ISSN: Volume 2, Issue 9, February 2016

Transcription

1 EFFECT OF RETURN ON TOTAL ASSETS (ROA), TOBIN S Q AND ECONOMIC VALUE ADDED (EVA) ON TRADING VOLUME ACTIVITY (TVA) OF LQ 45- INDEX STOCKS LISTED IN INDONESIA STOCKS EXCHANGE (IDX) Mia Laksmiwati, SE, MM¹ Sugeng Priyanto, SE, MM² 1,2 Faculty of Economics, Universitas Budi Luhur Jakarta Jalan Ciledug Raya, Petukangan Utara, Daerah Khusus Ibukota Jakarta 12260, Indonesia ABSTRACT This study has an objective to determine the partial and simultaneous effects of Return on Asset (ROA), Tobin's Q and Economic Value Added (EVA) on Trading Volume Activity (TVA). The samples were taken purposively under criteria: (1) the companies had been go public on the Stocks Exchange during , (2) the companies published financial reports during the study period, and (3) the company's data samples are available at Capital Market Information Center, The data collected from the company's financial statements. It then analyzed using multiple regression analysis. The study result addressed several variables that affect the level of Trading Volume Activity is Tobin's Q ratio and Economic Value Added, whereas, the variables that did not affect the level Trading Volume Activity is Return on Assets. Simultaneously three variables namely Return on Assets, Tobin's Q ratio and Economic Value Added affects Trading Volume Activity though very small. In other words, there are three variables which simultaneously had significant effects on the Trading Volume, eg, Return on Assets, Tobin's Q ratio whereas Economic Value Added only has small effect. In other words, these three variables has been significantly influence the Trading Volume Activity. Keywords: return on assets, Tobin's Q, Economic Value Added and Trading Volume Activity 1

2 INTRODUCTION Recently with the development of financial knowledge, there are many investors who can choose their investments type, such as money market investment, capital market, foreign exchange market and real money market (Mishkin, 2007). In the sector, they can invest their money in deposits, with a relatively small interest rate, but safer and more secure when compared to other investment alternatives. In the capital market, investors can invest their funds in various stocks, bonds or other securities such as mutual funds (Lazonick, 2000). Indeed, comparing to the money market, the higher returns will also contain higher potential risks, especially if their fund is invested in high-gain stocks. The various investment alternatives and their risks have forced investors or prospective investors to constantly monitor and analyze financial information, eg, macroeconomic and non-economic information in order to take the right decisions and accurate investment type (Manigart, 2000). Performance of a company has been a factor that is also very important to be used as consideration in deciding the investment type, especially stocks (Brynjolfsson, 2000). By analyzing the financial statements of a public company, we can determine the opportunities to gain the investment returns. The greater the opportunity to get the return then it will increasingly attract investors or prospective investors to buy the stocks. The higher the hopes of getting a return level, then the investor will take higher activities on their stocks trading transactions. The trading volume is an instrument that indicates the stocks market reaction to information through parameter of stocks volume traded in the market (Chakravarty, 2004). The volume of stocks trading is the ratio between the numbers of stocks traded at certain times of the number of stocks outstanding at any given time. In making the investment decisions, a rational investor would consider the risk and expected the profit rate. Therefore, investors should do the analysis before deciding their action to buy stocks. In conducting the analysis, investors need suitable information (Jones, 2007). The existence of published information will alter investor confidence which can be seen from the market reaction. One of the market reactions is a reaction of volume of stocks trading or so-called trading volume (Blanco, 2

