International Journal of Business and Administrative Studies, 2(2), 24-28. https://doi.org/10.20469/ijbas.2.10001-2 DOI: https://doi.org/10.20469/ijbas.2.10001-2
Hsu, A., & Utami, F. (2016). Central bank intervention and stock market response. International Journal of Business and Administrative Studies, 2(5), 151-161. https://doi.org/10.20469/ijbas.2.10005-5 DOI: https://doi.org/10.20469/ijbas.2.10005-5
Ihalauw, J. (2008). Konstruksi Teori: Komponen Dan Proses. Jakarta: Grasindo.
Indarti, A. W. D. I. (2011). Pengaruh NPM, ROA dan ROE terhadap Harga Saham yang Terdaftar Dalam Indeks Emiten LQ45.
José L. R. & Laham, J. (2017). The impact of hedging on firm value: evidence from Brazil. Retrieved from https://bit.ly/2Y0zf5u
Kinata, E. J. (2016). The effect of market volatility and firm size towards the difference of market reaction around stock-split announcement in Indonesia stock exchange. Journal of Administrative and Business Studies, 2(6), 304-313. https://doi.org/10.20474/jabs-2.6.5 DOI: https://doi.org/10.20474/jabs-2.6.5
Kusumadewi, R. (2015). Pengaruh Earning Per Share (EPS), Return On Asset (ROA), Return On Equity (ROE) dan current ratio (cr) terhadap harga saham pad perusahaan manufaktur yang terdaftar di bursa efek indonesia tahun 2011-2013. Universitas Stikubank.
Latan, H. G. (2012). SEM: Structural Equation Modeling. Yogyakarta: BPFE.
Layyinaturrobaniyah., Masyita, D., & Sekartadjie, G. (2016). Fundamental and technical analyses for stock investment decision making. Journal of Administrative and Business Studies, 2(1), 1-7. https://doi.org/10.20474/jabs-2.1.1 DOI: https://doi.org/10.20474/jabs-2.1.1
Liew, C., & Chou, T. N. (2016). The prediction of stock returns with regression approaches and feature extraction. Journal of Administrative and Business Studies, 2(3), 107-112. https://doi.org/10.20474/jabs-2.3.1 DOI: https://doi.org/10.20474/jabs-2.3.1
Lin, L. H., Lee, P. H., Wu, C. Y., and Ho, Y. L. (2018). Research on exploration and exploitation of expatriate: Antecedent and follow-up effect. Journal of Administrative and Business Studies, 4(1), 41-53. https://doi.org/10.20474/jabs-4.1.5 DOI: https://doi.org/10.20474/jabs-4.1.5
Madura, J. (2007). Introduction to business, Canada: Thomson South-Western.
Meythi T. K. & Rusli, L, (n.d.). Pengaruh Likuiditas dan Profitabilitas Terhadap Harga Saham.
Mishkin, F. S. & Eakins, S. G. (2003). Financial Markets in Institutions. New York, NY: Pearson.
Neminno, R. C., Gempes, G. P. (2018). The moderating effect of intellectual capital on the relationship between corporate reputation and knowledge sharing of commercial banks. Journal of Administrative and Business Studies, 4(3), 145-155. https://doi.org/10.20474/jabs-4.3.3 DOI: https://doi.org/10.20474/jabs-4.3.3
Sitorus, T. & Susi, E. (2017). The Influence of Liquidity and Profitability toward the growth of Stock price mediated by the Dividen Paid out (An Empiricall research at the banks listed in Indonesia Stock Exchange Period 2011-2014). Journal of Economics, Business, and Accountancy Ventura, 19(3), 377-392. https://doi.org/10.14414/jebav.v19i3.582 DOI: https://doi.org/10.14414/jebav.v19i3.582
Sitorus, T. (2016). The influence of profıtabılıty and debt ratıo toward the value of stock medıated by the issuer’s actıon (empirical study on fishery companies listed on The Indonesia Stock Exchange Period 2008–2014). Asia-Pacific Management and Business Application, 4(3), 96-111. https://doi.org/10.21776/ub.apmba.2016.004.03.1 DOI: https://doi.org/10.21776/ub.apmba.2016.004.03.1
Subramanyam, K. R. W. & John, J. (2013). Analisis Laporan Keuangan. Jakarta: Salemba Empat.
Sugiyono, (2010). Metode Penelitian Kuantitatif Kualitatif & RND. Bandung: Alfabeta.
Sundar, C. S., & Al Harthi, F. N. S. (2015). Impact of capital structure on firm's profitability with reference to companies listed on MSM (Muscat Securities Market). International Journal of Business and Administrative Studies, 1(1), 23- 28. https://doi.org/10.20469/ijbas.10004 DOI: https://doi.org/10.20469/ijbas.10004
Taechaubol, K. (2017). Investor types and trading of the environment, social and governance stocks in the stock exchange of Thailand. Journal of Administrative and Business Studies, 3(1), 38-48. https://doi.org/10.20474/jabs-3.1.5 DOI: https://doi.org/10.20474/jabs-3.1.5
Tsai, W. L., & Chang, P.T. (2018). Combining data envelopment analysis and competitive dynamic theory for exploring global smartphone manufacturers' performance. Journal of Administrative and Business Studies, 4(2), 109-125. https://doi.org/10.20474/jabs-4.2.5 DOI: https://doi.org/10.20474/jabs-4.2.5
Umar, H. (2008). Metode Penelitian untuk Skripsi dan Tesis Bisnis. Jakarta: PT RajaGrafindo.
Zachary, M. L. (2011). Determinants of exchange rate hedging: An empircal analysis of U. S. small-cap industrial firms. (Master’s thesis), University of Central Florida, Orlando.