Effect of EPS, ROE, PER, DPR, and Interest Rate on Stock Prices in the
Jakarta Islamic Index Group from 2014 to 2017
Budiyono
1
and Suryo Budi Santoso
1
1
Magister Management, Universitas Muhammadiyah Purwokerto, Central Java, Indonesia
Keywords: Earning per Share, Return on Equity, Price Earning Ratio, Dividend Payout Ratio, Interest Rate, Stock
Prices
Abstract: The research objective was to analyze the effect of earning per share (EPS), return on equity (ROE), and
price earning ratio (PER), dividend payout ratio (DPR), interest rate on stock prices.
Sampling using purposive sampling method, with the criteria of 10 issuers that have the highest stock
capitalization value in the Jakarta Islamic Index (JII) during the period 2014-2017. Analysis used multiple
linear regressions. This research data passed the classic assumption test.
The results showed that earning per share and return on equity had a significant effect on stock prices,
whereas, price earning ratio, dividend payout ratio, and interest rate have no effect.
1 INTRODUCTION
Investors choose stocks that require historical data
on stock price movements on stock exchanges on an
individual, group, or combination basis. Given that
stock investment transactions occur in every share
with a variety of very complex and different
problems, stock price movements require specific
information. Information that is simple and can
represent a certain condition will realize the problem
map. This is symbolized by numbers or certain
terms. Based on this problem map, investors can
predict the situation that will occur in the future. The
historical mapping system contains a number of
facts and certain quantities that describe changes in
stock prices in the past. The form of historical
information that is considered very appropriate to
describe the movement of stock prices in the past is
a stock price index. The stock price index provides a
description of stock prices at a certain time or a
certain period. The stock price index is a record of
changes and movements in stock prices since the
first time they circulated until a certain time
(Sunariyah, 2011).
A company can obtain its own capital through 2
ways to hold part of its profits and issue new
common shares. If profit is not retained, the profit
will be distributed in the form of dividends.
Investors who receive dividends can use it to buy
shares in other companies. If the profit is retained, it
means that the shareholders reinvest the profits that
are entitled to the company. Therefore shareholders
require that the company must be able to provide a
minimum of the profits that can be obtained by
shareholders on other investment alternatives that
have the same risk as the company's risk (Atmaja,
2003).
2 THEORICAL FRAMEWORK
According to (Husnan, 2005), shares are proof of
company ownership in the form of Limited Liability
Company (LLC). The owner of a company's stock is
referred to as a shareholder and can be said to be the
owner of the company. The responsibility of the
owner of the company in the form of LLC is limited
to the capital deposited. In conducting business
activities including investments in shares, investors
will certainly be faced with potential benefits and
risks. According to (Darmadji and Fakhrudin, 2006),
the benefits of buying shares are as follows:
1. Get Dividends
Budiyono, . and Santoso, S.
Effect of EPS, ROE, PER, DPR, and Interest Rate on Stock Prices in the Jakarta Islamic Index Group from 2014 to 2017.
DOI: 10.5220/0009498812291235
In Proceedings of the 1st Unimed International Conference on Economics Education and Social Science (UNICEES 2018), pages 1229-1235
ISBN: 978-989-758-432-9
Copyright
c
 2020 by SCITEPRESS – Science and Technology Publications, Lda. All rights reserved
1229

Dividends are the distribution of profits given
by the issuing company for the profits generated
by the company. Dividends are given after
obtaining approval from shareholders in the
General Meeting of Shareholders (GMS).
Investors who are entitled to receive dividends
are investors who hold shares up to the time limit
determined by the company at the time of
dividend announcement. Generally dividends are
one of the attractions for shareholders with a
long-term orientation, for example institutional
investors, pension funds, and others. The
dividends distributed by the company can be in
the form of cash dividends and stock dividends.
Cash dividends are given to each shareholder in
the form of cash in certain rupiah amounts for
each share, while share dividends are given to
each shareholder in the form of shares so that the
number of shares held by an investor will
increase with the share dividend distribution.
2. Capital Gain
Capital Gain is the difference between the
purchase price and the selling price. Capital gain
is formed by the trading activity of shares in the
secondary market. Generally, investors with
short-term orientation pursue profits through
capital gains. The investor can buy shares in the
morning, then sell them again in the afternoon if
the stock increases.
Besides these two advantages, it is also
possible for shareholders to get bonus shares (if
any). Bonus shares are shares that are distributed
to shareholders taken from premium shares. The
stock premium is the difference between the
selling price and the nominal price at the time the
company makes a public offering on the primary
market.
