THE IMPACT OF COMPANIES’ INTERNAL FACTORS ON THE PERFORMANCE OF THEIR STOCK RETURNS

It is commonly known that in the capital market, not all stocks of companies that have a good profile will provide good returns to investors. Therefore, an in-depth analysis of the companies’ overall health is needed. This study aims to discuss the impact of companies’ internal factors on the performance of their stock returns. The companies meant here are those listed in the Jakarta Islamic Index (JII). The tool by which the data is analysed is panel data which is a combination of time series data and cross section. By employing companies’data of year 2014-2016, the study shows that Return On Assets (ROA), Net Profit Margin (NPM), Debt to Equity Ratio (DER) and Price to Book Value (PBV) simultaneously had a significant effect on the formation of stock returns of companies listed in the JII. Likewise, those four variables namely; ROA, NPM, DER and PBV partially have a significant effect on the formation of stock returns of companies listed in the JII.


INTRODUCTION
Investment is one of the muamalah activities that is highly recommended. It is because by investing, property becomes more productive and also benefits others. Another reason why it is so recommended is because investment is also an active form of Islamic economics. Islam recommends that the existing resources be not only stored, but produced so that they can provide benefits for the people (Akbar and Herianingrum, 2015).
Investments can be made by various parties, including: creditors, bankers, investors, and the government. Investment is to allocate a number of funds at the present time in the intention that the funds will be safe, or increase in value, or be making a return in the future. There are various ways by which the capital owners can invest. One of them is by investing in the capital market. In this case, the capital market is defined as a place where activities such as, public offerings and securities trading take place. It is also a place where public companies have their shares issued, as well as where institutions and professions related to securities exist (Fitri and Herlambang, 2016).
The capital market has an important role to improve the efficiency of the financial system and is one of the financial intermediary institutions that is vital in the modern economy of a country. The capital market has become a mean for developing a country's economy because the capital market can be an alternative source of funds for companies. In line with the development of Indonesia capital market in general, the Shariabased capital market industry is believed to be one of the pillars of the strength of the Indonesian capital market industry. The rise of Islamic economics in Indonesia today is an interesting and exciting phenomenon for the Indonesian people, the majority of whom are Muslims, while those who are non-Islamic are minorities. In general, Islamic capital markets with conventional capital markets is not much different. However, conceptually Sharia capital market that trades shares must meet Sharia criteria and is free from the elements of usury. Stock transactions is carried out by avoiding various speculative practices. This group of Islamic stock is listed in the JII which consists of 30 companies whose business activities are in line with Sharia. The companies listed in the JII criteria are those whose operations do not contain elements of usury, as well as the capital of the company is not predominantly in form of debt. So, we can say that the shares listed in this JII are shares whose management and management are fairly transparent (Aryanti, Mawardi and Andesta, 2016).
In the capital market, not all stocks of companies that have a good profile will provide good returns to investors so that a more in-depth analysis of the company is needed. A company may experience fluctuating returns at any time due to various factors in microeconomy and macroeconomy. Fluctuations of stock return can be seen in companies that experience fluctuations in the value of stock returns from year to year (Aryanti, Mawardi and Andesta, 2016).
The ratio between investment income over several periods and the amount of funds invested is called the return level. In general, investors expect high profits with the lowest possible risk, so investors try to determine the optimal level of return

