|Title: IS STOCK RETURN REFLECT MARKET AND NON-MARKET ENVIRONMENT?|
Fangky Antoneus Sorongan, Steph Subanidja and Mercurius Broto Legowo
There are many studies regarding stock return. However, the causality relationship between the market and the non-market perspective on the stock return showed inconsistency. The study investigates whether a stock return is a reflection of market or non-market environment. This research is a quantitative causality approach with variables, namely market perceptive, non-market perspective, firm performance, as latent variables, and stock return as a manifest variable. Good corporate governance proxies of market perspective, and corporate social responsibility proxies’ non-market perspective. There are four banks whose majority the Government of Indonesia owns shares. This research analyzes four banks whose majority the Indonesian government owns shares. The data is a secondary panel seven years of data, and this study analyzed the data using the fixed, random, and common effect. The stock return is not a company performance, but it is consequent of company performance. This research confirms that the stock return is a description of the company’s performance, and the performance is a reflection of the market and non-market environment. Concerning the inconsistency of research results, this study suggests comprehensive research with detail antecedent of the market and non-market environment simultaneously to measure stock return accuracy.
|Keywords: Stock return, market, non-market, performance, ROE, GCG|