2013 SYIAH KUALA UNIVERSITY October 2-4, 2013. AAC Dayan Dawood, Darussalam, ,

thrd THE 3 ANNUTHE 5 ANNUALAL INTERN INTERNAATIONALTIONAL C CONFERENCEONFERENCE S SYIAHYIAH K KUALAUALA UNIVER UNIVERSITYSITY (AIC – UNS(AIC - UNSYIAH)YIAH) IN CIN ONJUNCCONJUNCTIONTION WITH WITH THE 2 INTERNTHEnd 8th CHEMICALATIONAL C ENGINEERINGONFERENCE ON MUL ON SCIENCETIDISCIPLIN AND APPLICAARY RESETION ARCH (ChESA)(ICMR)

AAC Dayan Dawood, Darussalam - Banda Aceh, Indonesia October 2-4, 2013

SOCIALBOOK OF ABS SCIENCESTRA CHAPTERCTS

AAC Dayan Dawood, Darussalam - Banda Aceh, Indonesia September 9 - 11 , 2015

SYIAH KUALA UNIVERSITY PRESS 2013 ISSN : 2089-208X Proceeding of The 5th Annual International Conference in conjunction with The 8th Chemical Engineering on Science and Application 9-11 September 2015, Banda Aceh - Indonesia

Editor in Chief: Dr.rer.pol. Heru Fahlevi M.Sc (Syiah Kuala University, Indonesia)

Editors: Dr. Hasan Basri (Syiah Kuala University, Indonesia) Dr. M. Shabri Abd. Majid, M.Ec (Syiah Kuala University, Indonesia) J-Prof. Dr. Sebastian Vollmer (Georg-August-Universität Göttingen, Germany) Associate Professor Anthony Kuo Ph.D (Fu Jen Catholic University, Taiwan) Dr. Yunisrina Qismullah Yusuf, S.Pd., M. Ling (Syiah Kuala University, Indonesia) Assistant Professor Dr. Pairote Bennui (Thaksin University, Thailand) Associate Professor Dr. Jane Teng Yan Fang (Universiti Pendidikan Sultan- Idris, Malaysia) Professor Dr. Ian Robottom (Deakin University, Australia) Associate Professor Dr. Mohammad Ali Salmani Nodoushan (Iranian Institute for Encyclopedia Research, Indonesia) Dr Astri Yulia, S.Pd., M.S. (Syiah Kuala University, Indonesia)

ISSN: 2089-208X

Copyright © 2015

Printed September 2015 Message from the Rector

Assalamu’alaikum Wr. Wb.

Ladies and gentlemen, it is an honor indeed to open this conference, the 5th Annual International Conference (the 5th AIC) in conjunction with the 8th Chemical Engineering on Science and Application (the 8th ChESA) conference. On behalf of Syiah Kuala University or Unsyiah, I would like to extend a warm welcome to all participants and our speakers who are with us to make this a notable and exciting event.

This year, Unsyiah commemorates its 53rd anniversary. As part of the celebration, the university has held a number of events, including this interdisciplinary conference from September 9- 11, 2015. At Unsyiah,we emphasize the excellence in education and research, and are also committed to innovation and technology. Today, we are facing more challenges in these spheres, therefore, as members of the academic community; we have a duty to find innovative research solutions for them. Hence, this conference is an excellent forum for experts, professionals, researchers, and students, to present, share, and discuss their knowledge and experiences with all of us. As a result, it is a privilege to host you, not just this year, but for years to come, to give and provide opportunities to contribute lasting and practical solutions to the challenges that confront us from time to time.

This conference includes keynote speeches, oral and poster parallel sessions on topics in the field of sciences, life sciences, engineering, social sciences, and ChESA. We thank our keynote and invited speakers for their contribution, time and support for this conference. Heartfelt appreciation goes to all the authors of the selected papers for their effort and hard work. I also thank the organizing committee of the conference for their exertion in making this event successful. I wish to encourage them to continue more events and other initiatives as well. To support and sustain important research linkage for dialogue and facilitate ideas exchange such as this will certainly generate many new discoveries in years to come.