Investment
Investment is in essence to put a number of funds at this time in the hope of obtaining profits in the future. Generally, investments are divided into two, namely investment in financial assets and investment in real assets. Investments in financial assets are carried out in the money market, for example in the form of certificates, deposits, commercial papers, money market, securities and others. Investment can also be done in the capital market, for example in the form of stocks, bonds, warrants, options and others (Arisandi, 2014).
In general, investment means to delay current consumption for consumption in the future, in the sense that investment is placing capital or funds in an asset that is expected to yield results or to increase its value in the future. From here, investment means to sacrifice current consumption to get better or greater opportunities in the future (Rivai, et al. 2010).
As for investment objectives, Kamaruddin Ahmad suggested that someone will invest with some goals in his mind (Burhanuddin, 2008): firstly, to get a more decent life in the future. A wise person will think how to improve the standard of living from time to time, or at least how to try maintaining the current level of income so as not to decrease in the future. Secondly, to reduce inflationary pressures. By investing in the selected companies or other objects, one can protect his wealth in order for it not to decrease in value due to inflation. Thirdly, an encouragement to save taxes. There are some countries which set up many policies to encourage the growth of investment in the community through tax facilities. It is dedicated to people who invest in certain business fields.

Sharia Investment
Islamic law or Sharia is a rule of living a good and perfect life, by nurturing relationships between humans and nature, all of which are carried out within the framework of establishing good relations with God. Thus, faith and charity are the core of Sharia, including public relations through commerce and investment.
Islamic investment is an activity to develop money through the use of various resources with the motivation to gain profits as long as it is in line with Islamic principles (Rivai, et al. 2010).
According to Burhanuddin, Sharia investment is to invest or to place capital in a place that is expected to bring halal benefits in the future (Burhanuddin, 2008).

Capital Market
The capital market is a market of various long-term financial instruments (or securities) that can be traded. The finansial instrument take a form of money and capital, and it can be issued either by the government, public authorities or private companies (Umam, 2013).
The capital market is also an alternative source of funding for companies . It is also an investment tool for investors.
Through capital market, the company can get funded by issuing the securities, either in the form of equity or debt securities. On the other hand, investors can also invest in the capital market by buying these securities (Umam, 2013).
The capital market plays an important role in a country's economy because it creates facilities for industry or investor needs in meeting capital demand and supply. The capital market has a very large role for the economy of a country because the capital market carries out two functions at once, namely the economic function and financial function. It is said to have an economic function because the capital market provides facilities that bring together two interests, namely those who have excess funds (investors) and those who need funds (issuers). Through the capital market, those who have excess funds can invest these funds in the hope of obtaining a return, while the issuer (in this case the company) can use the funds for investment purposes without having to wait for the allocation of gain from the company's operations. It is said to have a financial function because the capital market provides the possibility and opportunity to get a return for the owner of the fund, according to the characteristics of the selected investment (Umam, 2013).

Definition of Capital Market according to the Law of the
Republic of Indonesia No. 8 of 1995 is an activity concerned with public offerings and securities trading, public companies involved in issuing the securities, as well as institutions and professions related to these securities. The capital market acts as a liaison between investors and companies or government institutions through long-term financial instrument trading (Umam, 2013). According to Warkum Sumitro, the capital market is one of the means to conduct investment activities. The capital market is the same as the capital market in general, which is the meeting place between sellers and buyers with the object being traded, the company's rights and ownership, as well as the company's debt statement (Umam, 2013).

Islamic Capital Market
Capital market activities carried out with Sharia principles can be called Sharia capital markets. What is meant by Sharia  (Burhanuddin, 2008).
Activities in the capital market can be categorized as economic activities which are included in muamalah activities, namely an activity that regulates commercial relations (Umam, 2013) as in QS. An-Nisa ': 29. According to the Islamic jurisprudence, the law of muamalah activity is mubah (permissible), unless there is a clear argument that prohibits it "Basically, all forms of muamalah may be carried out, unless there is a argument that forbids it" (Umam, 2013).
The Messenger of Allāh prohibited the sale and purchase (containing gharar)." (Narrated by Al-Bayhaqiy from Ibn 'Umar).
The transaction that contain elements of dharar, gharar, riba, maysir, risywah, immorality, and tyranny include: to make false offers (najsy); to make sales of goods (Sharia Securities) that have not been owned (short selling / bay'u al-Ma'dum); to use insider information to gain profits on prohibited transactions

