PENGARUH ANALISIS FUNDAMENTAL DAN RESIKO SISTEMATIS TERHADAP RETURN SAHAM PERUSAHAAN PERIODE 2008-2015

Abstract

This research is meant to examine the influence of economic analysis which is proxy by the inflation and interest
rates and company analysis is proxy with current ratio, return on asset, debt to equity ratio, total asset turnover
and earnings per share also systematic risk to the stock return. The population of this research is all companies
which are listed at Jakarta Islamic Index (JII) in 2008-2015 periods. The sample collection method has been done
by using purposive sampling so that based on the criteria 4 companies have been determined as samples. The
analysis technique has been carried out by using multiple linear regressions analysis with the application
instrument of the SPSS (Statistical Program for Social Science) . The result of the research shows that inflation
and interest rates has significant and negative influence to the stock return. While earnings per share and
systematic risk has significant and positive influence to the stock return. Meanwhile, current ratio, return on
asset, debt to equity ratio, total asset turnover does not have any significant influence to the stock return.

Keywords: inflation, interest rates level, earnings per share, systematic risk, stock return.