Finally, I wish you a wonderful stay in Banda Aceh. Please enjoy our university’s pleasant learning environment and our city’s appealing offer in food and tourism. I am sure the committee of this conference extends their warm hospitality to make your brief stay positively memorable.

Thank you.

Prof. Dr. Ir. Samsul Rizal, M.Eng.

Message from the Chairman

Assalamu’alaikum Wr. Wb.

I take this occasion to cordially welcome all participants of the 5th Annual International Conference (or AIC) in conjunction with the 8th Chemical Engineering on Science and Application (or ChESA) conference. This conference is held in the heart of our campus, Syiah Kuala University or Unsyiah, Banda Aceh, from September 9 to September 11, 2015. Unsyiah, the home of 12 notable faculties and one school of postgraduate studies, is one of the major state universities in Indonesia. Its pleasant surroundings in a city with remarkable history are a spotlight for this congregation. We are assured that the 200 scientific participants contribute to productive discussions and exchanges that impact the success of this conference. Participants from 10 countries; Indonesia, Malaysia, Thailand, South Africa, Japan, Singapore, Taiwan, Germany, England, Australia countries have marked the conference to be in an international scope.

I would like to express my gratitude to the Research Institute of Syiah Kuala University or Lembaga Penelitian (Lemlit) and the committee members for helping us with full force in organizing the conference. The conference and proceedings are a credit to a large group of people and everyone should be proud of the outcome.There are four plenary speakers covering the different areas of the conference. From science and engineering, there is Prof. Dr. Evamarie Hey-Hawkins from University Leipzig, Germany. From ChESA, there is Dr. Kazuaki Syutsubo from the National Institute for Environmental Studies (NIES), Japan. From life sciences, there is Associate Professor Dr. Ororat Mongkolporn from Kasetsart University, Thailand. And finally from social sciences, there is Professor Dr. Patrick Daly from National University of Singapore. Their talks cover the full range of the conference topics.

We are delighted with the vast responses of 166 submissions from researchers and practitioners. The knowledge bases that we are aiming to generate on the conferences topics are overwhelming due to the involvement of these experts from various fields of studies. Their papers are published in the proceedings to provide permanent records of what has been presented. The proceedings are divided into Life Sciences, Engineering, Social Sciences, and ChESA sections, and the 158 papers published here exhibit the current state of development in all aspects of important topics that are instrumental to all researchers in the field. They have succeeded in bringing together various aspects of developments and innovations in knowledge and technology that will benefit not only the academic community, but society itself.

It is hoped that this conference does not only provide a member meet, but also offer a common platform for academia and practitioners to discuss issues related to their field of studies. We also wish everyone a pleasant stay in Banda Aceh and have a taste of our best traditional culinary.

Thank you, Prof. Dr. drh. Darmawi, M.Si

CONTENT – Social Sciences

Editorial Board Message from the Rector Message from the Chairman No Scientific Papers Pages Keynote Speaker: The Aftermath of Aid: Assessing safety and sustainability in Aceh, Indonesia a decade after the 2004 1 tsunami Patrick Daly (Australia)

A. Economics 2 1 A Poverty Analysis Of Small Fishermen in Banda Aceh 3 Indra and Muhammad Nasir (Indonesia) 2 Behind a cup of coffee: challenges faced by smallholder coffee farmers in Gayo Highland, Indonesia 10 Wardah Hasyim (United Kingdom/Indonesia) 3 Factors Affecting the Food Security of Farmer Households in Aceh Province 17 Srinita (Indonesia) 4 Does Government’s aid matter? Community Recovery Post 2014 24 Kelud Eruption Muhammad Riza Nurdin (Australia) The Impact of Rice Assistance for the Poor (Raskin) on the Demand Elasticity of Food in the Low Income Population in Aceh 25 5 Suriani, Diana Sapha, Cut Zakia Rizki (Indonesia) The Relationship between Interest and Inflatiotowards Bank 6 Profit and Bad Credit at Bank Aceh 35 Ghazali Syamni, Qisfir and Dini Rizki (Indonesia) An Economic Evaluation of Galian C Mining on People’s Welfare 7 Aceh Utara 40 Rusydi Abubakar and Irham Fahmi (Indonesia)