3 2010). Trading volume is a measure of the volume of particular stocks that is traded, indicating the ease of trading the stocks. The amount of trading volume can be determined by observing the stocks trading activity which can be seen through the trading volume activity indicator (Trading Volume Activity / TVA). Trading Volume Activity (TVA) is an indicator that can be used to look at the stocks market reaction toward the information through parameter of the movement of trading volume in the stocks market. Changes in trading volume in the stocks market showed the trading activity on the stock market and reflected the investor s decisions (Baker, 2007). Lower stocks price after stocks split will increase the small investor to make an investment that will show the more liquid stocks. This will increase the frequency of transactions affecting the volume of stocks trading. The information required by potential investors can be obtained from the financial reports published by issuers each time period (Carpenter, 2002). In these financial statements, it can be known from the performance of the issuer. It is commonly used ratios are allegedly associated with fluctuations in stocks trading on the exchange. Profitability ratio according to Kashmir (2010: 115) is the ratio for assessing the company's ability to gain and provides a measure of management effectiveness of a company. Profitability ratios are also called Return On Assets. The level of Return On Assets (ROA) showed the ability of assets to generate company net profit. According to Agus Sartono (2010, p.123), the higher Return On Assets (ROA), the possibility of dividend payment will also increase. Thus for long-term, investors will be concerned with profitability analysis. This is because they consider that the real benefit is what they received in the dividends. The bigger the dividend will further attract investors to buy stocks so that the higher the trading volume activity. Tobin's Q or also called Q or Q Theory Ratio is a measure for assessing intangible assets or intellectual capital of a company such as monopoly power, managerial systems and growth opportunities, because this is the intellectual capital of a company is often judged more by the market. Tobin's Q Ratio can be used to measure the company's performance, especially on the value of the company which showed their performance in asset management. The higher company value and their stocks price, the higher attractive of the prospective investors 3

4 to buy the stocks. Their investor interest will increase the transaction of trading volume on the market. Performance assessment of a company can be seen from their company's ability to generate profits (Zéghal, 2010). Profit is an indicator of a company's ability to meet obligations to persons having the funds. In addition, it is also a tool for the creation of company value that indicates the prospects and expectation of the company's future. Investment in securities in the capital markets allows investors to diversify / variety of investment, thus forming a portfolio according to the risk they were willing to bear the expected profit rate (Bodie, 2009). The performance assessment of Economic Value Added (EVA) approach led managerial and shareholders attention to drive the shareholders to invest and get a higher return stocks (Aglietta, 2000). For the management, EVA is used to select investments options that maximize returns and minimize capital cost. EVA can be used to identify projects that provide a higher return than the capital cost. The activities or projects with current value has positive EVA indicates that the project contains higher corporate value which should be taken by investors (Stern, 2001). However, the project activities that are not profitable are no suggested to be taken. The use of EVA in evaluating the project will encourage managers to conduct an evaluation of the level of project risk. EVA indicates how far the company has created value for the capital owners, especially for the stocks investors. With higher EVA stocks, it is expected investors gain higher return (Ross, 2008). Furthermore, it will improve and attract investors to buy the stocks that improve the trading volume activity. This study collected the sample of the public company stocks which included in LQ 45 in period LQ-45 is an index containing stocks with high capitalization and most liquid. Based on explanation above, the researchers interested in conducting research entitled Effect of Return on Total Assets (ROA), Tobin s Q and Economic Value Added (EVA) on Trading Volume Activity (TVA) of LQ 45- Index Stocks Listed in Indonesia Stocks Exchange (IDX)

5 PROBLEM FORMULATION ISSN: Based on the research background as described above, the research problem in this study is formulated as follows: 1. How does the partial effect of Return on Total Assets (ROA) on Trading Volume Activity (TVA) among the stocks of LQ 45 index in the Indonesia Stocks Exchange period ? 2. How does Tobin's Q Ratio partially impacted on Trading Volume Activity (TVA) among the stocks of LQ 45 index in the Indonesia Stocks Exchange year period ? 3. How does the Economic Value Added partially impacted on Trading Volume Activity (TVA) on stocks of LQ 45 index in the Indonesia Stocks Exchange year period ? 4. How does the Return on Total Assets (ROA), Tobin's Q ratio and Economic Value Added simultaneously impacted to the Trading Volume Activity (TVA) on stocks of LQ 45 index in the Indonesia Stocks Exchange year period ? RESEARCH METHODS The research method is a process to obtain data in a certain way that is systematic to obtain adequate results in scientific way. The characteristics of scientific way are rational, empirical and systematic. Rational means that the research activities carried out in a way that makes sense and affordable from the human reasoning. Empirical has meaning that the way can be observed by human senses, so that the others can observe and learn how to use. Systematic means that the process used in the study using certain steps that are logical. In this study, it used multiple linear regression analysis, because the variables more than one independent variable that could be expected to affect the dependent variable. SOURCES AND DATA COLLECTION TECHNIQUES This study has used secondary data in the form of financial statements of public companies which their stocks indexed in the LQ 45 index listed in Indonesia Stocks Exchange and also published on 5

