PERAN CORPORATE GOVERNANCE DAN FINANCIAL CAPABILITY TERHADAP VOLATILITAS RETURN SAHAM
Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh Corporate Governance dan financial capacity terhadap volatilitas return saham pada masa krisis. Objek penelitian yaitu perusahaan yang terdaftar di Bursa Efek Indonesia. Variabel Corporate Governance berdasarkan jumlah direktur dan persentase komisaris independen, sementara financial capacity berdasarkan profitabilitas, leverage, arus kas operasi, dan ukuran perusahaan. Metode analisis yang digunakan adalah regresi linier berganda dengan jumlah sampel sebanyak 510 perusahaan. Data tahun 2019 digunakan untuk mengukur variabel independen, sedangkan volatilitas return saham sebagai variabel dependen menggunakan data tahun 2020, yang merepresentasikan periode krisis akibat pandemi COVID-19. Hasil penelitian menunjukkan bahwa jumlah direktur, profitabilitas, leverage, arus kas operasi, dan ukuran perusahaan berpengaruh signifikan terhadap volatilitas return saham. Sebaliknya, persentase komisaris independen tidak menunjukkan pengaruh yang signifikan. Temuan ini mengindikasikan bahwa praktik corporate governance yang efektif, khususnya melalui keberadaan jumlah direktur yang memadai, serta kapasitas finansial yang kuat berdasarkan profitabilitas, arus kas operasi, dan ukuran perusahaan dapat mereduksi volatilitas saham pada masa krisis. Di sisi lain, tingkat leverage yang tinggi meningkatkan risiko volatilitas return saham.
References
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Kim, J. B., Li, X., Luo, Y., & Wang, K. (2020). Foreign Investors, External Monitoring, and Stock Price Crash Risk. Journal of Accounting, Auditing and Finance, 35(4), 829–853. https://doi.org/10.1177/0148558X19843358
Le, L. Q. (2024). Assessing the in uence of corporate governance on stock return volatility in the Vietnam context. 24(3), 119–139.
Leuz, C., & Verrecchia, R. E. (2002). The Economic Consequences of Increased Disclosure. CFA Digest, 32(1), 3–4. https://doi.org/10.2469/dig.v32.n1.1001
Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38(march 2020), 101690. https://doi.org/10.1016/j.frl.2020.101690
Meliza, Novitasari, & Citradika, D. P. (2024). PENGARUH STRUKTUR MODAL TERHADAP HARGA SAHAM JIMEA | Jurnal Ilmiah MEA ( Manajemen , Ekonomi , dan Akuntansi ). JIMEA | Jurnal Ilmiah MEA ( Manajemen , Ekonomi , Dan Akuntansi ), 8(2), 1–11.
Mezhoud, M., Sghaier, A., & Boubaker, A. (2017). The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange. Bulletin of Applied Economics, 4(1), 1–12.
Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1–2), 215–260. https://doi.org/10.1016/s0304-405x(00)00071-4
Nofsinger, J. R. (2005). Social Mood and Financial Economics. Journal of Behavioral Finance, 6(3), 144–160. https://doi.org/10.1207/s15427579jpfm0603_4
OJK. (2018). Indonesia Corporate Governance Manual, Second Edition. Indonesia Corporate Governance Manual, Second Edition. https://doi.org/10.1596/30122
Phan, T. D., Hoang, T. T., & Tran, N. M. (2022). Cash flow and financial distress of private listed enterprises on the Vietnam stock market: A quantile regression approach. Cogent Business and Management, 9(1). https://doi.org/10.1080/23311975.2022.2121237
Pillai, R., & Al-Malkawi, H. A. N. (2018). On the relationship between corpoPillai, R., & Al-Malkawi, H. A. N. (2018). On the relationship between corporate governance and firm performance: Evidence from GCC countries. Research in International Business and Finance. https://doi.org/10.1016/j.ribaf. Research in International Business and Finance. https://doi.org/10.1016/j.ribaf.2017.07.110
Puspitaningrum, D., & Atmini, S. (2012). Corporate Governance Mechanism and the Level of Internet Financial Reporting: Evidence from Indonesian Companies. Procedia Economics and Finance, 2(Af), 157–166. https://doi.org/10.1016/s2212-5671(12)00075-5
Rogers, P., & Roberto Securato, J. (2009). Corporate governance and volatility in the capital markets: Brazil case study. Corporate Ownership and Control, 7(1 A), 43–54. https://doi.org/10.22495/cocv7i1p4
Sari, D. M., & Zaitul, Z. (2024). Corporate Governance and Stock Return Volatility. AKADEMIK: Jurnal Mahasiswa Ekonomi & Bisnis, 4(2), 904–919. https://doi.org/10.37481/jmeb.v4i2.790
Sekaran, U., & Bougie, R. (2016). Research Method for Business Textbook: A Skill Building Approach. John Wiley & Sons Ltd.
