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Journal Of Economics, Technology, and Business (JETBIS)
Volume 3, Number 6 June 2024
p-ISSN 2964-903X; e-ISSN 2962-9330
THE EFFECT OF GOOD CORPORATE GOVERNANCE ON STOCK RETURNS
MODERATED BY INTELLECTUAL CAPITAL
Adhelia Widyasi
1
, Novia Hadi Swarno
2
, Fuji Wahyu Lestari
3
, Mada Purwanto W.N
4
Universitas Swadaya Gunung Jati, Cirebon, Indonesia
Email: [email protected]
1
2
,
3
4
KEYWORDS:
Good Corporate Governance
(GCG), Return Saham (RS),
Intellectual Capital (IC)
ABSTRACT
Good Corporate Governance is the management of a company that is
transparent, accountable, responsible, fair, and considers all
stakeholders. At the same time, intangible assets such as intellectual
capital have a very important role in the shift to a knowledge-based
economic orientation. Fund providers such as investors and creditors
respond to the management of the company and the assets owned by
the company in running the business. Changes in stock price, which
is a component of stock return, will represent the response of fund
providers. By analyzing the effect of intellectual capital on stock
returns under the guidance of good corporate governance, this study
seeks to generate empirical evidence. Companies in the financial
sector listed between 2018 and 2022 on the Indonesia Stock Exchange
serve as the study population. Purposive sampling was used to select
49 companies as research samples. Based on empirical evidence
obtained from statistical analysis that has been carried out, all
coefficients provide positive values, indicating that the movement of
stock returns is in line with changes in Good Corporate Governance
and intellectual capital. It can be concluded that the results of this
study indicate that Good Corporate Governance affects stock returns.
The effect of gcg on stock returns is strengthened by the role of
intellectual capital, meaning that Good Corporate Governance will
tend to have a greater influence on stock returns when the company
has greater intellectual capital.
INTRODUCTION
Stock returns in developing countries show a very different pattern from developed
countries: stock returns are known to experience price changes due to market mechanism
changes in the form of increases and decreases in price values (Adu et al., 2015). Some that
affect stock returns include internal and external factors. Internal factors can be found out
through fundamental analysis by focusing on financial ratio analysis (Millenia, 2022). Stock
returns show how much investors have invested in the company and whether it is profitable.
The profit is the goal of investors (Batubara & Ariani, 2016).
The turnover ratio can be obtained by dividing the total share value by the market value.
Total business value describes transactions relative to the size of the economy and turnover
measures transactions relative to the size of the stock market (Adu et al., 2015). According to
the resource-based view of the company, a company can achieve sustainable comparable
profitability and higher profits by owning or controlling tangible and intangible strategic assets
(Riahi‐Belkaoui, 2003).
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Intellectual capital includes various sources of intellectual capital creation to achieve
financial performance value, which significantly increases the value of the company as an
example of the company's overall state. The concept of intellectual capital itself emphasizes
the need for organizations to build stronger and more intensive relationships with knowledge
centers to enhance interactive learning capabilities, and with business partners and inter-
organizational networks, thereby enabling them to provide additional resources (Komnenić &
Pulić, 2021). Good corporate governance is a term used to describe good practices in the
management of a business or organization. Good corporate governance practices include
running a business that is transparent, responsible, accountable, fair, and attentive to the rights
of stakeholders such as shareholders, employees, customers, communities, and the
environment (Ratnaningtyas & Nurbaeti, 2023) specific intangible intellectual capital assets to
explore the resource-based perspective of business. Using a sample of American multinational
companies, the results are statistically significant and support the resource- and stakeholder-
based view (Riahi‐Belkaoui, 2003)
Intellectual Value Added Coefficient commonly called VAIC is a method designed to
help managers realize their business potential, based on current business practices (Komnenić
& Pulić, 2021). The intellectual capital performance measurement model that is based on
Pulic's VAIC IC measurement model is called the modified intellectual capital coefficient (M-
VAIC). The consideration of additional components is what distinguishes M-VAIC from
VAIC. M-VAIC includes a fourth component, relative capital efficiency (RCE), in its
calculation in addition to the three components used by VAIC - Human Capital Efficiency
(HCE), Structured Capital Efficiency (SCE), and Capital Utilization Efficiency (CEE). This is
what distinguishes VAIC and MVAIC from each other (Ulum et al., 2017).
