The Effect of IFRS Application, Stock Price Volatility, and Fundamental Variables on Jakarta Islamic Index

The purpose of this study was to examine the effect of IFRS implementation, Stock Price Volatility, Book to Market, Dividend Yield, and Ownership Structure on Stock Returns. The sampling method used was purposive sampling and obtained 14 companies registered in the Jakarta Islamic Index (JII). The data were processed and analyzed by using multiple linear regression statistical test models and SPSS Version 23 as a tool. The results of this study indicate that partially the volatility of stock prices, book to market, and dividend yield has a significant effect on stock returns. Meanwhile, the implementation of IFRS and Ownership Structure has no effect on Stock Returns. Taken together, the implementation of IFRS, Stock Price Volatility, Book to Market, Dividend Yield, and Ownership Structure have a significant effect on Stock Returns.


INTRODUCTION
According to , the capital market is a place for long-term financial asset transactions. The development of the capital market, which is increasingly widespread and always changing rapidly, has a significant impact on the economy. Indonesia has a party that organizes and provides a system for buying and selling securities called the Indonesia Stock Exchange (IDX). Along with the increasing level of public knowledge regarding investment practices, there is a form of investment that is starting to attract many investors, namely investing in Islamic securities.
The Indonesia Stock Exchange established the Jakarta Islamic Index (JII) since 2000.
Where the JII was established with the aim of being a forum for companies with Islamic stocks. Registered companies have been screened first until they are finally determined to meet the criteria as companies with business processes that comply with Islamic sharia (Amalia and Kartikasari, 2016). JII filters companies that are in accordance with the sharia provisions based on liquidity and market capitalization value, so that in the end there are 30 Islamic stocks which are the most liquid stocks.
During the past few years, the Islamic capital market in Indonesia has developed very well. However, this is said to be still far from the optimal potential of the Islamic capital market. In fact, the OJK stated that the index for the level of public literacy regarding the Islamic capital market only reached 0.02 percent, while the inclusion of the Islamic capital market was 0.01 percent. Future research is expected to focus more on Islamic economics in order to improve the economy. Therefore, the main topic of this research is about the Islamic capital market, namely Stock Return on the Jakarta Islamic Index. Where according to Jogiyanto (2013), stock returns are defined as the results obtained from stock investments.
Each country has its own financial accounting standards that serve as guidelines. IFRS is a standard that applies in the global world, where with this standard management is required to provide estimates and logical judgments on financial statements. IFRS also demands a more complete disclosure of financial statements using a fair value approach, both qualitative and quantitative accounting information. With complete disclosure, transparency of a company's financial position, and presentation of reports in accordance with international accounting standards, this will increase investor interest. Where this will affect the company's returns. Research conducted by Feprida, Susilawati, and Koerniawan (2014) as well as Espinosa, Maquieira, Diaz, and Abarca (2015) states that there is a significant relationship between the application of IFRS and the level of stock returns, but other researchers such as Anggraeni and Koerniawan (2012) find a not significant between the two variables. H1: IFRS implementation affects stock returns.
According to Azzam (2010) risk is a negative return of an investment. One of the risks that must be accepted in capital market activities is the volatility of share prices. Price volatility is a dynamic variant of an asset and can be used for portfolio formation, risk management and price formation (Situmeang & Muharam, 2015). When Volatility prices are high, the certainty to get Return is less and less. Low volatility indicates a stable stock return, although stable but generally the expected return at this point is quite low. Situmeang (2015) found a significant influence between stock price volatility and stock returns, this supports the Yield. The book to market ratio is a reflection of the comparison value between the book value of shares divided by the stock market value (Dormauli, 2017).  said that a high Book to Market indicates that the company has poor performance and tends to experience financial difficulties. Book to Market has a significant effect on stock returns as shown in Dormauli's research (2017) but in Laksono's research (2015) it was found that Book to Market had no significant effect on stock returns. H3: Book to Market has an effect on stock returns.
Dividend Yield is the result of the percentage of profit per share divided by the price per share received in the company, the higher the dividend yield, the better the financial condition of the company, and this also shows that the company has a stable cash flow (Puspitasari and Purnamasari, 2013). Lemmon and Nguyen (2015) state that there is an effect of the Dividend Yield on stocks. Research by Zaman (2014) states that the dividend yield has no effect on stock returns. H4: Dividend Yield affects stock returns.
Internal factors of the company can also be used as variables that determine stock returns, one of which is company ownership. Institutional ownership is defined as ownership

