Jamilatul Munawarah and Puji Sucia Sukmaningrum and Muhammad Madyan (2019) Factors Affecting Stock Beta Companies Listed in Jakarta Islamic Index 2012-2016 Period. The 2nd International Conference on Islamic Economics, Business, and Philanthropy (2nd ICIEBP). pp. 264-284. ISSN 2518-668X

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Abstract

This study aims to analyze the effect of earning per share, debt to equity ratio, growth, return on asset and firm size to stock beta in Jakarta Islamic Index in partially and simultaneously.This research uses quantitative approach with linier multiple regression analysis technique. The statistical analysis tools being used is SPSS 23 software. The population in this study are manufacturing companies listed on the Jakarta Islamic Index (JII). The number of samples that meet specified criteria are seven companies listed in Jakarta Islamic Index. The observation period of this study from 2012-2016. The result showed that independent variables are earning per share, debt to equity ratio, growth, return on asset and firm size simultaneously and significantly affect the stock beta in Jakarta Islamic Index. While partially, the earning per share, debt to equity ratio and firm size have positive and significant impact, return on asset has negative and significant impact and growth variables has no significant impact on stock beta in Jakarta Islamic Index 2012-2016 period.

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