B. Management and Business 44 A Study of the Establishment of South City 8 45 Fernandes Simangunsong (Indonesia) The Impact of Acquisition on Acquirer companies’ Financial 9 Performance 60 Muhammad Syukur and Fauziah A. Fitri (Indonesia) The Relation of Profitability and Solvability to Price Earning Ratio and Price to Book Ratio (An Empirical Study on Manufacturing 10 66 Companies Listed on The Indonesia Stock Exchange) Heru Fahlevi and Geubrina Ria Andarint (Indonesia) The Moral Hazard on Financing in the Indonesian Banks 11 74 Evi Mutia and M. Akhyar Hafiz (Indonesia) The Influence of Capital Structure, Trading Volume, and Market 12 Capitalization on Stock Return (An Empirical Study on LQ45 85 Index Companies Listed on The Indonesia Stock Exchange) Rahmi Nabila and Evayani (Indonesia) The Influence of Liquidity, Profitability, and Dividend Payout Ratio to Stock Price (An Empirical Study on LQ45 Companies 13 93 Listed on The Indonesia Stock Exchange) Nurjannah and M. Rizal Yahya (Indonesia) The Impact of Indonesia Presidential Election Year 2014 on Abnormal Return and Trading Volume Activities of Stocks in 14 Indonesia Stock Exchange (Event Study on Advertising Printing 100 Media Stocks Listed on IDX) Rahmawaty and Riezky Ryatun Putri (Indonesia) Creating Brand Image by Using Epic Model Among Management Post Graduate Students at Syiah Kuala University Banda Aceh (A 15 107 Study at Aqua Television Ads) Yusniar and Sulaiman (Indonesia) Towards better Financial Reporting and Accountability: The Role 16 of Auditing in Public Sector Institutions 117 Intan Farhana and Hasan Basri (Indonesia) Creating Market Orientation and Business Culture to Increase 17 SMEs’ Performance in Aceh Provinsi 123 Muhammad Adam (Indonesia) Application of Importance Performance Analysis in Assessing the 18 Service Quality of Night Bus Transportation 133 Kurnia Asni and Syafruddin Chan (Indonesia) Interdependence Model of Human Resources System, 19 Organizational Strategy and Organizational Performance 146 Audia Junita (Indonesia) The Implementation of CAMEL and Earning Management in 20 Private Commercial Banks of Foreign Exchange in Indonesia 152 Chairil Akhyar, Ria Aristantia, and Ghazali Syamni (Indonesia) Customer Satisfaction at Hospital Service – A Literature Study 21 157 Halimatussakdiah and Ade Irma Suryani (Indonesia) The Influence of Profitability, Leverage, Liquidity and Asset Management on Bond Ratings (Empirical Study on Non-Financial 22 Company Listed on Indonesia Stock Exchange Year 2012-2014) 163 Jerryanda Pratama Putra, Mulia Saputra, and Muhammad Arfan, (Indonesia) Stock Market Calendar Anomalies: An Empirical Evidence from 23 Indonesia 170 Faisal (Indonesia) Monitoring of Manager and Competitive Advantage of Financial 24 Institutions: Banks and Non-Bank 179 Jummaini, Said Musnadi,Naufal Bachri (Indonesia) The Credibility and Performance of Islamic Banking - 25 Reconceptualizing the Model Service-Profit Chain 187 Abdul Rahman Lubis and Naufal Bachri (Indonesia) Antecedents of Brand Loyalty for Mobile Telecommunications 26 Services 196 Mariyudi (Indonesia) Salniza Bt Md. Salleh and Zolkafli Husin (Malaysia) 27 The Customer Trust toward Islamic Banks - A study based on 205 marketing approach Hafasnuddin (Indonesia) A Survival Story of A Print Newspaper in Malaysia: A Case Study of Berita Harian 28 214 Siti Suriani Othman, Mohd Faizal Kasmani, Rosidayu Sabran, Noor Adzrah Ramle (Malaysia) The Effects of Special Autonomy Fund and Oil and Gas Revenue Sharing on Education Spending and the Quality of Education: The 29 215 case of Districts and Cities in Aceh Isa, M., Islahuddin, and Nadirsyah (Indonesia) Simplifying Financial Accounting for Fund Control – 30 Lessons from Villages in Aceh 221 Dasmi Husin (Indonesia) Brand Image and Behavior of Aceh Society 31 229 Adnan and Syamsul Bahri (Indonesia)

