E-Jurnal Manajemen Unud, Vol. 7, No. 3, 2018: 1682-1712 ISSN : 2302-8912 DOI: https://doi.org/10.24843/EJMUNUD.2018.v7.i03.p020 1682 PENGARUH KEBIJAKAN DIVIDEN, NILAI TUKAR, LEVERAGE, DAN FIRM SIZE TERHADAP VOLATILITAS HARGA SAHAM Komang Ria Selpiana 1 Ida Bagus Badjra 2 1,2 Fakultas Ekonomi dan Bisnis Universitas Udayana (Unud), Bali Indonesia e-mail: riaselpiana@yahoo.com/ Telp : 081353305367 ABSTRAK Volatilitas harga saham merupakan pergerakan naik atau turunnya harga saham. Tujuan penelitian ini adalah untuk mengetahui pengaruh kebijakan dividen, nilai tukar, leverage, dan firm size terhadap volatilitas harga saham. Penelitian ini dilakukan pada saham perusahaan indeks LQ45. Jumlah sampel yang diambil sebanyak 24 perusahaan dengan metode sensus. Teknik analisis yang digunakan adalah analisis regresi linear berganda. Berdasarkan hasil analisis ditemukan bahwa kebijakan dividen, nilai tukar, leverage, dan firm size secara simultan berpengaruh signifikan terhadap volatilitas harga saham. Secara parsial kebijakan dividen berpengaruh positif signifikan terhadap volatilitas harga saham, nilai tukar berpengaruh positif signifikan terhadap volatilitas harga saham, leverage berpengaruh positif tidak signifikan terhadap volatilitas harga saham, firm size berpengaruh negatif signifikan terhadap volatilitas harga saham. Kata Kunci: volatilitas, dividen, kurs, leverage, size ABSTRACT Stock price volatility is movement decrease or increase of the stock price. The purpose of this research is to determine impact of dividend policy, exchange rate, leverage, and firm size to stock price volatility. This research was conducted on the stock of LQ45 Index companies in the period of 2012 - 2016. Sample in this research amount 24 company by the sensus method. The analysis technique used is multiple linear regression analysis. Based on the results of the analysis found that the policy of dividend, exchange rate, leverage, and firm size simultaneously have a significant effect on stock price volatility. Partially dividend policy has a significant positive effect on stock price volatility, exchange rate has positive significant effect to stock price volatility, leverage has positive effect not significant to stock price volatility, firm size has significant negative effect to stock price volatility. Keywords: volatility, dividend, exchange rate, leverage, size