In addition to getting profits, buying shares can also
risk as follows:
1. Not Receiving Dividend
The company will distribute dividends if its
operations make a profit. Therefore, companies
cannot distribute dividends if they suffer losses.
In other words, the potential profit of investors to
get dividends is determined by the performance
of the company.
2. Capital Loss
In stock trading activities, investors do not
always get capital gains or profits on the shares
they sell. There are times when investors must
sell shares at a price lower than the purchase
price. Thus, an investor experiences capital loss.
In buying and selling shares, sometimes to avoid
the potential for greater losses as the stock price
continues to decline, an investor is willing to sell
his shares at a low price. This term is known as
cut loss.
3. The company went bankrupt or liquidated
If a company goes bankrupt, of course it has
a direct impact on the company's shares. In
accordance with the rules for listing shares on the
Stock Exchange, if a company goes bankrupt or
liquidated, the shares of the company will
automatically be issued from foam or delisted. In
the condition that the company is liquidated, the
shareholders will be in a lower position than the
creditors or bondholders. This means that after
all the company's assets are sold, the proceeds of
the sale are first distributed to the creditors or
bondholders, and if there are still leftovers, then
distributed to the shareholders.
4. Shares are issued from the Exchange (delisting).
Another risk faced by investors is if the
company's shares are excluded from the listing of
the Stock Exchange or delisted. The company's
shares are delisted from the stock exchange
generally due to poor performance, for example
in a certain period of time they have never been
traded, suffered several years of losses, did not
distribute consecutive dividends for several
years, and various other conditions in accordance
with the Securities Listing Regulations at the
Exchange. Delisted shares are of course not
traded again on the exchange. Even though these
stocks can still be traded outside the stock
exchange, there is no clear price benchmark and
if sold usually at a price much lower than the
previous price.
5. The stock is suspended.
A stock suspended or terminated by the
Securities Exchange Authority causes investors
to be unable to sell their shares until the
suspension is revoked. The suspension usually
takes place in a short time, for example a trading
session, two trading sessions, but can also take
place within a period of several trading days.
This is done by the exchange authority if a share
experiences a tremendous surge in prices, a
company is bankrupt by its creditors, or various
other conditions that require the Exchange
Authority to temporarily stop trading the shares.
The trading of these shares will be resumed until
the relevant company provides confirmation or
other information clarity. Abnormal stock price
movements (caused by unclear information) are
not speculations for investors.
The stock price is very important to know in
advance by investors before deciding on a stock
investment. According to (Darmadji and Fakhrudin,
UNICEES 2018 - Unimed International Conference on Economics Education and Social Science
1230

2006), stock prices are formed because of the
demand and supply of shares. Then, the demand and
supply occur because of many factors, both specific
to the stock and macro nature such as the state of
the economy, social and political conditions, and
information that develops. In other words, the stock
price is the buying and selling price that is being
applied in the securities market which is determined
by market forces, in the sense that it depends on the
strength of demand and supply.
Investors also need to know some ratio analysis
related to company performance. Ratio analysis can
have an impact on the fluctuation of stock prices,
such as Earning Per Share (EPS), Return on Equity
(ROE), Price Earning Ratio (PER), and Dividend
Payout Ratio (DPR). The four ratios are internal
factors that can affect the fluctuation of stock prices.
Earning PerShare (EPS) or income per share is a
form of profit given to shareholders of each share
owned. EPS is obtained from a comparison between
net income after tax and the number of ordinary
shares outstanding. Furthermore, Return on Equity
(ROE) is a ratio that examines the extent to which a
company uses its resources to be able to provide a
return on equity. ROE is obtained from the
comparison between net income after tax and equity.
Whereas, Price Earning Ratio (PER) is a comparison
between market price pershare and earnings per cent
(Fahmi, 2014). According to (Darmadji and
Fakhrudin, 2006) Dividend Payout Ratio (DPR) is a
ratio that measures the ratio of dividends to company
profits. This ratio is used to measure dividend policy
with the Dividend per Share formula : Earning per
Share x 100%. Dividend policy is a decision taken
by a company regarding the distribution of the
company's net profit or the distribution of company
property to shareholders in the form of dividends or
holding in the form of retained earnings
.