C. Art, History and Education 235 Linking Acehnese Students’ Motivation in English Language 32 Learning to their English Scores 236 Yunisrina Qismullah Yusuf, Nurul Inayah, Munilya Maulida (Indonesia) Multimedia-Based Worksheet as Teaching Material in the 33 Material of Sub Invertebrates 243 Ruqiah Ganda Putri Panjaitan and Titin (Indonesia) The Indonesian EFL students’ Expectation towards their Native 34 English Speaking Teachers 250 Sofyan A.Gani,Tengku Maya Silviyanti, and Dara Junita (Indonesia) Authentic Materials in Teaching English as a Foreign Language in 35 Syiah Kuala University Indonesia 256 Diana Fauzia Sari (Indonesia) The Importance of Course Design in an ELT Class 36 262 Diana Achmad and Rahmi Fhonna (Indonesia) The Correlation between Reading Motivation and Reading 37 Achievement of EFL Learners 267 Zulfadli A. Aziz, Yunisrina Qismullah Yusuf, Moriyanti (Indonesia) A Linguistic Tsunami: an early warning system for languages at 38 risk 274 Zulfadli A. Aziz (Indonesia) and Rob Amery(Australia) Investigating Teacher-Centered Approach in Relation to Teacher’s Religious Beliefs and Attitudes in Teaching Chemistry 39 282 in the Classroom Habibati (Indonesia) Analysis Graphically of Description Students and High School 40 Teachers about Atom Concept 289 A.Halim, Susilawati, and Susanna (Indonesia) The Roles of Action Research in Strengthening Professional 41 Practice of English Teachers 296 Yusnimar (Indonesia) Promoting Environmental Awareness of Pre-service Chemistry 42 302 Teacher Through Learning Enriched values Sulastri, Dasim Budimansyah, and Wahyu Sopandi (Indonesia) Inclusive Education Approach to Build an Entrepreneurial Character of Children 43 309 Ike Junita Triwardhani, O. Hasbiansyah, Anne Maryani and Dede Lilis Ch, (Indonesia) The Development of Volcanism Pop-up Book for Junior High 44 School 318 Sri Adelila Sari and Marhamah (Indonesia) Developing Chemistry Practicum Module With Science, 45 Technology, Engineering, and Mathematics Approach 323 M. Adlim, Latifah Hanum, and Ayunda Ahlaini Melala Toa (Indonesia) Using Manipulatives to Teach Linear Equations 46 331 Linda Vitoria (Indonesia) Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia

The Influence of Capital Structure, Trading Volume, and Market Capitalization on Stock Return (An Empirical Study on LQ45 Index Companies Listed on the Indonesia Stock Exchange Period 2009- 2013)

1Rahmi Nabila and 2Evayani

1International Accounting Program, Faculty of Economic, Syiah Kuala University, Darussalam, Banda Aceh 23111, Indonesia; 2Department of Accounting, Faculty of Economic, Syiah Kuala University, Banda Aceh 23111, Indonesia; *Corresponding Author: [email protected]

Abstract Investors make a lot of effort to choose the best companies to invest. They would consider so many aspects in order to determine the right company based on the risk they would want to take. This paper analyzed the impetus of the movement in stock return by taking into account the capital structure, trading volume, and market capitalization as the determinants. Using multiply linier regression model, we observe the LQ45 Index as it contains the most liquid companies which usually also have bigger market value amongst the companies listed in Indonesia Stock Exchange. We examined how capital structure, trading volume, and market capitalization promote the fluctuation on stock return of companies of LQ45 Index from year 2009-2013 using secondary data with lagged time. The results suggest that capital structure, trading volume, and market capitalization are the determinants of stock return. However, it appears that market capitalization affects stock return in adverse manner which indicates that the higher level of market capitalization drives the stock return to declines and vice versa. Key words: Stock return, capital structure, trading volume, market capitalization, LQ45