Resource Based View
Resource-based intellectual capital theory (RBV-IC) is a synthesis of resource-based
theory (RBV) and intellectual capital. RBV-IC has functions and resources. Resources are
classified as internal and external resources in this approach (SW & Firmansyah, 2012).
Resource-based theory/RBV has also been widely cited in the literature to examine the
relationship between IC and firm performance. Another reference to RBV relates to the reliance
on intangible assets (Faruq et al., 2023). RBV is prescriptive, meaning that the basic
prescription of RBV states that only resources that meet certain specific characteristics can
generate and sustain business success (Galbreath, 2005).
Barney 1991 said in his research that RBV creates a sustainable competitive advantage
that is closely related to the company's ability to provide and use valuable, rare, and
irreplaceable human resources effectively (Nassirzadeh et al., 2023). RBV also explains that
competitive advantage can only be maintained if the ability to create excellence is supported
by resources that cannot be easily imitated by competitors (Siyami, 2019). RBV also seeks to
prioritize talent as the leading resource and the most important factor in the company's success
(Galbreath, 2005).
Good Corporate Governance
Previous research shows that good corporate governance plays an important monitoring
role, which improves accounting quality (Becker et al., 1998; Francis and Krishnan, 1999; Xie
et al., 2003; (Ali et al., 2024); OECD (2004) defines Corporate governance is the system by
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which a company or business is managed and controlled. Therefore, the structure of Good
Corporate Governance Practices outlines the rights and responsibilities of everyone
participating in the organization, including the board and management, managers,
shareholders, and other related parties as stakeholders (Eksandy, 2018).
Corporate governance is one of the things that determines the success of a company,
increases the efficiency and effectiveness of business growth, increases investor confidence,
and protects investor interests (Maharani & Wahidahwati, 2023). Good corporate governance
(GCG) is a form of the company's commitment to the implementation of GCG values needed
to build investor confidence (Ekonomi et al., n.d.).
According to (Martsila and Meiranto, 2013) in their research, the mechanism of good
corporate governance is divided into two parts, namely. internal and external mechanisms.
Internal mechanisms include audit committees, independent commissioners, and boards of
directors, while external mechanisms include institutional ownership. These two mechanisms
can influence management who have the desire to pursue their own profits, make decisions
according to the rules, and are oriented towards the company's goal of maximizing shareholder
value (Juliana et al., 2018)
Proportion of Board of Commissioners
Management in the banking sector is encouraged to improve corporate governance
through several variables, including audit committee size, percentage of independent
commissioners, commissioner experience, and board size (Zulfikar et al., 2020). State-owned
companies must have independent commissioners for their registration, and at least 30% of the
commissioners must be independent. In accordance with Bapepam-LK regulation IX.I.5,
independent commissioners must fulfill the following requirements: they must be
commissioners who have no affiliation with the joint venture company and must not be direct
or indirect shareholders of the joint venture company. 3) Have no relationship with major
shareholders, management, or commissioners; 4) Have no commercial relationship, either
direct or indirect, with the joint venture company (Utama & Utama, 2019)
Independent commissioners facilitate tighter oversight of management decisions because
they have an incentive to maintain a positive reputation and attract outside sources of capital.
One of the areas that can be influenced by independent commissioners is compliance with
corporate governance (Zulfikar et al., 2020).
Institutional Ownership
Firms with greater levels of institutional ownership typically exhibit better earnings
quality, reduced discretionary accrual costs, and fewer instances of actual function
manipulation. (In contrast to the lack of similar findings among domestic institutional investors
(Nazari & Herremans, 2007); (Batubara & Ariani, 2016); (Mello et al., 2018), Ferreira and
Matos (2008) find that firms held by foreign institutional investors have higher firm valuations
and better operating results.