6 DATA ANALYSIS TECHNIQUES The data analysis technique in this study was multiple regression analysis which processed using statistical software SPSS version It will obtain overall description about the relationship between the dependent variables on the other variables. In this case, the dependent variable is Trading Volume Activity (TVA) (Y) and the independent variable is the Return on Assets (ROA) (X1), Tobin's Q Ratio (Q Ratio) (X2), and Economic Value Added (EVA) (X3). From the research model, it can be compiled mathematical model for the multiple linear regression method (Multiple Linear Regression Method) as follows: Y = α + β1x1 + β2x2 + β3x e where: Y = Trading Volume Activity (TVA). α = Constant. β1 - β3 = regression coefficient of each independent variable. X1 = Return On Asset (ROA) X2 = Tobin's Q (Q Ratio) X3 = Economic Value Added (EVA) e = Error error term 6

7 RESULTS AND DISCUSSION bel 1: Descriptive Statistics ISSN: ean d. Deviation N _TVA _ROA , _TOBIN S Q , Ln_EVA Source: SPSS 21.0 Output Results Table 1 showed the descriptive Statistics Analysis which described the average value of all variables tested both dependent and independent. 7

8 Tabel 2 : Correlations Ln_TVA Ln_ROA Ln_TOBIN S Q Ln_EVA Ln_TVA 1,000 -,113 -,004 -,118 Pearson Correlation Ln_ROA -,113 1,000 -,388,400 Ln_TOBI N S Q -,004 -,388 1,000 -,949 Ln_EVA -,118,400 -,949 1,000 Ln_TVA.,261,491,254 Sig. (1-tailed) Ln_ROA,261.,012,010 Ln_TOBI NS Q,491,012.,000 Ln_EVA,254,010,000. Ln_TVA N Ln_ROA Ln_TOBI NS Q Source: Sports Results Data SPSS 21.0 Ln_EVA Based on Table 2: Correlations seen the correlation of each independent variable on the dependent variable, namely: The relationship between Trading Volume Activity (TVA) toward Return on Assets (ROA) was It has a meaning that the relationship between the two variables is weak. The negative correlation indicated that the relationship between Trading Volume 8

9 Activity (TVA) and Return on Assets (ROA) was in the opposite direction. It means that if the Return on Assets was increased by the Trading Volume Activity decreases and vice versa. Since the significance value (Sig.) was which is smaller than 0.05 (0.261 <0.05). The value had meaning that both variables were not significant. The relationship between Trading Volume Activity (TVA) and Tobin's Q Ratio (TQR) was It has meaning that the relationship between the two variables was very weak. The negative correlation indicated that the relationship of both variables had opposite direction. It means if Tobin's Q Ratio (TQR) increases, the Trading Volume Activity (TVA) decreases and vice versa. If seen from the figures of significance (Sig.) Of greater than 0.05 (0.491> 0.05), meaning that the relationship between the variables Trading Volume Activity (TVA) with Tobin's Q Ratio (TQR) does not occur a significant correlation. The relationship between variables of Trading Volume Activity (TVA) with EVA resulted value of which meaning that the relationship between the two variables was weak. The negative correlation indicated that the relationship between the Trading Volume Activity (TVA) with EVA had opposite direction which meaning that if EVA increases then Trading Volume Activity (TVA) decreases and vice versa. From the figures of significance value (Sig.) Of was greater than 0.05 (0.254 <0.05), it had meaning that the relationship between Trading Volume Activity (TVA) with the Economic Value Added (EVA) bring insignificant correlations. bel 3 : Model Summary c Model R R Square Adjuste d R Square Std. Error of the Estimate R Square Change Change Statistics Change df1 df2 Sig. F Change Durbin- Watson 1,394 a,155,071,99223,155 1,88 330,162 2,385 b,148,093, ,007, ,623 2,099 Predictors: (Constant), Ln_EVA, Ln_ROA, Ln_TOBIN SQ Predictors: (Constant), Ln_EVA, Ln_TOBIN SQ 9

