The Effect of Company Performance on Stock Returns in the LQ45 Stock Cluster in 2020-2022

Abstract

In the Indonesian capital market, various securities are traded, but stock investors dominate. The LQ45 index illustrates the Indonesian capital market condition is better than the JCI (Jakarta Composite Index). Stocks on the LQ45 index have large market capitalization, high liquidity, and good company fundamentals, but have varying returns. It is necessary to group the stock returns of LQ45 index companies. The method used is time series clustering in the 2020-2022 period. Furthermore, the logistic regression analysis is used to determine the effect of company performance that is consistent in the LQ45 index on stock return status. The results showed that the selected algorithm for clustering was K-Means with 2 optimal numbers of clusters characterized as lagging stock and leading stock. Then, company stocks in the LQ45 index for the 2020-2022 period tend to be classified as leading stocks if they have a low Debt to Equity Ratio but have a high Net Profit Margin and Price Earnings Ratio.