STOCK RETURN DETERMINANTS IN SHARIA-COMPLIANT STATE-OWNED FIRM: A NEW PERSPECTIVE FROM INDONESIA’S IDX-MES BUMN 17

Authors

  • Andi Amri Department of Business Administration Asia University Taiwan No. 500號, Liufeng Rd, Wufeng District, Taichung City, 413 Taiwan. China.
  • Wing-Keung Wong Department of Business Administration Asia University Taiwan No. 500號, Liufeng Rd, Wufeng District, Taichung City, 413 Taiwan. China.
  • Mitra Sami Gultom Department of Islamic Banking Universitas Muhammadiyah Prof DR HAMKA Jl. Limau II No. 3, Kramat Pela, Kebayoran Baru, Jakarta Selatan, DKI Jakarta, Indonesia.
  • Muhammad Iman Sastra Mihajat Department of Islamic Banking Universitas Muhammadiyah Prof DR HAMKA Jl. Limau II No. 3, Kramat Pela, Kebayoran Baru, Jakarta Selatan, DKI Jakarta, Indonesia.
  • Nur Melinda Lestari Department of Islamic Banking Universitas Muhammadiyah Prof DR HAMKA Jl. Limau II No. 3, Kramat Pela, Kebayoran Baru, Jakarta Selatan, DKI Jakarta, Indonesia.
  • Gusniarti Department of Islamic Banking Universitas Muhammadiyah Prof DR HAMKA Jl. Limau II No. 3, Kramat Pela, Kebayoran Baru, Jakarta Selatan, DKI Jakarta, Indonesia.
  • Rahmi Fitria Malik Department of Creative Business Politeknik Yusuf Mansur Jl. Cipondoh Makmur Jaya, Tangerang, Banten, Indonesia.

DOI:

https://doi.org/10.53840/ijiefer230

Keywords:

Dividend Policy, IDX-MES BUMN 17, Liquidity, Market Valuation, Stock Return

Abstract

This study aims to examine stock returns of companies in the IDX-MES BUMN 17 index and identify factors affecting returns, focusing on market valuation, dividend policy, and liquidity. Using a quantitative associative approach, the research analyzed 45 financial reports from 13 Sharia-compliant state-owned enterprises between 2020 and 2024, after removing outliers. The data were analyzed with multiple linear regression using JASP software. Results indicate that Price Earnings Ratio (PER), Dividend Payout Ratio (DPR), and Current Ratio (CR) have no significant effect on stock returns, either partially or simultaneously. This contrasts with conventional finance theory, suggesting that during the pandemic and recovery period, traditional financial ratios were unreliable predictors. Instead, macroeconomic conditions, state policies, investor sentiment, and non-financial factors such as ESG considerations may play a stronger role. The study contributes to literature on Islamic finance and emerging markets, offering practical insights for investors, fund managers, and regulators evaluating Sharia-compliant SOEs.

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Published

2025-12-26

How to Cite

Amri, A., Wing-Keung Wong, Mitra Sami Gultom, Muhammad Iman Sastra Mihajat, Nur Melinda Lestari, Gusniarti, & Rahmi Fitria Malik. (2025). STOCK RETURN DETERMINANTS IN SHARIA-COMPLIANT STATE-OWNED FIRM: A NEW PERSPECTIVE FROM INDONESIA’S IDX-MES BUMN 17. International Journal of Islamic Economics and Finance Research, 8(2 December), 134–151. https://doi.org/10.53840/ijiefer230

Issue

Vol. 8 No. 2 December (2025): International Journal of Islamic Economics and Finance Research

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Articles

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Copyright (c) 2025 Andi Amri, Wing-Keung Wong , Mitra Sami Gultom, Muhammad Iman Sastra Mihajat, Nur Melinda Lestari, Gusniarti, Rahmi Fitria Malik

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