Stock return
According to Wijesundera's statement in 2016, stock returns are the returns that investors
can get from their initial investment. Investors should fully understand that losses are a
possibility alongside profits. An investor's ability to assess the current stock price situation has
a significant impact on their profit or loss. A realized return, which is determined by utilizing
previous data to assess the company's performance, can be achieved (Sukmawati & Tarmizi,
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2022).
Stock returns can be affected by external and internal factors. To prove profitability, the
authors of this article use financial measures including return on equity, debt to equity, and
current ratio, which indicate liquidity and financial leverage. Profitability, solvency, and
leverage in mining companies vary greatly, so these variables can indicate problems in stock
performance because when profitability increases, investors will be attracted so it provides an
opportunity to make frequent purchases and encourage the company's stock price to wake up
and generate high profits which are inversely related to liquidity and leverage (Millenia, 2022).
Intellectual Capital
Businesses can be valued in many different ways. Yet each study yields different
conclusions, and there are differences in the approaches taken by the corporate finance sector
to value businesses. Certain approaches offer advantages over others, depending on the
situation, and some ways reveal important details about business valuation that other ways
cannot. The conventional approach to business valuation relies more on past data, so estimates
such as free cash flow and the weighted average cost of capital (WACC) for the coming season,
as well as balance sheets, income statements, and cash flows, must be used. This approach
focuses mainly on the material assets of the company, but in a knowledge-based economy, it
places more emphasis on human resources and intellectual capital. For this reason, the
aforementioned company valuation techniques are outdated (Berzkalne & Zelgalve, 2014).
Intellectual capital is an important resource for companies to achieve and maintain
competitive advantage. (Pulic and Kolakovic, 2003), A better return on a company's intellectual
capital is likely to affect its financial performance. The higher the ICP, the better the financial
performance (Ulum et al., 2017) Intangible assets are very narrowly defined, excluding human
resources, customer loyalty, and corporate reputation. This element of intellectual capital, if
managed properly, has great potential to create value that many companies believe can no
longer be ignored (Brennan et al., 2000).
M-VAIC
M-vac can be used to measure the intellectual capital of Indonesian banking companies.
The results showed that MVAIC has a positive effect on market value (Ulum et al., 2017). The
MVAIC component provides a different picture of the direction and magnitude of the effect.
The difference in results depends on country-, industry-, and firm-specific factors, as well as
the period of analysis and the differences calculated (A & B, 2022).
A method to evaluate intellectual capital performance, the Modified Intellectual Capital
Ratio (M-VAIC) is based on the IC valuation model created in 2014 by Pulic, VAIC, Ulum et
al. One important difference between M-VAIC and VAIC is the inclusion of additional
components. Human Capital Efficiency (HCE), Structured Capital Efficiency (SCE), and
Capital Utilization Efficiency (CEE) are the three components that makeup VAICTM. M-
VAIC also includes relative capital efficiency (RCE), an additional component (Fuad &
Nustini, 2022).
In a study conducted (Oppong & Pattanayak, 2019), HCE has a positive effect on bank
productivity. Another component of IC, namely the efficiency of capital employed (CEE), is
defined by Pulik (1998) as covering all necessary financial assets and physical capital, so CEE
is an important aspect of the VAIC model. Including researchers Chen et al. (2005) found CEE
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to be positive and significant for specific initiatives such as EP and ROA. Consequently, Chan
(2009b) mainly evaluated the impact of IC on organizational performance and showed that
CEE is positive for all performance indicators, including productivity. In addition, Bontis,
Jano-sevi-c, and D-zenopoljac's (2015) study of hotels in Serbia showed that IC invested capital
drove the productivity of the sample hotels.
Firm size also has a negative impact on stock returns, as larger firms tend to have more
agency problems as information asymmetry and incentive conflicts between contracting parties
tend to increase with firm growth (Sun & Tong, 2003; (Zou & Adams, 2008).
