Effect of Good Corporate Governance Dimension Implementation on Market Value of Equity and its Implication on Stock Return of Banking, Mining, and Manufacturing Firms Listed in the Indonesia Stock Exchange (IDX)

Good Corporate Governance is a major concern to support the operational activities of the company. In the current development of Corporate Governance Perception Index is the assessment result of the implementation of Good Corporate Governance which has an important role in increasing the trust of shareholders to the company so can be expedited investment flow. This study aims to analyze the effect of GCG dimension implementation using CGPI consisting of self-assessment, documentation, paper report, and observation on stock return through market value of equity. The data used are secondary data from CGPI research reports, annual financial reports, and Yahoo finance in period 2011 to 2015. The selected sample companies are 9 companies consisting of 5 banking, 3 mining, and 1 manufacturing listed in The Indonesia Stock Exchange (IDX). The samples size is 45 samples selected as study objects based on three criteria which have been determined by the research purpose. This study uses path analysis. The results showed that GCG dimension implementation includes self-assessment, documentation, paper report, and observation affect the market value of equity both partially and simultaneously. Then the market value of equity affects stock return. It can be concluded that GCG dimension implementation affects stock return through market value of equity both partially and simultaneously where observation has dominant contribution followed by documentation, self-assessment and paper reports.