According to (Sunariyah, 2011), the interest rate
is the price of a loan. Companies that borrow funds
are charged interest as a price for the source of funds
used. The interest rate is expressed as a percentage
of principal per unit of time. Interest is a measure of
the price of resources used by the debtor that is paid
to creditors. Time units are usually expressed in
units of year (one investment year) or can be shorter
than one year.
The Indonesian capital market was developed
into two major groups of shares. First, conventional
stock groups, while others are sharia stock groups.
Islamic stocks are grouped into one index called the
Indonesian Syariah Stock Index (ISSI). According to
(Sunariyah, 2011), in order to develop the Islamic
Stock Market of the Jakarta Stock Exchange (JSX)
together with PT Danareksa Investment
Management (DMI) has launched a stock index
made based on Islamic sharia namely the Jakarta
Islamic Index (JII). According to (Hartono, 2009),
JII uses a basis dated January 1995 with an initial
value of 100. JII is updated every 6 months, namely
at the beginning of January and July. JII is an index
containing 30 company shares that meet investment
criteria based on Islamic law, with the following
procedure:
1. The selected shares must have been recorded for
at least the last 3 months, except for shares
included in 10 large capitalization.
2. Having a debt to asset ratio should not exceed
90% in annual or mid-year financial statements,
3. From the number 1 and 2 criteria, 60 stocks were
chosen with the largest order of market
capitalization in the last 1 year.
4. Then 30 stocks are selected in the order of the
level of average liquidity in the value of regular
trading over the past year.
3 RESEARCH METHOD
1. Population and sample
According to (Suliyanto, 2009), the population is
the whole object whose characteristics we want
to test. The sample is part of the population
whose characteristics we want to test. The
population used in this study is as many as 30
companies whose shares have been included in
the Jakarta Islamic Index for the 2014-2017
period. In a study two methods can be used in
determining the sample data, namely probability
sampling or non-probability sampling. On
probability sampling, randomly selected data
means that each prospective sample data has the
same opportunity or probability to be selected as
data or samples of a study. Whereas in non-
probability sampling the data used as samples
must meet specific criteria in their selection.
The sampling technique in the Non-
probability sample is purposive sampling which
is based on certain criteria for specific purposes.
The criteria that form the basis of sample
selection are:
a. Companies listed in the Jakarta Islamic
Index on the Indonesia Stock Exchange,
b. Shares traded during the 2014-2017
observation period for the most active
companies.
c. Data needed is available on the website
www.idx.co.id.
Effect of EPS, ROE, PER, DPR, and Interest Rate on Stock Prices in the Jakarta Islamic Index Group from 2014 to 2017
1231

Based on the criteria specified above, a
sample of 17 companies was obtained for the
2014-2017 observation period, then 10 (ten)
large capitalized companies were taken.
2. The Data Analysis Method
a. Regression Analysis
This study uses a multiple regression analysis
method. The regression equation used in this
study is:
Y = α + β
1
x
1
+ β
2
x
2
+ β
3
x
3
+ β
4
x
4
+ β
5
x
5
+ ε
Remaks:
Y = Stock Price
α = intercept/constanta
β
1,
β
2,
β
3,
β
4,
β
5
= partial regression
coefficients of the dependent variable
x
1
= Earning per Share (EPS)
x
2
= Return On Equity (ROE)
x
3
= Price Earning Ratio (PER)
x
4
= Dividend Payout Ratio
x
5
= Interst Rate
ε = error for the i-observation
b. Classic assumption test
According to (Ghozali, 2013), before
estimating the regression coefficient value, it
is necessary to test the classic assumptions as
follows:
1) Normality test, aims to test whether in the
regression model of the confounding or
residual variables have a normal
distribution.
2) Multicollinearity test, aims to test
whether in the regression model used
there is a correlation between independent
variables.
3) Heteroscedasticity test, aims to test
whether in the regression model variance
from residual inequality occurs one
observation to another observation.
4) Autocorrelation test, aims to test whether
in the linear regression model there is a
correlation between the confounding
errors in period t with the interfering error
in period t-1 (before).
c. Goodness of Fit
1) Coefficient of Determination
This test aims to measure how far the
model's ability to explain the variation of
the dependent variable. The small value
of R
2
means that the ability of
independent variables to explain the
dependent variable is very limited.
Conversely, if the value of R
2
is close to
one, it means that the independent
variables provide almost all the
information needed to predict the
dependent variable.
2) Simultaneous Significance Test (F Test)
The F statistical test basically shows
whether all the independent or free
variables included in the model have a
joint effect on the dependent variable.
