Analisis Pengaruh Price Limit dan Market Capitalization terhadap Volatilitas Pasar dan Kinerja Saham

Abstract

This study seeks to examine the influence of price limits and market size on market volatility and stock performance in technology firms listed on the Indonesia Stock Exchange, with investor sentiment serving as a moderating variable. The study employs a quantitative methodology, utilizing a sample of 45 technology firms from 2020 to 2024, chosen by purposive sampling. Data analysis with multiple linear regression and Moderated Regression Analysis (MRA) utilizing SPSS version 26. The findings indicated: (1) Price limits exert a significant negative influence on market volatility (β=-0.342, p<0.05) and a positive influence on stock performance (β=0.287, p<0.05); (2) Market Capitalization has a significant positive impact on both market volatility (β=0.456, p<0.05) and stock performance (β=0.534, p<0.05); (3) Investor sentiment positively moderates the relationship between price limits and market volatility (β=0.298, p<0.05), while negatively moderating the relationship between Market Capitalization and stock performance (β=-0.245, p<0.05). The implications of the study suggest the need to evaluate price limit policies that consider investor sentiment and technology sector characteristics. Regulators are advised to develop an adaptive price limit mechanism based on Market Capitalization and investor sentiment. The contribution of this research is the development of an analytical model that integrates investor sentiment as a moderating variable in the relationship between price limits and Market Capitalization with volatility and stock performance, especially in the technology sector which has unique volatility characteristics.

Keywords: price limit; Market Capitalization; market volatility; stock performance.

Penelitian ini bertujuan untuk menganalisis dampak batas harga dan kapitalisasi pasar terhadap volatilitas pasar serta kinerja saham pada perusahaan teknologi yang terdaftar di Bursa Efek Indonesia, dengan sentimen investor sebagai variabel moderasi. Penelitian ini menggunakan pendekatan kuantitatif dengan sampel 45 perusahaan teknologi dari periode 2020-2024, yang dipilih melalui purposive sampling. Analisis data dilakukan melalui regresi linear berganda dan Analisis Regresi Terpadu (MRA) menggunakan SPSS versi 26. Hasil penelitian menunjukkan: (1) Price limit berpengaruh negatif signifikan terhadap volatilitas pasar (β=-0.342, p<0.05) dan berpengaruh positif terhadap kinerja saham (β=0.287, p<0.05); (2) Market Capitalization berpengaruh positif signifikan terhadap volatilitas pasar (β=0.456, p<0.05) dan kinerja saham (β=0.534, p<0.05); (3) Sentimen investor memoderasi secara positif hubungan antara price limit dan volatilitas pasar (β=0.298, p<0.05), namun memoderasi secara negatif hubungan antara Market Capitalization dan kinerja saham (β=-0.245, p<0.05). Implikasi penelitian menyarankan perlunya evaluasi kebijakan price limit yang mempertimbangkan sentimen investor dan karakteristik sektor teknologi. Regulator disarankan mengembangkan mekanisme price limit yang adaptif berdasarkan kapitalisasi pasar dan sentimen investor. Kontribusi penelitian ini adalah pengembangan model analisis yang mengintegrasikan sentimen investor sebagai variabel moderasi dalam hubungan price limit dan Market Capitalization dengan volatilitas dan kinerja saham, khususnya di sektor teknologi yang memiliki karakteristik volatilitas unik.

Kata kunci: price limit; Market Capitalization; volatilitas pasar; kinerja saham.