Dampak Perubahan Nilai Tukar Rupiah dan Tingkat Hutang Debt to Equity Ratio (DER) terhadap Kinerja Return Saham pada Perusahaan Tekstil dan Garmen yang Berorientasi Ekspor

Saidun Hutasuhut; Christin Yesikha Napitu; Dinda Rachel Purba; Dini Maharani Tambunan; Agil Badawi

doi:10.37481/sjr.v9i4.1609

Authors

Saidun Hutasuhut Universitas Negeri Medan
Christin Yesikha Napitu Universitas Negeri Medan
Dinda Rachel Purba Universitas Negeri Medan
Dini Maharani Tambunan Universitas Negeri Medan
Agil Badawi Universitas Negeri Medan

DOI:

https://doi.org/10.37481/sjr.v9i4.1609

Keywords:

Exchange Rate, Debt-to-Equity Ratio, Stock Return, Textile Industry, Panel Data

Abstract

Exchange rate volatility and corporate financing decisions have become important considerations for investors in evaluating stock performance, particularly in export-oriented industries. This study aims to examine the effects of the Rupiah exchange rate and the Debt-to-Equity Ratio (DER) on the stock returns of export-oriented textile and garment companies listed on the Indonesia Stock Exchange during 2020–2024. The study employed a quantitative approach using balanced panel data comprising 25 observations from five companies over a five-year period. Data were analyzed using panel data regression, preceded by model selection and classical assumption tests to ensure the appropriateness of the estimation model. The findings indicate that the Rupiah exchange rate has a negative and statistically significant effect on stock returns (coefficient = –0.000249; p = 0.0343), suggesting that exchange rate depreciation tends to reduce stock returns. In contrast, DER has a positive but statistically insignificant effect (p = 0.4425), indicating that leverage is not a primary determinant of stock returns in the observed firms. Simultaneously, both variables significantly affect stock returns (p = 0.0276). However, the model explains approximately 21% of the variation in stock returns, implying that other firm-specific and macroeconomic factors also contribute to stock performance.

References

Ahmed, R., & Ibrahim, M. (2023). Exchange rate exposure and stock return sensitivity in export-oriented firms. International Journal of Economics and Financial Issues, 13(2), 91-101.

Al-Faryan, M. A. S. (2024). Capital structure and stock market performance: Evidence from emerging markets. International Journal of Finance and Economics, 29(1), 1185-1202.

Alzubi, K., & Bani-Hani, A. (2021). Determinants of debt-to-equity and its impact on the performance of industrial companies listed on Amman Stock Exchange. Journal of Governance and Regulation, 10(4, Special Issue), 353-364.

Amrullah, H. M., Sumekar, K., & Rahayu, T. (2024). Pengaruh PER, DER, ROA, dan CR terhadap return saham (Studi pada perusahaan manufaktur subsektor tekstil dan garmen yang terdaftar di Bursa Efek Indonesia tahun 2018-2022). Jurnal Studi Manajemen Bisnis, 4(1), 45-58.

Ashwa, A. P. (2023). Analisis pengaruh kinerja keuangan dan nilai tukar terhadap harga saham pada perusahaan manufaktur. Journal of Financial Economics and Investment, 3(2), 57-67.

Asteriou, D., Pilbeam, K., & Pratiwi, C. E. (2021). Applied econometrics (3rd ed.). Red Globe Press.

Bodie, Z., Kane, A., & Marcus, A. J. (2021). Investments (12th ed.). McGraw-Hill.

Brigham, E. F., & Houston, J. F. (2022). Fundamentals of financial management (16th ed.). Cengage Learning.

Chen, Y., & Lin, C. (2021). Capital structure, financial performance, and firm value: Evidence from manufacturing companies. Journal of Asian Finance, Economics and Business, 8(11), 341-350.

Dang, H. N., Hoang, T. V. H., & Tran, D. M. (2022). Macroeconomic factors, firm characteristics, and stock returns: Evidence from emerging stock markets. Journal of Asian Finance, Economics and Business, 9(8), 153-163.

