ANALISIS PENGARUH LIKUIDITAS SAHAM, FAKTOR FUNDAMENTAL, DAN RISIKO SISTEMATIK TERHADAP HARGA SAHAM

Abstract

This study aims to examine the statistical effect of Trading Volume Activity (TVA), Return on Equity (ROE), Debt to Equity Ratio (DER), and systematic risk measured by beta on the stock prices of banking companies listed on the Indonesia Stock Exchange (IDX) during 2021–2025. The study uses secondary data from 11 banking companies, resulting in 55 firm-year observations. The data were analyzed using descriptive analysis and multiple linear regression. The results show that TVA has no statistically significant effect on stock price (B = 0.589; p = 0.799), whereas ROE has a positive and significant effect (B = 0.075; p < 0.001). DER has a negative and significant effect (B = −0.137; p < 0.001), while systematic risk (beta) has a positive and significant statistical association with stock price (B = 0.002; p = 0.014). Simultaneously, the four independent variables significantly explain stock-price variation (F = 27.806; p < 0.001). The adjusted coefficient of determination is 0.665, indicating that the model explains 66.5% of the variation in stock prices, while the remaining 33.5% is associated with factors outside the model. The findings should be interpreted as results from pooled multiple linear regression because the observations consist of repeated firm-year data. Keywords: Trading Volume Activity, Return on Equity, Debt to Equity Ratio, systematic risk, stock price.