H0: b1 = b2 = ... = bk = 0, meaning
whether all independent variables are not
significant explanations of the dependent
variable.
HA: b1 ≠ b2 ≠ ... ≠ bk ≠ 0, meaning that
all independent variables simultaneously
are significant explanations of the
dependent variable.
d. Significant Individual Parameter Test (t Test)
The t statistical test basically shows how far
the influence of one independent variable /
explanatory individually in explaining the
variation of the dependent variable.
H0: bi = 0, meaning whether an independent
variable is not a significant explanation of the
dependent variable.
HA: bi ≠ 0, meaning that the variable is a
significant explanation of the dependent
variable.
4 ANALYSIS AND RESULTS
In linear regression analysis there are several
assumptions that must be fulfilled so that the
resulting regression equation will be valid if used to
predict (Santoso and Ashari, 2005). Based on the
results of the classic assumption test, the following
results are obtained:
1. One-Sample Kolmogorov-Smirnov Test
Normality Test obtained the Sig. (2-tailed) of
0.704 > 0.05. This means that standardized
residual values are declared to spread normally.
2. The results of the calculation of Tolerance value
indicate that there is no independent variable
that has a Tolerance value of less than 0.10 and
the value of Variance Inflation Factor (VIF) has
a VIF value of more than 10. So it can be
concluded that there is no multicollinearity
between independent variables in the regression
model.
3. Based on the Heteroscedasticity test with the
Glejser method it is known that the regression
model does not occur symptoms of
heteroscedasticity. This is because of the Sig.
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1232

independent variables on residual absolute
> 0.05.
4. Outocorrelation test results using the Durbin
Watson method, obtained a DW value of 1.985.
Because the DW value is 1985 located between
dU and 4-dU, it can be concluded that the
regression equation model does not contain
autocorrelation problems.
Table 1: Determination Coefficient Hypothesis Test
Results
Model Summary
R
R
Square
Adjusted
R Square
Std. Error
of the Estimate
.914
a
.836
.811
43.38695
Predictors: (Constant), interest rates, price earnings
ratio, earn per share, dividend payout ratio, and
return on equity
Based on Table 1 we see the Adjusted R-Squere
value is 0.81. This means that 81% of the stock price
variable can be explained by variations in the five
independent variables, namely EPS, ROE, PER,
DPR, and interest rates. While the remaining 17% is
explained by other reasons outside the model.
Table 2: F Test Results
a. Dependent Variable: stock price
b Predictors: (Constant), interest rates, price
earnings ratio, earnings per share, dividend payout
ratio, and return on equity
Based on the ANOVA test results in Table 2, the
calculated F value is 34,574 with a significance
value of < 0.05, then the regression model can be
used to predict that EPS, ROE, PER, DPR and
interest rates together influence stock prices.
Table 3: The Results of t Test
Coefficients
a
Model
Unstand
Coef
Stand
Coef
t
Sig.
(Constant)
759.302
16.388
.000
EPS
.002
.683
8.218
.000
ROE
.011
.383
2.987
.005
PER
-.012
-.154
-1.518
.138
DPR
.006
.133
1.433
.161
Tk.Bunga
.502
.009
.127
.899
a. Dependent Variable: harga saham
In Table 3, it can be seen that of the five
independent variables, the EPS and ROE variables
show a sig value of < 0.05, it can be concluded that
EPS and ROE variables have a significant effect on
stock prices. While the PER, DPR, and Interest Rate
variables are > 0.05, it can be concluded that the
effect of the PER, DPR, and Interest Rate variables
on the Stock Price is not significant. Based on the
table above the multiple linear regression equation is
made as follows Y= 759,302 + 0,002X
1
+ 0,011X
2
-0,012X
3
+ 0,006X
4
+ 0,502X
5
+ ε
5 DISCUSSION
1. Effect of Earning per Share (EPS) on Stock
Prices
Referring to table 3, the sig value 0,000
< 0,05 is obtained, then HA is accepted and H0
is rejected. EPS variables have t test 8.218 and
t table 2.032. Because t test > t table can be
concluded that the EPS variable has a positive
and significant effect on stock prices. EPS has a
regression coefficient of 0.683 which means that
every increase in EPS in one unit, then the stock
price rises by 0.683 assuming that the other
independent variables are constant. This result is
in accordance with the research of
(Bratamanggala, 2018), (Wijayanti and
Sulasmiyati, 2018), (Aletheari and Jati, 2016)
that EPS has a significant positive effect on
stock prices.
