PENGARUH INFLASI, RETURN PASAR, DAN PRICE EARNING RATIO TERHADAP RETURN SAHAM

Abstract

Indicators of micro and macro economy have influence to the capital market in general and stocks in
particular. The indicator of macro economy e.g. inflation has negative influence to the stock return, the condition
of stock market, condition of stock market or market return has positive influence to the stock return. The
indicator of micro economy for instance, Price Earnings Ratio (PER) has positive influence to the stock return.
This research studies about the influence of indicators of macro and micro economy i.e. inflation rates, market
return, and Price Earnings Ratio (PER) to the stock return at LQ45 Companies which are listed in Indonesia
Stock Exchange (IDX). This research applies secondary data. The sample collection has been done by using
purposive sampling method. The sample has been done by using seventeen LQ45 companies in 2012-2014
periods. The data has been retrieved from Journal of Bank Indonesia, Financial Economics Statistics Indonesia
(SEKI) and IDX Monthly Statistics. The analysis technique has been done by using multiple linear regressions
analysis. The result of this research shows that inflation (LIF) has significant and negative influence to the stock
return. Meanwhile, Price Earnings Ratio (PER) does not have any significant but positive influence to the stock
return.
Keywords: Inflation (ILF), Market Return (REP), Price Earning Ratio (PER), Stock Return