Setiawan, R., Handiliastawan, I., & Jafar, R. (2020). Commissioner board characteristics, ownership concentration, and corporate performance. Jurnal Keuangan Dan Perbankan, 24(2), 131–141. https://doi.org/10.26905/jkdp.v24i2.3827
Shahid, M. S., & Abbas, M. (2019). Does corporate governance play any role in investor confidence, corporate investment decisions relationship? Evidence from Pakistan and India. Journal of Economics and Business. https://doi.org/10.1016/j.jeconbus.2019.03.003
Sharma, N. (2017). Corporate Governance Mechanisms in India. International Journal of Advance Research and Development, 2(5), 132–137.
Sherif, M., El-Diftar, D., & Shahwan, T. (2024). Do Internal Corporate Governance Practices Influence Stock Price Volatility? Evidence from Egyptian Non-Financial Firms. Journal of Risk and Financial Management, 17(6). https://doi.org/10.3390/jrfm17060243
Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb04820.x
Suryani, A. P., & Aminah, W. (2023). Operating cash flow on financial distress. JHSS (Journal of Humanities and Social Studies), 07(03), 755–761.
Sutrisno, B. (2020). The Determinants of Stock Price Volatility in Indonesia. EAJ (Economic and Accounting Journal), 3(1), 73–79. https://doi.org/10.32493/eaj.v3i1.y2020.p73-79
Uddin, M., Chowdhury, A., Anderson, K., & Chaudhuri, K. (2021). The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty? Journal of Business Research, 128(January), 31–44. https://doi.org/10.1016/j.jbusres.2021.01.061
Van Essen, M., Engelen, P. J., & Carney, M. (2013). Does “good” corporate governance help in a crisis? The impact of country- and firm-level governance mechanisms in the European financial crisis. Corporate Governance: An International Review, 21(3), 201–224. https://doi.org/10.1111/corg.12010
Villanueva-Villar, M., Rivo-López, E., & Lago-Peñas, S. (2016). On the relationship between corporate governance and value creation in an economic crisis: Empirical evidence for the Spanish case. BRQ Business Research Quarterly, 19(4), 233–245. https://doi.org/10.1016/j.brq.2016.06.002
Zulfikar, R., Lukviarman, N., Suhardjanto, D., Ismail, T., Astuti, K. D., & Meutia, M. (2020). Corporate governance compliance in banking industry: The role of the board. Journal of Open Innovation: Technology, Market, and Complexity, 6(4), 1–18. https://doi.org/10.3390/joitmc6040137
Aliyah, Kusumawardhani, R., & Prima Sari, P. (2024). The Effect of Good Corporate Governance on Stock Return Volatility During the Covid-19 Pandemic on Tourism Companies Listed on The Indonesia Stock Exchange in 2019-2022. Journal of Management, Economic and Financial, 2(1), 1–12.
Aloui, M., & Jarboui, A. (2018). The effects of corporate governance on the stock return volatility: During the financial crisis. International Journal of Law and Management, 60(2), 478–495. https://doi.org/10.1108/IJLMA-01-2017-0010
Anila, K. M., Inayati, T., & Fatimah, F. (2023). Pengaruh Leverage dan Profitabilitas terhadap Volatilitas Harga Saham dengan Kebijakan Dividen sebagai Variabel Intervening Sebelum dan Selama Covid-19. Owner, 7(3), 2234–2245. https://doi.org/10.33395/owner.v7i3.1514
Ayu, P. C., & Sumadi, N. K. (2019). Pengaruh Profitabilitas, Kepemilikan Manajerial, Dan Kepemilikan Institusional Terhadap Nilai Perusahaan. Widya Akuntansi Dan Keuangan, 87–104. https://doi.org/10.34010/jemba.v1i2.6091
Bae, K. H., Baek, J. S., Kang, J. K., & Liu, W. L. (2012). Do controlling shareholders’ expropriation incentives imply a link between corporate governance and firm value? Theory and evidence. Journal of Financial Economics, 105(2), 412–435. https://doi.org/10.1016/j.jfineco.2012.02.007
Dewi, R. M., Anggraeni, L., & Irawan, T. (2023). Indonesian Stock Market Return Volatility and Foreign Portfolio Capital: Evidence Before and During Covid-19 Pandemic. Jurnal Aplikasi Bisnis Dan Manajemen, 9(1), 152–162. https://doi.org/10.17358/jabm.9.1.152
Doku, J. N., Abdul-Razak Borowa, H., Mohammed, I., & Attah-Botchwey, E. (2023). Impact of corporate board size and board independence on stock returns volatility in Ghana. Cogent Business and Management, 10(2). https://doi.org/10.1080/23311975.2023.2204597
Forbes, D. P., & Milliken, F. J. (1999). Cognition and corporate governance: Understanding boards of directors as strategic decision-making groups. Academy of Management Review, 24(3), 489–505. https://doi.org/10.5465/AMR.1999.2202133
Hanafi, M. M., & Halim, A. (2018). Analisis informasi keuangan. UPP STIM YKPN.