Dion, M., Ananda, T., Susanto, J., & Bhinadi, A. (2024). Pengaruh nilai tukar rupiah terhadap perdagangan internasional dan investasi asing di Indonesia tahun 2001-2024. Jurnal Ekonomi Global, 1(1), 1-10.

Febrian, F., & Artati, D. (2025). Pengaruh return on equity, earning per share, dan debt to equity ratio terhadap return saham pada sektor tekstil dan garmen tahun 2020-2023. Jurnal Ekonomi Perjuangan, 7(1), 81-95.

Ginting, A. M. P., & Gularso, K. (2023). The effect of exchange rate toward stock returns mediated by fundamental factors. Journal Research of Social Science, Economics, and Management, 3(3), 770-797.

Hair, J. F., Black, W. C., Babin, B. J., & Anderson, R. E. (2022). Multivariate data analysis (9th ed.). Cengage Learning.

Hanifah, A. (2023). The influence of debt equity ratio (DER), earning per share (EPS), net profit margin (NPM), and return on equity (ROE) on stock returns (Study of the cigarette industry listed on the Indonesia Stock Exchange for the period 2011-2021). Journal of Accounting and Finance Management, 4(4), 285-296.

Hidayat, M. R., & Nursyirwan, V. I. (2023). The effect of financial performance and exchange rate on stock return. Economic and Accounting Journal, 6(1), 32-38.

Khan, M. A., Zhao, L., & Zhang, Y. (2021). Exchange rate volatility and stock market performance: Evidence from emerging economies. International Journal of Finance and Economics, 26(4), 5568-5584.

Kim, S., & Park, J. (2022). Capital structure and stock returns: Evidence from capital-intensive industries. Investment Management and Financial Innovations, 19(3), 120-132.

Li, X., & Zhang, H. (2023). Exchange rate exposure and firm performance: Evidence from export-oriented manufacturing industries. Journal of Asian Finance, Economics and Business, 10(5), 91-101.

Mankiw, N. G. (2021). Principles of economics (9th ed.). Cengage Learning.

Novi, R., & Mufida, V. I. (2024). Inflasi, nilai kurs, BI rate, leverage ratio, dan pengaruhnya terhadap return saham. Competitive: Jurnal Akuntansi dan Keuangan, 8(1), 101-116.

Organisation for Economic Co-operation and Development. (2023). OECD economic outlook 2023. OECD Publishing.

Pham, T. H., & Nguyen, H. T. (2022). Exchange rate exposure and stock return: Evidence from export-oriented manufacturing firms. Asian Academy of Management Journal of Accounting and Finance, 18(2), 77-96.

Pratama, R. D., & Widyastuti, T. (2022). Pengaruh faktor fundamental dan makroekonomi terhadap return saham perusahaan manufaktur di Bursa Efek Indonesia. Jurnal Riset Akuntansi dan Keuangan, 10(2), 211-226.

Rahman, A., Sari, D. P., & Putra, R. A. (2022). Pengaruh nilai tukar terhadap kinerja perusahaan manufaktur di Indonesia. Jurnal Ekonomi dan Bisnis, 25(2), 145-158.

Sari, N., & Nugroho, A. (2021). Pengaruh struktur modal terhadap return saham perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia. Jurnal Akuntansi dan Keuangan Indonesia, 18(2), 187-203.

Utami, D. P., & Kurniawan, A. (2022). Pengaruh nilai tukar terhadap kinerja perusahaan manufaktur berorientasi ekspor di Indonesia. Jurnal Manajemen dan Bisnis Indonesia, 9(1), 56-69.

Vo, X. V., & Ellis, C. (2023). Capital structure and stock returns: International evidence from manufacturing firms. Research in International Business and Finance, 66, 102046.

Wooldridge, J. M. (2020). Introductory econometrics: A modern approach (7th ed.). Cengage Learning.