Abstract
Stock price volatility reflects the fluctuations on stock price movements and the level of risk faced by investors. This research examines the impact of dividend policy, leverage, and firm size on stock price volatility. The research variables were measured by dividend payout ratio, debt to equity ratio, and natural logarithm of total assets. This research was conducted on 19 samples of property, real estate, and construction sector companies listed in Indonesia Stock Exchange (IDX) that distributed consecutive dividends during 2013-2017. Multiple linear regression used as the analysis technique. The analysis result shows that simultaneously dividend policy, leverage, and firm size influence stock price volatility. Partially dividend policy and firm size has negative impact on stock price volatility while leverage has positive impact on stock price volatility.
 Keywords : dividend, leverage, firm size, volatility
Highlights
Stock price volatility reflects the fluctuations on stock price movements
the level of risk faced by investors
This research examines the impact of dividend policy
Summary
METODE PENELITIAN Desain penelitian ini menggunakan pendekatan kuantitatif berbentuk asosiatif untuk meneliti pengaruh kebijakan dividen, leverage, dan ukuran perusahaan terhadap volatilitas harga saham. Volatilitas harga saham dalam penelitian ini merupakan jenis historical volatility yang menggunakan data historis harga tertinggi dan harga terendah saham yang menjadi sampel pada sektor properti, real estate, dan konstruksi di Bursa Efek Indonesia periode 2013-2017. DPR dinyatakan dalam bentuk persentase dengan rumus perhitungan sebagai berikut (Jannah dan Haridhi, 2016): Dividen '&' #"$ "%&'$ *')'%. DER dinyatakan dalam bentuk persentase dengan rumus perhitungan sebagai berikut (Fahmi, 2016:73):. Rumus perhitungan ukuran perusahaan adalah sebagai berikut (Lashgari dan Ahmadi, 2014): Populasi yang digunakan dalam penelitian ini adalah seluruh perusahaan sektor properti, real estate, dan konstruksi di Bursa Efek Indonesia yaitu sebanyak 69 perusahaan dengan rincian 52 perusahaan tergolong sub sektor Properti dan real estate dan 17 perusahaan lainnya tergolong sub sektor konstruksi dan bangunan.
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