2. Effect of Return on Equity (ROE) on Stock
Prices
Based on table 3, obtained a value of 0.005
< 0.05, then HA is accepted and H0 is rejected.
ROE variables have t test 2.987 and t table
2.032. So t test > t table can be concluded that
the ROE variable has an influence on stock
prices. So it can be concluded that ROE has a
positive and significant effect on stock prices.
ROE has a regression coefficient of 0.383,
which means that every increase in ROE in one
unit, the stock price rises by 0.383 assuming that
the other independent variables are constant.
Model
Df
F
Sig.
1
Regression
5
34.574
.000
b
Residual
34
Total
39
Effect of EPS, ROE, PER, DPR, and Interest Rate on Stock Prices in the Jakarta Islamic Index Group from 2014 to 2017
1233

These results are consistent with the research of
(Kamar, 2017), (Halim and Basridan Faisal,
2016), and (Susilowati, 2015), that ROE has a
significant positive effect on stock prices.
3. Effect of Price Earning Ratio (PER) on Stock
Prices
If seen in table 3, the sig value is 0.138 >
0.05, then HA is rejected and H0 is accepted.
PER variable has t test -1.518 and t table 2.032.
So t test < t table can be concluded that the
variable PER has no effect on stock prices. So it
can be concluded that PER does not have a
significant effect on stock prices. PER has a
regression coefficient value of -0.154. This
means that every increase in PER per unit, the
stock price decreases by 0.154 assuming that the
other independent variables are constant. This
result is different from the research of (Astuty,
2017), (Suselo et al., 2014), (Ervinta, 2013)
which states that PER has a positive and
significant effect on stock prices.
4. Effect of Dividend Payout Ratio (DPR) on Stock
Prices
Based on table 3, the sig value is 0.161 >
0.05, then HA is rejected and H0 is accepted.
The DPR variable has a t test of 1.433 and t table
of 2.032. So t test < t table can be concluded that
the DPR variable has no effect on stock prices.
PER has a regression coefficient of 0.133, which
means that every increase in DPR is one unit,
then the stock price rises by 0.133 assuming that
the other independent variables are constant.
This result is different from the research of
(Jahfer and Mulafara, 2016), (Wijaya R.Z.,
2017.) which states that the DPR has a positive
but not significant effect on stock prices.
5. Effect of the Effect of Interest Rates on Stock
Prices
In the coeficients column in table 3, there is a
sig value of 0.899 > 0.05, then HA is rejected
and H0 is accepted. The Interest Rate variable
has a t test of 0.127 and t table of 2.032. So t test
< t table can be concluded that the interest rate
variable has no effect on stock prices. So it can
be concluded that the interest rate does not have
a significant effect on stock prices. The interest
rate has a regression coefficient of 0.009, which
means that every increase in one unit of interest
rates, the stock price rises by 0.009 assuming
that the other independent variables are
constants. This result is different from (Satoto
and Budiwati, 2013) research which states that
the BI rate has a positive effect on stock prices.
While the results of his research by (Kristanti
and Lathifah, 2013), state that the BI rate has a
negative effect on stock prices.
6 CONCLUSIONS
Based on the results of testing using multiple linear
regression analysis with a sample of 10 companies
listed in the Jakarta Islamic Index in the period
2014-2017, it can be concluded:
1. Variables Earning Per Share has a positive and
significant effect on stock prices in 10
companies listed in the Jakarta Islamic Index
with the largest capitalization value in the 2014-
2017 period.
2. Variable Return on Equity has a positive and
significant effect on stock prices in 10
companies listed in the Jakarta Islamic Index
with the largest capitalization value in the 2014-
2017 period.
3. Price Earning Ratio variable has a negative but
not significant effect on stock prices in 10
companies listed in the Jakarta Islamic Index
with the largest capitalization value in the 2014-
2017 period.
4. Variables Dividend Payout Ratio has a positive
and insignificant effect on stock prices in 10
companies listed in the Jakarta Islamic Index
with the largest capitalization value in the 2014-
2017 period.
5. Variable Interest Rates have a not significant
positive effect on stock prices in 10 companies
listed in the Jakarta Islamic Index with the
largest capitalization value in the 2014-2017
period.
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Effect of EPS, ROE, PER, DPR, and Interest Rate on Stock Prices in the Jakarta Islamic Index Group from 2014 to 2017
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