The Effect of Good Corporate Governance on Stock Returns
Impact of Board of Commissioners Proportion on Stock Return
The number of commissioners has a positive effect; the larger the board of directors, the
better the bank complies with governance practices. With the increase in the number of
commissioners, controlling the management of the company is also easier (Zulfikar et al.,
2020).
In their research, Farma and Jensen 1983 state that independent managers bring benefits
to the company, namely: their skills can provide added value to the company. The role of the
board of directors is critical to minimizing agency problems in order to maximize shareholder
wealth. Van den Berghe 2004 also notes that the Board has a greater role in improving human
resources, corporate information, and board information(Utama & Utama, 2019). According to
Christa (2018), his research shows that the independent board of commissioners has an effect
on stock returns.
Impact of Institutional Ownership on Stock Returns
The definition of institutional ownership is share ownership by organizations or non-bank
financial institutions. (Sari, 2020) a large number of shares are majority owned by institutional
ownership Duggal and Millar (1999) using Two-Stage Least Squares (2SLS) found that the
acquirer's institutional ownership is significantly influenced by company size, insider
ownership, and company presence in the S&P 500.
Ownership structure as a governance mechanism determines how a firm's strategic
business decisions are made, and how management is monitored and compensated, and thus
may have an important influence on a firm's risk profile (e.g., Jensen & Meckling, 1976). (Zou
& Adams, 2008). According to several studies, institutional ownership has an empirical impact
on stock returns (Shoeyb et al., 2015; Rachmad et al., 2016; Ardi 2017) (Sari, 2020)
H1: The existence of Good Corporate Governance (Y) affects stock returns (X)
Intellectual capital modifies the impact of good corporate governance on stock returns.
In research conducted by (hananiel et al 2022), Shares reflect company ownership,
meaning that each investor expects maximum profit on the cost of buying shares. Based on
previous research, profitability has a positive relationship with stock returns. If information
about company performance is included in the market price, then ownership affects stock
returns (Zou & Adams, 2008)
La Porta 1998 and Berkowitz 2003 say in their research that corporate governance
mechanisms have a stronger positive impact on outcomes in countries with weak legal
environments. Given the relatively weak legal conditions in Indonesia (Utama & Utama, 2019).
Economic Value Added (EVA) has a large and beneficial impact on the stock performance of
IDX80 Indonesia issuers for the 2019-2021 period, according to research (Napitupulu et al.,
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2022).
Good corporate governance is expected to provide added value to the company for
investors and the company's interests with its stock returns (Sari, 2020). In general, the
corporate governance system includes the company's internal practices, procedures, and
processes that prioritize transparency, accountability, honesty, and fairness (Butar, 2019).
H2: Good Corporate Governance mechanisms have a greater influence on stock returns when
companies have higher Intellectual Capital.
RESEARCH METHODS
Companies in the financial industry listed between 2018 and 2022 on the Indonesia Stock
Exchange (IDX) are the subject of this study. The population used, or financial sector
companies listed on the Indonesia Stock Exchange consists of 106 companies listed between
2018 and 2022.
Table 1
Research Sample Determination
Based on the table above, there are 49 companies that were sampled in this study. The
49 companies are 22 Banking Companies, 7 investment service companies, 11 insurance
companies, and 6 holding & investment companies.
To answer the research problem, this study uses a non-random sampling technique
known as purposeful sampling, in which samples are selected based on predetermined
standards that are aligned with the research objectives (Fuad & Nustini, 2022).
No.
Criteria
Total
Population
106
1
Financial Sector companies with negative profits for the period 2018-2022
(45)
2
Financial Sector companies that do not use rupiah currency in the 2018-2022
reporting period
(0)
3
Financial Sector companies do not have enough data to fulfill the research needs
(12)
4
Number of companies to be studied
49
5
Observation period 2018-2022
5
6
Samples of companies studied and have the necessary data
245
Good Corporate Governance
Modal Intelektual
Stock Return
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Berikut Pengukuran yang digunakan dalam penelitian ini :
1. Stock Return
The return on investment or capital investment in the form of rewards is known as stock
returns (Sari, 2020).
