Does Stock Return Influenced by Macroeconomic Factors?

Abstract

The purpose of this study is to find out how the effect of inflation, interest rates (BI rate), and exchange rates on stock prices of the Construction and Building sub-sector on the Indonesia Stock Exchange in the 2014-2018 period. The independent variables in this study are inflation, interest rates (BI rate), and exchange rates, while the dependent variable is stock returns. The population in this study are all companies that are included in the construction and building sub-sector listed on the Indonesia Stock Exchange for the period 2014-2018, as many as 16 listed companies. The sample in this study was 9 companies which were taken based on the sampling technique used, namely purposive sampling by using several considerations or predetermined criteria. The data analysis method used multiple linear regression analysis. To test the hypothesis, the t-test was used for partial testing and F-test for simultaneous testing. The results showed that inflation had a significant positive effect on stock returns, the interest rate (BI rate) had a significant negative effect on stock returns. While the Exchange Rate does not affect Stock Return.