Introduction Capital market never guarantees a positive return for every investor. It is a matter of knowledge, prediction, and experience in the stock market that guide investors to forecast the chance they have in the market. A company might perform well in decades and earns everyone’s trust that it is a good and profitable company yet it suddenly declares or gives sign of bankruptcy. For instance, Bumi Resources Tbk scandal. The company has a stock price of around Rp8.000 and the price kept falling and reached Rp600 in the beginning of September. The stock price of the company keeps decreasing and it is recorded that the price now is under Rp90. The solvability ratio of the company was poor as it suggested how the company failed to pay its debt. The profit margins dropped while the production expense rose which will lead to financial bankruptcy. Another example is the collapse of Lehman Brothers. It filed for bankruptcy on September 2008. Those cases made the investors feel at risk because the cash they put in a company might diminish as it stock price declines and it can happen to any firm, anywhere, any time. There are more of scandals that happened to large or small entities. These sudden falls down are the evidences showing that even famous big firms can go to bankruptcy and there is no exact protection for investment especially stock investment. Regardless, stock investment will still give return that can be predicted by many aspects. Capital gain which is acquired from the change of stock price actually can be foretold from the capital structure, trading volume,

85 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia and market capitalization of a company. There are growing amounts of evidence that these factors affect stock return. According to Subramanyam and Wild (2008:552), capital structure explains how a company finances itself, with the combination of equity financing and debt financing. The capital structure is very important to a company because it determines how the company earns its capital and how it manages it. However Baker and Martin (2011:138) mentioned in their book that capital structure and value of a firm does not link to each other, which means that capital structure is not directly relevant to investors’ decisions. Even so, many researches and study showed that capital structure matters.

Another factor that has impact on stock return is trading volume. Karnadjaja et al., (2007:241) mentioned that trading volume is the quantity of shares traded in a day or in a certain period. Theoretically trading volume and stock return have significant statistical relationship. Investors believe that stock price is well figured in the amount of trading volume and use it as the main technical indicators in predicting price movement in the stock market.

On the other hand, market capitalization also one of the factors that influences stock return. Market capitalization is the current price of a stock multiplied by the total outstanding shares, therefore, market capitalization is a market value of a company. In other words, market capitalization is the amount of money someone has to pay to acquire a company since it represents the latest price of it. Irawan and Murhadi (2012) pointed out that only book to market and size or market capitalization has positive influence on stock return.

The purpose of this paper is to examine the effect of capital structure, trading volume, and market capitalization on stock return of companies listed in LQ45 index. The researcher is interested in doing the research of LQ45 index companies since it is the most liquid stock out of Indonesia Stock Exchange which is quite the main choice for investment as they show the most frequently-active traded and provide clear and sufficient information of financial report in general. The paper is organized as follows. Section 1 introduces the background of the research. Section 2 briefly describes the literature review of the theories. Section 3 discusses the research method. The result is discussed in section 4 and section 5 concludes the paper.

Literature Review Return Return is what an investor obtains from an investment activity. It is a general measurement an investor uses to quantify his or her investment. Stock return is the total of gains consists of capital gain and dividend and is calculated by dividing the total of all gains with the initial cash of investment (Hafer and Hein, 2007:44-45). Stock return normally will be presented in a percent number towards the investment an investor put in. Stock return is grouped into two which is expected return and realized return. Expected returns are the return that are anticipated by the investors in the future. They are ex ante and uncertain ex post (Ilmanen, 2011:57). Realized returns are the return that has been obtained by the investor and based on historical data of return which is also useful for forecasting the expected returns.