RESEARCH METHODOLOGY
The design of this study is associative research (relationship), which is research that aims to determine the relationship between two or more variables. In this study, the samples used were companies registered in JII for four consecutive years from 2015 to 2018, and had complete data needed.
The source of data needed is financial data, where the authors download the financial data on the Indonesia Stock Exchange website and related company websites. The data that has been downloaded are then collected and entered into Microsoft Excel. After all data was collected, the authors processed the data using SPSS version 23 software. The analytical tool used in this study is the multiple linear regression. The data analysis method used are Descriptive Statistics Analysis which is a statistic used to analyze data by describing or describing data that has been collected as it is without intending to make conclusions that apply to the public or generalizes, Linearity Test which is interpreted as a relationship between variables such as straight lines or forms a linear line pattern, Classical Assumption Test considering the research data used is secondary, then to meet the requirements determined before the hypothesis test through the t-test and F test it is necessary to test some classic assumptions used, namely normality, multicollinearity, autocorrelation, and heteroscedasticity, and the last one is Hypothesis Test which is used to check or test whether the obtained regression coefficient is significant or not. Multiple regression models that can be used to test hypotheses are as follows:

RESULT AND DISCUSSION
The sample used in this study were 14 companies registered in JII 2015-2018. Table I shows descriptive statistics on the variables of IFRS application, price volatility, book to market, dividend yield, ownership structure and stock returns. Based on Table I, the data that will be shown is N, namely the number of samples in the study, Range, namely the difference between the highest and lowest values, Minimum, namely the lowest value, Maximum, namely the highest value, average, and std. Deviation.  Return variable is quite strong and positive. The value of R2 (coefficient of multiple determination) is 32.7% which indicates that the Return variable described by this research model is based on the independent variables used in this study of 32.7%. While the rest, 67.3% is explained by other independent variables outside the independent variables in this study. The adjusted R2 value is 25.9%, indicating that the independent variables used in this study can predict 25.9% return.

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The object of this research is a company registered in the Jakarta Islamic Index (JII), which means that the company has sharia instruments, but these companies do not apply sharia standards as they should. For now, AAOIFI is only applied to financial institutions.
Another reason companies that have sharia shares do not use these sharia standards is because the operational basis of the company is not based on sharia, so there is no obligation in implementing AAOIFI standards. Even so, IFRS cannot regulate according to Islamic Sharia standards so IFRS cannot be said to affect stock returns in this study.
From the results of tests conducted on the regression model, it is known that the significance value of Volatility is 0.004 which is lower than 0.05. This can be concluded, that there is an influence between Volatility Stock Prices (X2), which are measured based on fluctuations in the company's stock price, on Stock Return. If seen in the coefficient, VH has a negative coefficient. This shows that there is a negative influence between Volatility Stock Prices on Return. High volatility provides high risk, this causes investors to dislike stocks with high volatility. Long-term investors generally prefer stocks with low volatility, which have good stability (Situmeang, 2015). This theory supports the data for this research. The result of this study are in line with Dimitrios and Theodore (2011) but contradict the research by Situmeang (2015).
From the results of tests conducted on the regression model, it is known that the significance value of Book to Market is 0.017 which smaller than 0.05. It can be concluded, that there is an influence between Book to Market (X3), as measured by the distribution of book value of shares with market prices, on Stock Return. When viewed from the coefficient, BM has a negative coefficient of 0.484. That is, the higher the level of BM, the company's return tends to decrease. Book to Market ratio is a ratio used as an indicator to measure a company's performance through its market price. A high book to market ratio indicates that the company has poor performance and tends to experience financial difficulties (financial distress) or has unfavorable prospects . The high indication of financial difficulties causes stock returns to decline and investors are reluctant to invest in shares of companies with high levels of financial difficulties. The results of this study are supported by Dormauli (2017) regarding the negative influence of Book to Market on Return. They explained that efficient investors would combine small companies and have low book-tomarket value to get superior risk-adjusted returns. This result contradict .
From the results of tests conducted on the regression model, it is known that the significance value of Dividend Yield is 0.032 which is smaller than 0.05. It is concluded that there is an influence between Dividend Yield (X4), which is measured based on the division

