PENGARUH INFLASI, PDB, DAN NILAI PERUSAHAAN SELAMA PANDEMI COVID-19 TERHADAP RETURN SAHAM

Abstract

This research aimed to examine the effect of inflation, Gross Domestic Product (GDP), and firm value on stock return. While the inflation was measured by consumers’ price index, GDP was based on the constant price basis of income, and firm value was measured by Tobin’s Q ratio. The research was quantitative with a causal-comparative model, as to find out the cause-effect relationship among variables. Moreover, the data collection technique used purposive sampling, in which the sample was based on criteria given. In line with that, there were 104 samples from 26 Food and Beverages companies which were listed on Indonesia Stock Exchange during the pandemic Covid-19 (on the second quarterly 2020-the first quarterly 2021). However, those samples had not been normally distributed yet; therefore, outlier data were needed. Meanwhile, there were 56 observation data used, with 48 outlier data. Furthermore, the data analysis technique used multiple linear regression with SPSS 26. The research result concluded that inflation had a positive and significant effect on stock return. On the other hand, Gross Domestic Product (GDP) had a negative and significant effect on stock return. In contrast, firm value had an insignificant effect on stock return.
Keywords: inflation, GDP, firm value, stock return