10 Dependent Variable: Ln_TVA Table 3 showed the Summary Model with determination coefficient of (9.3%), it has meaning that the fluctuations in Trading Volume Activity (TVA) can be explained by the variables of Return on Assets (ROA), Tobin's Q Ratio (TQR) and Economic Value Added (EVA) of 9.3% and the remaining 80.7% is influenced by other variables such as the negative sentiment on the stocks exchange, political issues etc. Tabel 4 : Coefficientsa Model Unstandardized Coefficients St andardize d Coefficien ts t Sig. Correlations Collinearity Statistics B St Beta Zero - order artial Part Tolerance VIF (Constant) 1,657 4,029,411,684 Ln_ROA -,128,258 -,091 -,497,623,113 -,090 -,083,839 1,192 1 Ln_TOBIN S Q -,377,171-1,173 2,199,036,004 -,373 -,369,099 10,101 Ln_EVA -,272,122-1,194 2,227,034,118 -,377 -,374,098 10,213 10

11 (Constant) 1,969 3,931, Ln_TOBIN S Q -,374,169-1,165 2, ,369 -,367,099 10,002 Ln_EVA -,278,120-1,223-2, ,385 -,385,099 10,002 a. Dependent Variable: Ln_TVA Source: Sports Data SPSS version 21.0 From the analysis result as showed in Table 4 about the Coefficientsa, it explained the effect of Return on Assets (ROA), Tobin's Q Ratio (TQR) and Economic Value Added (EVA) on Trading Volume Activity (TVA). Based on the table 4.16 the regression formula can be written as follows. Ln_Y TVA= , 374 Tobin s Q Ratio (TQR) 0, 278 Economic Value Added (EVA) The regression line above can be explained as follows: a. Constant value of means that if TOR and EVA value are zero then the TVA is b. TQR coefficient value of means that if EVA value is zero, if TQR increased by 1 unit, then TVA will decrease by 0.374, and vice versa. This can happen if TQR decreases then investors are not attracted to invest in companies stocks with low TQR. This means the profits also declined so that the dividend will also be decreased. The investors concern to lose their dividends will trigger them to sell their stocks which impact on increased TVA. c. EVA coefficient value of means that if TOR value is zero, then EVA increased by 1 unit whereas TVA will decrease by This can happen if EVA decreased then it means that the profits also declined so that the investors gained decreased dividend. The 11

12 investors concern to lose the dividends has triggered them to sell the stocks which causing higher TVA. CONCLUSION Based on the discussion above, it can be concluded as follows: 1. The variables that affect the level Trading Volume Activity (TVA) were Tobin's Q ratio and Economic Value Added (EVA). 2. Variables that do not affect the level of Trading Volume Activity is Return on Assets 3. Simultaneously, the three variables, eg, Return on Assets, Tobin's Q ratio and Economic Value Added (EVA) affected the Trading Volume Activity (TVA) although their effects were very small. In other words, the variables or factors outside of these three variables can have more significant influence on Trading Volume Activity (TVA. these variables were positive sentiment, political issues etc. REFERENCES Aglietta, M. (2000). Shareholder value and corporate governance: some tricky questions. Economy and Society, 29 (1), Algifari (2010). Statistika Deskriptif Plus untuk Ekonomi dan Bisnis.Ed 1.UPP Sekolah Tinggi Ekonomi Manajemen YKPN.Yogyakarta Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Bodie, Z. (2009). Investments. Tata McGraw-Hill Education. Brigham, E.F. & Houston, J.F. (2011). Alih Bahasa Ali Akbar Yulianto.Dasar Dasar Manajemen Perusahaan.Salemba Empat.Jakarta Brynjolfsson, E., & Hitt, L. M. (2000). Beyond computation: Information technology, organizational transformation and business performance. The Journal of Economic Perspectives,

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