Handayani, H., Muharam, H., Mawardi, W., & Robiyanto, R. (2018). Determinants of the Stock Price Volatility in the Indonesian Manufacturing Sector. International Research Journal of Business Studies, 11(3), 179–193. https://doi.org/10.21632/irjbs.11.3.179-193
Hermalin, B. E., & Weisbach, M. (2004). Boards of Directors as an Endogenously Determined Institution: A Survey of the Economic Literature. CFA Digest, 34(1), 21–22. https://doi.org/10.2469/dig.v34.n1.1410
Hewamana, R., Siriwardhane, D., & Rathnayake, A. (2022). Determinants of Stock Price Volatility: A Literature Review. South Asian Journal of Finance, 2(1), 28–55. https://doi.org/10.4038/sajf.v2i1.44
Hoang, H. V., Nguyen, C., & Nguyen, D. K. (2022). Corporate immunity, national culture and stock returns: Startups amid the COVID-19 pandemic. International Review of Financial Analysis, 79(November 2021), 101975. https://doi.org/10.1016/j.irfa.2021.101975
Huang, H. H., Chan, M. L., Huang, I. H., & Chang, C. H. (2011). Stock price volatility and overreaction in a political crisis: The effects of corporate governance and performance. Pacific Basin Finance Journal, 19(1), 1–20. https://doi.org/10.1016/j.pacfin.2010.08.001
Jensen, M. C. (1993). The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1993.tb04022.x
Jensen, M. C., & Meckling, W. H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3, 305-360. https://doi.org/10.1016/0304-405X(76)90026-X
Kim, J. B., Li, X., Luo, Y., & Wang, K. (2020). Foreign Investors, External Monitoring, and Stock Price Crash Risk. Journal of Accounting, Auditing and Finance, 35(4), 829–853. https://doi.org/10.1177/0148558X19843358
Le, L. Q. (2024). Assessing the in uence of corporate governance on stock return volatility in the Vietnam context. 24(3), 119–139.
Leuz, C., & Verrecchia, R. E. (2002). The Economic Consequences of Increased Disclosure. CFA Digest, 32(1), 3–4. https://doi.org/10.2469/dig.v32.n1.1001
Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38(march 2020), 101690. https://doi.org/10.1016/j.frl.2020.101690
Meliza, Novitasari, & Citradika, D. P. (2024). PENGARUH STRUKTUR MODAL TERHADAP HARGA SAHAM JIMEA | Jurnal Ilmiah MEA ( Manajemen , Ekonomi , dan Akuntansi ). JIMEA | Jurnal Ilmiah MEA ( Manajemen , Ekonomi , Dan Akuntansi ), 8(2), 1–11.
Mezhoud, M., Sghaier, A., & Boubaker, A. (2017). The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange. Bulletin of Applied Economics, 4(1), 1–12.