𝑅𝑒𝑡𝑢𝑟𝑛 = 𝐶𝑎𝑝𝑖𝑡𝑎𝑙 𝐺𝑎𝑖𝑛
(
𝑙𝑜𝑠𝑠
)
+ 𝑌𝑖𝑒𝑙𝑑
2. Good Corporate Governance
Indikator Good Corporate Governance antara lain:
a. Proportion of Independent Board of Commissioners
The proportion of independent commissioners is calculated as the number of
independent commissioners divided by the total number of board members in time period
t. (Utama & Utama, 2019)
𝑃𝑟𝑜𝑝𝑜𝑟𝑡𝑖𝑜𝑛 𝑜𝑓 𝐵𝑜𝑎𝑟𝑑 𝑜𝑓 𝐶𝑜𝑚𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑒𝑟𝑠 =
𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝐼𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑒𝑛𝑡 𝐶𝑜𝑚𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑒𝑟𝑠
𝑇𝑜𝑡𝑎𝑙 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝐶𝑜𝑚𝑚𝑖𝑠𝑠𝑖𝑜𝑛𝑒𝑟 𝑀𝑒𝑚𝑏𝑒𝑟𝑠
× 100
b. Institutional Ownership
𝐼𝑛𝑠𝑡𝑖𝑡𝑢𝑡𝑖𝑜𝑛𝑎𝑙 𝑂𝑤𝑛𝑒𝑟𝑠ℎ𝑖𝑝 =
𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝐼𝑛𝑠𝑡𝑖𝑡𝑢𝑡𝑖𝑜𝑛𝑎𝑙 𝑆ℎ𝑎𝑟𝑒𝑠
𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑆ℎ𝑎𝑟𝑒𝑠 𝑂𝑢𝑡𝑠𝑡𝑎𝑛𝑑𝑖𝑛𝑔
× 100
3. Modal Intelektual
MVAIC (modified Value Added Intellectual Capital) is used to measure intellectual capital
in this study.
𝑀𝑉𝐴𝐼𝐶 = 𝐻𝐶𝐸 + 𝑆𝐶𝐸 + 𝐶𝐸𝐸 + 𝑅𝐶𝐸
a. VA = OUT – IN
b. HCE = VA/HC
c. SCE = (VA – HC)/VA
d. CEE = VA/CE
e. RCE = RC/CE
Description:
VA = Added Value
OUT = Output (total sales and other income) and
IN = Input (Operating Costs without Salaries and Benefits)
HC = Salary and benefits for employees
RC = stands for advertising, sales, and marketing expenses.
CE = is the entire equity or book value of net assets.
Empirical Model
Model 1
𝑅𝑆 = 𝛼 + 𝛽₁𝐺𝐶𝐺 + 𝜀
Model 2
𝑅𝑆 = 𝛼 + 𝛽₁𝐺𝐶𝐺 + 𝛽₂𝐼𝐶 + 𝛽₃𝐺𝐶𝐺 ∗ 𝐼𝐶 + 𝜀
Description:
RS = Stock Return
GCG = Mekanisme Good Corporate Governance
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IC = Intellectual Capital
𝛼 = Alpha
𝛽 = Beta
𝜀 = Error
RESULTS AND DISCUSSION
Table 2
Descriptive analysis.
