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ABSTRACT

This research has purposes : To analyze the influence between Dividen Payout
Ratio, Dividend Yield, Earning Volatility, Firm Size, DAR and Growth In Assets
partially and simultaneously to Stock Price volatility in LQ-45 companies, and to
analyze independent Variable which most dominant to Stock Price volatility. This
research is using multiple regression analysis. Data used in this study used
inusing secondary data which is obtained from the Indonesian Stock Exchange.
The chosen sample in this research is that all the company which is registered in
Indonesian Stock Exchange which include in LQ-45 categories which have a
dividend payment start from year 2005 until year 2009. The result of this research
showing if there is an influence simultaneously in Dividend Payout Ratio,
Dividend Yield, Earning Volatility, Firm Size, DAR, and Growth In Assets
Variable to Stock Price Volatility. The conclution of this research shows if the
Dividend Payout Ratio and dividend Yield has a significant influence partially to
Stock Price Volatility. Where as Earning Volatility, Firm Size, DAR, Growth In
Assets Variable is not really has a significant influence. The most dominant
variabel which has a big influence in Stock Price Volatility is Dividend Payout
Ratio.

Keyword : Dividend Yield, Dividend Payout ratio, Earning Volatility, Firm Size,
DAR, and Growth In Assets, Stock Price Volatility.

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ABSTRAK

Penelitian ini memiliki tujuan: Menganalisa pengaruh secara parsial dan simultan
antara Dividen Payout Ratio, Dividen Yield, Volatilitas Earning, Firm Size, DAR
dan Growth In Asset terhadap Volatilitas Harga Saham pada perusahaan LQ-45,
dan Menganalisa variabel independen yang paling dominan terhadap Volatilitas
Harga Saham. Penelitian ini menggunakan analisa regresi linier berganda. Data
yang digunakan dalam penelitian ini menggunakan data sekunder yang diperoleh
dari Bursa Efek Indonesia. Pemilihan sampel pada penelitian ini adalah semua
perusahaan yang terdaftar di Bursa Efek Indonesia yang masuk kategori LQ-45
yang melakukan Pembayaran Dividen mulai dari tahun 2005 sampai dengan tahun
2009. Hasil penelitian ini menunjukkan bahwa terdapat pengaruh secara simultan
pada variabel Dividen Payout Ratio, Dividen Yield, Volatilitas Earning, Firm Size,
DAR dan Growth In Asset terhadap Volatilitas Harga Saham. Hasil penelitian ini
menunjukan bahwa variabel Dividend Payout Ratio dan Dividen Yield
berpengaruh signifikan secara parsial terhadap Volatilitas Harga Saham.
Sedangkan variabel Volatilitas Earning, Firm Size, DAR, growth in asset tidak
berpengaruh signifikan. Variabel yang paling dominan berpengaruh terhadap
Volatilitas Harga Saham adalah Dividen Payout Ratio.

Kata kunci: Dividen Yield, Dividen Payout Ratio,Volatilitas Earning, Firm Size,
DAR dan Growth In Asset,Volatilitas Harga Saham

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