Hafer and Hein (2007:43) mentioned that shareholders may acquire return in two forms, dividends and capital appreciation. Capital appreciation is derived from difference of initial stock price when bought by investors between the selling price of the stock which is done by the investors. Dividend is a kind of profit distribution that investors get as other economic benefit from stock investment activities. There are several types of dividends, two of them are cash dividend which is common form a company pays regularly and stock dividend that is paid in form of shares (Biedenweg, 2009:17). According to Sunaryo (2007:82), total returns can be calculated using the following formula:

− + D = 86 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia

Explanation R total : Total returns St : Stock price of period t St-1 : Stock price before period t D : Dividend

Capital Structure Moyer et al., (2011:471) pointed out that capital structure refers to the composition of debt, preferred stock, and common equity. A company is independent if the equity used for its operational funding is much greater compare than other element of financing. Nevertheless, bigger debt in financing may reduce the tax that end up with increasing profit. According to Subramanyam and wild (2008:555) the formula of DER ratio can be computed as follows:

Long − Term Debt = As for this study, DER (Debt to Equity Ratio) Equityis used to proxy and as a representative of capital structure. Debt to equity ratio is measured by dividing long-term debt to equity (Maheshwari, 2008:191). DER indicates how well a company can pay its long-term debt and how the creditors are protected based on the company policies about debt. It depicts the proportion of long term funds and the funds from the owners’ source. In this case, debt only consists of long term debt and short term debt is not included since debt calculated here is interest-bearing debt (Patra, 2006:266). However, in general use debt means the total liability which is the combination of both long-term and current liabilities.

Trading Volume Trading volume is the amount of shares of a particular company that is traded in any given time or period within a price that seller party and buyer party agree (Fontanills and Gentile, 2006:118). Volume is pictured in a bar shape on a stock chart. Investors and traders would use trading volume as technical indicators to predict the price movement of the stock (Ong, 2011:101). High frequent of traded shares explains the high liquidity of the shares. Lo and Wang (2001:8) pointed out that trading volume is measured using share turnover formula. The market turnover ratio is more favorable to be used compared to raw volume since it includes stock splits and right issues as part of shares outstanding (Groenewold et al., 2004:116). The turnover ratio is written as follows:

Share Turnover =

Where Vjt is the traded share volume of company stock j at time t and Nj is the total number of shares outstanding of stock j.

Market Capitalization According to Shetty and Jayaswal (2006:149), market capitalization is the current price of a company. Someone can own an entity by providing an amount of cash equal to the latest market capitalization of that entity. They also mentioned that market capitalization is calculated by multiplying the outstanding shares issued by a business entity with its current stock price. Market capitalization = outstanding shares x current stock price

Firms listed in any index are categorized by its market capitalization. There are three types; big market capitalization, middle market capitalization, and small market capitalization. According to Sekar (2011:22) Big market capitalization means a company is worth equal to or more than Rp5.000.000.000.000. Big market cap companies are known as 'bluechips’ stock in the stock market as they are liquid or actively traded and the financial and management information normally will be provided by the companies. Middle market

87 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia capitalization is companies with value of Rp1.000.000.000.000-Rp5.000.000.000.000. Those entities’ stocks are known good but not as much as the big market cap firms. Their frequencies of stock traded would be lower, therefore, less liquid. The information are sometimes would neither be complete nor transparent. Companies categorized in small market capitalization are valuable under Rp1.000.000.000.000. Those companies stock are rarely traded which is why they are called sleeping stocks since its trading activities are extremely unseen. An accurate and clear information are too in the same manner, that is would not be available. However, the range of market capitalization in every country is different for each class of market capitalization.

Research Method The purpose of this study is to describe situations and events. The wide variety of object observed will be explained accurately and precisely. The investigation type the study is quantitative research which is done by hypotheses testing and generalizing the result. The theory generalized will be found in the ending part of the research which is written as conclusion. The study setting of the research is natural or non-contrived. As in this study, the unit analysis will be in individuals form since the object of the research is the companies listed in LQ45 Index which will be observed as separate data. Time horizon of this study is cross-sectional study which is also known as transversal study. Cross-sectional study is chosen since the data collected is multiple populations at a certain point of time in order to compare many variables. Cross-sectional study let the researcher observe the objects without controlling the study environment.

The population in this research is the firms of LQ45 index that are listed in Indonesia Stock Exchange. LQ45 is chosen since the companies listed in the index are the most liquid and actively traded in the stock market. They also provide reachable and transparent financial report periodically. The data acquired is secondary data which the researcher got from ICMD (Indonesia Capital Market Directory). The population size is determined as population targeting which means the population was established as they are eligibility and meet certain criteria.