Morck, R., Yeung, B., & Yu, W. (2000). The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics, 58(1–2), 215–260. https://doi.org/10.1016/s0304-405x(00)00071-4
Nofsinger, J. R. (2005). Social Mood and Financial Economics. Journal of Behavioral Finance, 6(3), 144–160. https://doi.org/10.1207/s15427579jpfm0603_4
OJK. (2018). Indonesia Corporate Governance Manual, Second Edition. Indonesia Corporate Governance Manual, Second Edition. https://doi.org/10.1596/30122
Phan, T. D., Hoang, T. T., & Tran, N. M. (2022). Cash flow and financial distress of private listed enterprises on the Vietnam stock market: A quantile regression approach. Cogent Business and Management, 9(1). https://doi.org/10.1080/23311975.2022.2121237
Pillai, R., & Al-Malkawi, H. A. N. (2018). On the relationship between corpoPillai, R., & Al-Malkawi, H. A. N. (2018). On the relationship between corporate governance and firm performance: Evidence from GCC countries. Research in International Business and Finance. https://doi.org/10.1016/j.ribaf. Research in International Business and Finance. https://doi.org/10.1016/j.ribaf.2017.07.110
Puspitaningrum, D., & Atmini, S. (2012). Corporate Governance Mechanism and the Level of Internet Financial Reporting: Evidence from Indonesian Companies. Procedia Economics and Finance, 2(Af), 157–166. https://doi.org/10.1016/s2212-5671(12)00075-5
Rogers, P., & Roberto Securato, J. (2009). Corporate governance and volatility in the capital markets: Brazil case study. Corporate Ownership and Control, 7(1 A), 43–54. https://doi.org/10.22495/cocv7i1p4
Sari, D. M., & Zaitul, Z. (2024). Corporate Governance and Stock Return Volatility. AKADEMIK: Jurnal Mahasiswa Ekonomi & Bisnis, 4(2), 904–919. https://doi.org/10.37481/jmeb.v4i2.790
Sekaran, U., & Bougie, R. (2016). Research Method for Business Textbook: A Skill Building Approach. John Wiley & Sons Ltd.
Setiawan, R., Handiliastawan, I., & Jafar, R. (2020). Commissioner board characteristics, ownership concentration, and corporate performance. Jurnal Keuangan Dan Perbankan, 24(2), 131–141. https://doi.org/10.26905/jkdp.v24i2.3827
Shahid, M. S., & Abbas, M. (2019). Does corporate governance play any role in investor confidence, corporate investment decisions relationship? Evidence from Pakistan and India. Journal of Economics and Business. https://doi.org/10.1016/j.jeconbus.2019.03.003
Sharma, N. (2017). Corporate Governance Mechanisms in India. International Journal of Advance Research and Development, 2(5), 132–137.
Sherif, M., El-Diftar, D., & Shahwan, T. (2024). Do Internal Corporate Governance Practices Influence Stock Price Volatility? Evidence from Egyptian Non-Financial Firms. Journal of Risk and Financial Management, 17(6). https://doi.org/10.3390/jrfm17060243
Shleifer, A., & Vishny, R. W. (1997). A survey of corporate governance. Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb04820.x
Suryani, A. P., & Aminah, W. (2023). Operating cash flow on financial distress. JHSS (Journal of Humanities and Social Studies), 07(03), 755–761.
Sutrisno, B. (2020). The Determinants of Stock Price Volatility in Indonesia. EAJ (Economic and Accounting Journal), 3(1), 73–79. https://doi.org/10.32493/eaj.v3i1.y2020.p73-79
Uddin, M., Chowdhury, A., Anderson, K., & Chaudhuri, K. (2021). The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty? Journal of Business Research, 128(January), 31–44. https://doi.org/10.1016/j.jbusres.2021.01.061
Van Essen, M., Engelen, P. J., & Carney, M. (2013). Does “good” corporate governance help in a crisis? The impact of country- and firm-level governance mechanisms in the European financial crisis. Corporate Governance: An International Review, 21(3), 201–224. https://doi.org/10.1111/corg.12010
Villanueva-Villar, M., Rivo-López, E., & Lago-Peñas, S. (2016). On the relationship between corporate governance and value creation in an economic crisis: Empirical evidence for the Spanish case. BRQ Business Research Quarterly, 19(4), 233–245. https://doi.org/10.1016/j.brq.2016.06.002
Zulfikar, R., Lukviarman, N., Suhardjanto, D., Ismail, T., Astuti, K. D., & Meutia, M. (2020). Corporate governance compliance in banking industry: The role of the board. Journal of Open Innovation: Technology, Market, and Complexity, 6(4), 1–18. https://doi.org/10.3390/joitmc6040137
Published
2025-04-30
How to Cite
Hindasah, L. (2025). PERAN CORPORATE GOVERNANCE DAN FINANCIAL CAPABILITY TERHADAP VOLATILITAS RETURN SAHAM. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 9(1), 3159-3187. https://doi.org/10.31955/mea.v9i1.5588
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