The Stock
Stocks are certificates that show proof of ownership of a company, and by which shareholders have claim rights over company income and assets. The price of a stock is strongly influenced by the law of demand and supply. The price of a stock will tend to rise if a stock experiences excess demand and tends to fall if there is an excess supply (Umam, 2013).
The term stock can be interpreted as a certificate of equity participation from a person or legal entity to a company. Stocks are written evidence for investors of ownership of a company that has publicly owned. Through the purchase of shares in a certain amount, the shareholders have the rights and obligations to share profit and loss with the entrepreneurs, to attend the General Meeting of Shareholders (GMS), and even to take ownership of the company (Burhanuddin, 2008).
Stock is one of the most dominant securities instruments traded in the capital market. To issue certain amount of shares is an option for the company management to obtain funding sources. For entrepreneurs, the existence of funding sources can serve as capital to establish a company and development. As for investors, stocks are an attractive investment instrument because their existence is considered promising certain benefits. These benefits can usually be obtained from the spread between the purchase price and the sale of shares (capital gain) or through the distribution of profits (dividends) from the results of operations carried out by the company in a certain period.

Sharia Stock
Sharia stocks are shares of companies (issuers) which in their operations are in accordance with the principles of Islamic law (Aryanti, Mawardi and Andesta, 2016). In Islam, the stock is essentially a modification of the joint venture system of capital and wealth, which is known as syirkah in the literature of Islamic jurisprudence. The definition of syirkah is a contract of cooperation between two parties or more to run a particular business, with profits divided by agreement, while the risk of loss will be borne jointly according to the contribution given (Burhanuddin, 2008).
Basically there is no much difference between Islamic stocks and non-Sharia stock. However, the shares as proof of ownership of a company, can be differentiated according to business activities and the purpose of buying the shares. The shares is licit (according to Sharia) if the shares are issued by a company whose business activities are engaged in a halal sector and in the intention to purchase the shares are for investment, not for speculation. To be more secure, the shares listed in the Jakarta Islamic Index (JII) are stocks that are in accordance with Sharia. It is said so, because issuers listed in the Islamic Index will always undergo a screening process based on predetermined criteria.

Jakarta Islamic Index (JII)
In the Indonesia Stock Exchange (IDX) there are several types of indices. However, among those indices it is only the Jakarta Islamic Index (JII) that operate based on Sharia principles. JII was formed from the collaboration between PT BEI (at that time the Jakarta Stock Exchange) and PT Danareksa Investment Management (PT DIM). JII first operated on July 3, 2000. It uses January 1, 1995 as base date (with a value of 100). The purpose of establishing JII is to increase investor confidence to invest in Sharia-based shares and toprovide benefits for investors who invest in the stock exchange (Burhanuddin, 2008).
JII is one of the two indeces, a part from ISSI, in Indonesia that calculates the average price index of shares for types of business activities that meet Sharia criteria. It is said so because the stocks listed in the Shariah index are issuers whose business Changes in the issuer's main business types will be monitored continuously based on available public data. Companies that change their business lines so that they are inconsistent with Islamic principles will be excluded from the index. While the issuer's shares previously listed will be replaced by shares of other issuers. All of these procedures aim to eliminate speculative stocks. Although some speculative stocks have a high level of liquidity on average regular trade value, but the have a low real sector capitalization rate (Burhanuddin, 2008).
Based on (Article 3 paragraph 4) fatwa No.40 / DSN-MUI / X / 2003, it is mentioned that in order to ensure the consistency of the Shariah index, a company that has joined the JII is required to have a Shariah Compliance Officer (SCO). SCO is a party or official of a company or institution that has received certification from DSN-MUI in understanding Islamic principles in the capital market (Burhanuddin, 2008).
The main difference between the Islamic index and other non-Sharia indices is that all shares that are listed in the JII must be in accordance with Sharia principles. To find out the level of education, there is a need for a screening process for companies

Erifa Aldiena and Muhammad Hanif al Hakim
133 that want to be registered in the JII. This screening process is required to determine whether the company's shares can be categorized as a "halal" effect (Burhanuddin, 2008).
There are to approaches to screen a stock in order know whether it is a Sharia stock or not. Firstly, approach in relation to the contract; and secondly aproach in relation to the companies' product. With regard to the contract, if the stock is assumed to be a company asset that can be exchanged for money, the the type of this contract is selling and purchasing. Whereas if the stock is assumed as a statement of cooperation, then the contract is in the form of profit and loss sharing (Burhanuddin, 2008).