Based on the criteria determined, the total amount of sample derived as much as 24 companies. Table 1 shows the list of population of this research :

NO COMPANY NAME CODE 1 Astra Agro Lestari Tbk AALI 2 Adaro Energy Tbk ADRO 3 Aneka Tambang (Persero) Tbk ANTM 4 Astra International Tbk ASII 5 Bank Central Asia Tbk BBCA 6 Bank Negara Indonesia (Persero) Tbk BBNI 7 Bank Rakyat Indonesia (Persero) Tbk BBRI 8 Bank Danamon Indonesia Tbk BDMN 9 Bank Mandiri (Persero) Tbk BMRI 10 Vale Indonesia Tbk INCO 11 Indofood Sukses Makmur Tbk INDF 12 Indika Energy Tbk INDY 13 Indocement Tunggal Prakasa Tbk INTP 14 Indo Tambangraya Megah Tbk ITMG 15 Jasa Marga (Persero) Tbk JSMR 16 Kalbe Farma Tbk KLBF 17 Lippo Karawaci Tbk LPKR 18 PP London Sumatera Indonesia Tbk LSIP 19 Perusahaan Gas Negara (Persero) Tbk PGAS 20 Bukit Asam Persero Tbk PTBA 21 Semen Gresik (Persero) Tbk SMGR

88 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia

22 Telekomunikasi Indonesia (Persero) Tbk TLKM 23 United Tractors Tbk UNTR 24 Unilever Indonesia Tbk UNVR

Result and Discussion In this study, the researcher used partial test to see the effect of each independent variable; DER, trading volume, and market capitalization on stock return as the dependent variable. Table 2 shows the outcome of the test. Table 2 Regression Result Model Unstandardized Standardized Coefficients Coefficients B Std. Error Beta T Sig. 1 (Constant) ,370 ,118 3,126 ,002 DER ,036 ,017 ,215 2,134 ,036 VOLUME 2,976 2,103 ,141 1,415 ,161 MARCAP -3,281E-15 ,000 -,353 -3,503 ,001 a. Dependent Variable: RETURN

According to the table 4.5, the equation of the multiple linear regression equation can be made as follows: Y = 0,370 + 0,036X1 + 2,976X2 - 3,281E-15X3 + e

The beta coefficient value of DER, trading volume, and market capitalization is not equal to zero for each. Therefore, the result suggests that every independent variable has significant influence on dependent variable and all independent variable simultaneously have significant effect on independent variable that is stock return. Based on the table 2, the partial test result for DER as independent variable on stock return as independent variable has the value of beta coefficient which is not identical as zero or 0,036 in detail. It indicates that capital structure that is proxied by DER has significant effect on stock return. The result demonstrates that DER (Debt to Equity Ratio) appears as a reliable information for the investors in choosing the right company to invest so that they can get a high returns.

Debt to Equity Ratio (DER) which is chosen as the proxy of capital structure is found to be directly influence the fluctuation in stock return. It goes with the trade-off theory substantiated by Modigliani and Miller. It stated that high leverage in fact gives advantage for the company. It’s related to the payment of the interest for it is tax deductible. As a result, the cost of capital is reduced and the stock return is maximized (Periasamy, 2009:275). The finding in this research is similar with the research conducted by Arista (2012) who investigated the fundamental factors consist of ROA (Return on Asset), DER (Debt to Equity Ratio), EPS (Earning per Share), and PBV (Price to Book Value) simultaneously and partially as independent variables on stock return. The result suggest that DER (Debt to Equity Ratio) and PBV have significant effect on stock return. In addition, Yang et al., (2010) concluded in their research that debt level actually matters for the stock return changes for it encourages the fluctuation of the stock price as positive influence.