Descriptive Statistics
N
Minimum
Maximum
Mean
Std.Deviation
MVAICA
224
9.6155
135.1376
54.177212
21.5909822
GCGA
224
20.0000
75.0000
48.668332
12.8147303
MVGCGA
224
480.7736
8883.5672
2626.673107
1262.859223
RSA
224
.2855
2.3677
1.047936
0.3078631
Valid N (listwise)
224
Source: Appendix 1 Secondary data processed (2023)
Based on the results of descriptive statistical tests, stock returns have a minimum value
of 2.855% or 0.2855. While the highest value is 2.3677 (236.7%). With an average stock value
of 1.047936 and a standard deviation of 0.3078631, the companies in the sample disclosed a
stock return of 104%. The minimum value of good corporate governance is 20.0000, and the
maximum value is 75.0000. With an average value of 48.668332 and a standard deviation of
12.8147307, companies in the sample have a good corporate governance level of 48%. The
minimum value of intellectual capital is 9.6155, and the maximum value is 135.1376. Based
on the analysis results of 21.5909822 standard deviation and 54.177212 mean value, the
companies studied have an intellectual capital level of 54%. Strong corporate governance,
moderated by intellectual capital, has a minimum value of 480.7736, a maximum value of
8883.5672, a mean value of 2626.673107, and a standard deviation of 1262.859223. Based on
this data, strong corporate governance, governed by intellectual capital, is present in 262% of
the sample companies.
Table 3
Coefficient of Determination
MODEL
R SQUARE
ADJ R
SQUARE
1
0.464
0.456
Source: Appendix 2 Secondary data processed (2023)
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Table 4
Regression Coefficient
Coefficient
std deviation
T
P-Value
CONSTANT
0.196
0.163
1.206
0.229
MVAICA
0.018
0.003
6.498
0.000
GCGA
0.007
0.003
2.233
0.027
MVGCGA
0.001
0.001
-3.265
0.001
Source: Appendix 3 Secondary data processed (2023)
The moderated regression analysis yielded a coefficient of determination of 0.456, or
45.6%, based on the findings of the statistical study. This illustrates how the independent
variables used as predictors explain a portion of the stock return volatility, with variables
outside the research model explaining the rest. Furthermore, the goodness of fit test resulted in
the significant value of the moderated regression analysis being below the alpha threshold
(0.000). For the independent variables used in this study, the regression coefficients for good
corporate governance (GCG), intellectual capital, and the interaction between the two variables
(moderation) were 017, 007, and 000, respectively. Each component gives positive results,
indicating that the movement of stock returns is correlated with variations in intellectual capital
and good corporate governance (GCG). Each regression coefficient on the independent
variables of the model shows statistical significance at alpha levels of 0.1, 0.05, and 0.01. The
significance level for each independent variable is 0.000, 0.027, and 0.001, respectively. The
statistical analysis conducted and the empirical data collected support the conclusion that good
corporate governance (GCG) affects stock returns. Thus, it can be concluded that hypothesis 1
has been validated. The stronger correlation between stock returns and good corporate
governance (GCG) is due to the influence of intellectual capital. This implies that when a
company has more intellectual capital, excellent corporate governance will have a greater
impact on stock returns. As a result, hypothesis 2 is accepted.
CONCLUSION
The following is a summary of the research findings based on the results of the data
analysis and discussion: The way stock returns move along with the improvement of excellent
corporate governance makes it clear that these two factors are positively correlated. The two
elements of good corporate governance that have the most influence on stock performance are
the Board of Commissioners and institutional ownership. Good corporate governance is clearly
associated with higher stock returns, as evidenced by research findings on this subject, which
are based on actual data collected from statistical analysis. The effect of Good Corporate
Governance on stock returns is strengthened by the role of intellectual capital, meaning that
Good Corporate Governance will tend to have a greater influence on stock returns when the
company has greater intellectual capital.
Suggestion
For future research, it is recommended that researchers expand the sample coverage by
including various industrial sectors to obtain more generalized and representative results. In
addition, the use of longitudinal methods can provide deeper insight into how the effect of
Good Corporate Governance (GCG) on stock returns develops over time and how Intellectual
Capital moderates the relationship in the long run. Future research can also consider additional
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variables such as other financial performance, macroeconomic conditions, and other external
factors that can affect the relationship between GCG and stock returns. Using a mixed methods
approach, which combines quantitative and qualitative analysis, could also provide a more
comprehensive understanding of the mechanisms underlying the influence of GCG and the role
of Intellectual Capital in this context.
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