Analysis Tools and Models
Data analysis used is panel data regression analysis, using the econometric model as follows:

Dependent Variable
Dependent variables are variables that are affected by the existence of independent variables (Sugiyono, 2010). The independent variable in this study is the Annual Stock Return (Y) of each listed company.

Independent Variable
The independent variable is a variable that affects or causes changes or the emergence of the dependent variable (Sugiyono, 2010). The independent variable in this study consists of four factors that influence stock returns, including: 1) Return On Assets or ROA (X 1 ), 2) Net Profit Margin or NPM (X 2 ), 3) Debt to Equity Ratio or DER (X 3 ) , 4) Price to Book Value or PBV (X 4 ).

Source of Data
Data used in this study are secondary data obtained from       Table 4.1. interpretation of the coefficient of determination (R 2 ).
Based on the estimation results in Table 4.1, the results of the F test show that prob (F-statistic) is smaller than α which is 0.009455 <0.05, so H0 is rejected, the model used exists.

R-squared (R 2 ) Interpreted
The determination coefficient or R Square (R2) is the amount of the independent variable contribution to the dependent variable.
The higher the coefficient of determination, the higher the ability of the independent variable to explain variations in changes in the dependent variable. However, the determination coefficient has a weakness, namely the bias towards the number of independent variables included in the regression model where each addition of one independent variable and the number of observations in the model will increase R2 even though the entered variable does not have a significant effect on the dependent variable. To reduce these weaknesses, the adjusted determination coefficient is used, which is Adjusted R Square (Adj R 2 ).
The adjusted coefficient of determination means that the coefficient has been corrected by entering the number of variables and the sample size used. By using the adjusted coefficient of determination, the value of adjusted coefficient of determination can go up or down by adding new variables in the model. In  make a significant positive contribution to stock returns, namely an increase or decrease in PBV will have an impact on the increase or decrease in stock returns in the same direction. This means that when PBV rises it will be followed by an increase in stock returns and when PBV has decreased, the stock return will also decrease.
The fact that the PBV is so significant shows that investors view PBV as one of the factors that need to be considered before they invest in the capital market. PBV is the market ratio (market ratio) used to measure the performance of stock market prices on the value of the book. The higher the PBV rasio, the more successful the company gives divident for shareholders. The better the value of the company, the more interested investors will be to invest their funds. That way the stock price will rise and stock returns will also increase. It can be concluded that in this research period, investors made PBV as one of the reasons or factors for investing in the capital market. This can be seen from the significance of PBV and its coefficient value.

CLOSING Conclusion
Based on the results of the analysis that has been carried out, it can be concluded as follows: 1. Independent variables such as Return On Assets (ROA), Net Profit Margin (NPM), Debt to Equity Ratio (DER) and companies listed in the Jakarta Islamic Index (JII). c. Debt to Equity Ratio (DER) has a positive and significant influence on stock returns in companies incorporated in the Jakarta Islamic Index (JII).

Independent variables, such as
d. Price to Book Value (PBV) has a positive and significant influence on stock returns in companies incorporated in the Jakarta Islamic Index (JII).

Suggestion
For future researchers, it is expected to add more variables, such as: a) Earning Per Share (EPS) because the company's needs cannot be separated from their desire to make a profit from the issuance of shares, b) Price Earning Ratio (PER) because it is useful to fulfill the wishes of investors or prospective investors in deciding on an investment place that offers a return that is worthy of a stock investment