determining the decision to buy or sell shares by
investors.
Although the results of hypothesis testing of this
study did not significantly influence, when looking
at the regression coefficient of capital structure
positive in accordance with has been hypothesized
on the research, it can be seen that the direction of
the influence of capital structure to stock return has a
positive influence with the indication that the lower
capital structure produces probability of a small
trend for investors' decision to buy shares.The
statistical analysis states that the capital structure
that influences stock returns is consistent with the
results of research conducted by Susilowati and
Turyanto (2011) which concludes the results of Debt
to Equity Ratios. The positive influence on the firm's
value
Research conducted by Sugiarto (2013) different
results with hypothesis testing in this study that the
capital structure has a negative influence and
significance of stock returns. Explanation of the
results of this study it can be seen that the existence
of the level of capital structure into a priority
consideration for investors in buying and selling
shares.
5 CONCLUSION AND
SUGGESTION
Here are some conclusions from the results of
research: (1) Frequency of stock trading on stock
return shows positive and insignificant effect, this is
proved by obtaining value of regression coefficient
(beta) 0,375 with significance equal to 0,547. (2)
The value of the firm to stock return shows a
positive and insignificant effect. It is proved by
obtaining regression coefficient value (beta) 0,146
with significance equal to 0,621. (3) The level of
financial performance (Profitability ROA) on stock
return shows a positive and insignificant effect. (4)
The level of financial performance (Profitability
ROE) on stock return shows a negative effect and
not significant. (5) The level of financial
performance (Capital Structure) on stock return
shows a positive and insignificant effect on the stock
return by the company on the index Agri in
Indonesia Stock Exchange period 2015-2017.
The suggestions of this research are: (1)
Investors are expected to pay attention to variables
of Trade Frequency, Corporate Value, and Financial
Performance Level (ROA, ROE, and DER) which
have an insignificant effect on Stock Return before
taking the decision to invest in the capital market.
(2) For the next researcher needs to do research on
the factors of Frequency of Stock Trading,
Corporate Value, and Financial Performance Level
(ROA, ROE, DER) that potentially contribute to
Stock Return, for example trading day, dividend
policy, profit, leverage, and other factors.
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