Analisis Pengaruh Metrik Berbasis Nilai terhadap Volatilitas Pengembalian Saham: Studi Empiris pada Perusahaan Non Keuangan di Bursa Efek Indonesia
DOI:
https://doi.org/10.33753/madani.v8i1.420Keywords:
Value-Based Matrix, Votality of Stock ReturnAbstract
This study aims to analyze the relationship between Economic Value Added (EVA) and Market Value Added (MVA) value-based performance metrics on the volatility of stock returns in the Indonesian capital market, as well as identify the factors that moderate the relationship. Using a quantitative approach with panel data regression analysis, this study examined 150 non-financial companies listed on the Indonesia Stock Exchange during the period 2019-2023. The analysis was conducted using fixed effect and random effect models to test the relationship between EVA, MVA, and stock return volatility by controlling for company size, leverage, profitability, and industry effects. The results showed that EVA had a significant negative relationship with stock return volatility (? = -0.312, p < 0.01), indicating that companies with high economic value creation tend to have more stable stock returns. In contrast, MVA showed a positive but weaker relationship with volatility (? = 0.187, p < 0.05), suggesting that market-based metrics can amplify short-term price fluctuations. The combined model was able to explain 67.8% of the variance of stock return volatility and significantly outperformed traditional metrics. These findings make an important contribution to portfolio managers in building low-risk investment strategies and to company management in increasing shareholder value through sustainable value creation practices.
Abstrak
Penelitian ini bertujuan untuk menganalisis hubungan antara metrik kinerja berbasis nilai Economic Value Added (EVA) dan Market Value Added (MVA) terhadap volatilitas pengembalian saham di pasar modal Indonesia, serta mengidentifikasi faktor-faktor yang memoderasi hubungan tersebut. Menggunakan pendekatan kuantitatif dengan analisis regresi data panel, penelitian ini meneliti 150 perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia selama periode 2019-2023. Analisis dilakukan menggunakan model fixed effect dan random effect untuk menguji hubungan antara EVA, MVA, dan volatilitas pengembalian saham dengan mengontrol ukuran perusahaan, leverage, profitabilitas, dan efek industri. Hasil penelitian menunjukkan bahwa EVA memiliki hubungan negatif signifikan dengan volatilitas pengembalian saham (? = -0,312, p < 0,01), mengindikasikan bahwa perusahaan dengan penciptaan nilai ekonomi yang tinggi cenderung memiliki pengembalian saham yang lebih stabil. MVA menunjukkan hubungan positif namun lebih lemah dengan volatilitas (? = 0,187, p < 0,05), menunjukkan bahwa metrik berbasis pasar dapat memperkuat fluktuasi harga jangka pendek. Model gabungan mampu menjelaskan 67,8% varian volatilitas pengembalian saham dan secara signifikan mengungguli metrik tradisional. Temuan ini memberikan kontribusi penting bagi manajer portofolio dalam membangun strategi investasi berisiko rendah dan bagi manajemen perusahaan dalam meningkatkan nilai pemegang saham melalui praktik penciptaan nilai berkelanjutan.
Kata Kunci: Matrik Berbasis Nilai, Votalitas Pengembalian Saham
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