The table also shows that trading volume has value of beta coefficient as 2,976 which mean it gives positively significant effect on stock return. The trading volume which is measured by turnover ratio is counted as substantial information to predict stock return. The regression model finds that trading volume has a meaningful effect on stock return in positive manner. This is in line with the common sense of trading volume where higher trading volume brings bigger returns of ordinary shares. High trading volume indicates that a particular stock is actively traded and very liquid, therefore, trading volume influences the price movement with direct proportional. As the price fluctuates, the deviation between the initial cash invested with the current price also changes at the same time. The investors interpreted that trading volume takes into account in describing these changes, which is

89 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia why the investors are assure about investing in the stock with a high trading volume. The result is on the same page with the research conducted by Kurniasari (2007). She found that trading volume plays an important role in determining the stock return. The result of a study conducted by Zhang (2010) also suggests that trading volume is positively correlated with the stock price. As mentioned above, the fluctuation of the price drives the stock return correspondingly.

The third hypothesis is examined to see if market capitalization has a meaningful effect on stock return. The result of the test shows that the beta coefficient value of market capitalization is - 3,281E-15. This means that market capitalization is negatively influence the stock return. Market capitalization is considered as valuable information for the investors as it describes how well a company does in the market by seeing the market value of the company. Theoretically, companies with big market capitalization are favorable for the investors since they are highly worth in the market and are believed to perform well throughout the year. However, the research finds that market capitalization affects stock return in negative manner which means that if market capitalization increase, the stock return will decline. Vice versa, if the investors want more returns, then they have to choose companies with smaller market capitalization to instill their idle cash. Zhou and Shon (2012:139) pointed out that market capitalization is a strong negative predictor of returns. Small capitalization stocks tend to have more volatile returns compared to the big market capitalization stocks. In regards, Bares (2011:104) mentioned in his book that the smallest companies generate superior returns. This finding supports the research result of Dempsey (2009). He found that stock of the smallest companies outperform the largest market value and those small-market value companies also generate much more return than the biggest market cap companies.

The amount of each beta coefficient value for each variable is not equal to zero which means that DER, trading volume, and market capitalization simultaneously have significant effect on stock return.

Coefficient Determination Testing Coefficient determination testing is executed in order to see the contribution of independent variables that is capital structure, trading volume, and market capitalization in explaining the changes in dependent variable which is stock return. The coefficient determination value is derived from adjusted R square (R2). Therefore, the adjusted R square result gives a picture of how the capital structure, trading volume, and market capitalization influence the fluctuation of stock returns. Table 3 shows the result of adjusted R square (R2). Table 3 Coefficient of Determination Model Adjusted R Std. Error of R R Square Square the Estimate Durbin-Watson dim1 ,428a ,183 ,154 ,54691 1,164 ensi on0 a. Predictors: (Constant), MARCAP, VOLUME, DER b. Dependent Variable: RETURN

The adjusted R square value shown in the table 3 is 0,154 which means that 15,4% of the varieties percentage of stock return can be explained by the independent variable of this research which are capital structure, trading volume, and market capitalization. It adduces that the independent variables influence the stock return by 15,4% while the rest of 84,6% is the impact of other factors excluded from the independent variables that are investigated in this study.

Conclusion

90 Proceedings of The 5th Annuual International Conference Syiah Kuala University (AIC Unsyiah) 2015 In conjunction with The 8th International Conference of Chemical Engineering on Science and Applications (ChESA) 2015 September 9-11, 2015, Banda Aceh, Indonesia

This study is conducted to find the factors of what drive stock return by investigating how capital structure, trading volume, and market capitalization affects stock return both separately and simultaneously. The research findings suggest that capital structure which is proxied by Debt to Equity Ratio (DER), trading volume, and market capitalization simultaneously works on the volatility of the stock return of a stock in Indonesia stock market (IDX). Each independent variable also partially influence the stock return movement; capital structure and trading volume positively influence the stock return, while market capitalization gives negative impact or reverse effect on stock return. This indicates that all hypothesis of the research are accepted. The adjusted R square resulting from the regression model is 15.4% which means that independent variable can explain the movement of the share returns as much as 15.4% whereas the rest of 84.6% is assigned by other factors that were not included in the study. Therefore, the discovery of the research supports the theories and some previous studies conducted by economists and stock market researchers. It can be concluded that capital structure, trading volume, and market capitalization play important roles in determining the stock return which implies that the investors can rely on the information provided by the company consist of these factors. Accordingly, capital structure, trading volume, and market capitalization should be considered as valuable information for the investors in making decision towards their company choice of investment.

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