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between Dividends per share and market price of shares, on Return. When viewed from the coefficient, DY has a positive coefficient of 0.134. That is, the higher the DY level, the company tends to get a high return as well. Puspitasari & Purnamasari (2013) said, the higher the value of DY, the better the company's financial condition and shows a stable cash flow.
DY is one of the important ratios when analyzing stocks when going to invest because when investors invest in companies that have a high DY value means investors invest in companies with good and stable financial conditions. The possibility of getting a return on shares is also stable. This is consistent with the theory that a stock with a higher dividend yield will be more attractive to investors, which will increase share prices, which in turn will result in higher returns for investors. The result of this study support the research of Michael L. Lemmon and Thanh Nguyen (2014), Puspitasari and Purnamasawi (2013), Surya (2018). But it is not in line with Zaman (2014).
From the results of tests conducted on the regression model, it is known that the significance value of Ownership Structure is 0.897 which is greater than 0.05. It can be concluded, there is no influence between Ownership Structure (X5), which is measured based on the percentage of shares owned by the company and all existing shares, on Return. When viewed from the coefficient, SK has a negative coefficient of 0.070. That is, the higher the SK level, the company tends to get a lower return. According to El_ansary and Atuea (2012), one of the reasons that make the SK variable insignificant is because it has inefficient information, causing speculative trading. Thus, it is very difficult to rely on the SK variable to explain the variation of Return that occurs. In addition, stock market performance is mainly influenced by economic and market conditions compared to the Ownership Structure variable.
The results of this study indicate that SK has a weak influence on Return, this can also be caused by companies listed on JII have the same character in terms of Ownership Structure, the data obtained for the Ownership Structure variable during the research year is relatively homogeneous, namely elements of the data studied are relatively uniform with each other. In the variable data, generally most of the companies in this study has not changed its number for four conservative years, 8 of the 14 total companies in this study have the same number for four years for the SK variable. While other companies experienced small changes in the percentage. Due to the fact that the data are mostly the same, it is difficult to find a significant influence between SK and Return. The results of the research also show that companies listed in JII have the same character in terms of ownership structure. This has led to the results of the research output stating that SK has no significant effect on Return. The results of this study are in line with research by Riyansah (2016)

but cotrary to research by
Murwaningsih (2012), Ahmed A (2017) and Azzam (2010 The results of this study are said to be reliable because the data used is valid data that comes from trusted sources and several tests have been carried out beforehand so that the effect test between variables can be carried out. Overall the results of this research can also be carried out for other objects, for example using conventional companies and not having any connection with sharia regulations. In this study, there is an anomaly due to the limitation on sharia criteria and a short year limitation, therefore one of the variables is considered to be less able to explain its relationship to stock return partially. It is hoped that further research will use a longer year to solve this problem and also carry out research with a wider object. There is no influence between the application of IFRS and Return. This is because even though the application of IFRS can improve the quality of corporate financial statements and relations with investors, in fact, the influence of IFRS is less significant in influencing sharia-based shares. IFRS accounting and auditing standards that apply to conventional.

Sharia standardization is regulated in the Accounting & Auditing Organization for Islamic
Financial Institutions (AAOIFI), but unfortunately, this sharia standard has only recently been implemented by the banking world, companies that have sharia shares have not used this standard. Nevertheless, IFRS on its basis cannot cover the Islamic Shari'a as it should, therefore, the application of IFRS has no significant effect on Stock Return.
There is a negative influence between Volatility Price on Stock Return. The level of risk faced by investors reflects the level of Volatiles in the financial markets. High Return uncertainty is influenced by high Volatility, meaning that if Volatility is high every day, the company will experience a high increase and decrease, in other words, the company can generate large profits or losses. This is because the higher the volatility, the higher the risk inherent. The fact is investors want stability Returns with a small risk, this will be obtained by companies that have low volatility. Therefore a low volatility equal to high Stock Return.
There is a negative influence between Book to Market and Return. This is because Book to Market is used as an indicator to measure company performance, where the higher the Book to Market, the company has a poor performance and causes stock returns to decline.
The average BM value during the observation period always increases and this results in a decrease in average Returns during the related years.
There is a positive influence between Dividend Yield and Return. This is because of the higher the DY value the better the financial condition of the company and shows a stable cash flow. A good financial condition will attract more investors where it will lead to rising stock prices, which in turn will result in a higher return. In fact, in each observation year (2015 -2018), the highest DY value will have a greater Return value than companies that have a low DY value.
There is no influence between ownership structure and return. This is caused by field data that is homogeneous so it is difficult to find a significant relationship between SK and Return. During the 2015 -2018 observation year, it was found that eight companies had the same SK value for four consecutive years, while other companies experienced small changes.
The constant SK value and the movement of stock returns conclude that the effect that the SK has on Stock Return is small.
There is an influence of IFRS, Volatile Prices, Book to Market, Dividend Yield, and Ownership Structure with Stock Return simultaneously. This is because the company's

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fundamental factors and market risk management is an attempt to obtain the optimal value of the company's stock return.
Some limitations in this study are this research only has a four-year study period and this research is limited in the selection of samples only to companies listed in the Jakarta Islamic Index (JII). Therefore the suggestions that can be given for further researchs are to use a larger number os samples, namely using a sample of all companies outside the list of JII.
Further research can also use a longer research period and are expected to use more independent variables to enabled a greater influance on stock returns.