PENGARUH NILAI KURS RUPIAH, TINGKAT INFLASI DAN DEBT TO EQUITY RATIO TERHADAP RETURN SAHAM DI BURSA EFEK INDONESIA
Abstract
In the development of today’s economy, both in developed and developing countries, such as Indonesia, substantial capital is obtainable from various sources. One of the sources is capital market, where the parties has excess funds to meet with those who need funds by trading securities, commonly known as stock. Stock is one of capital market’s long term instrument. Capital market also hold monetary function where invested capital could be returning for stockholder according to investor’s preferency of stock characteristic.
This study was conducted to better understand whether there are effects of the variables,such as Rupiah Exchange Value, Inflation, and Debt to Equity Ratio on Return in Indonesian Stock Exchange, and how big the effects were. As has been described in previous studies sourced from journals and textbooks that these variables affect the stock returns in the Indonesian Stock Exchange, here the author tries to discuss back the similar issue but with differentperiods and numbers.
The independent variables in this study are Rupiah Exchange Value, Inflation, and Debt to Equity Ratio while the dependent variable is the Stock Return. Sampling was done by purposive sampling method with the criteria listed in the Indonesian Stock Exchange and has a complete set of financial statements. The study sample consisted of 79 Businesses in Indonesian Stock Exchange where the company in each sector represent 15% of the number of companies in each sector. Data were analyzed using descriptive and statistical analysis (multiple linear regression using SPSS version 16).
The partial results of the study showed that the Rupiah Exchange Value has positive but not significant effect, inflation rate has negative and significant effect while the Debt to Equity Ratio negative but not significant effect to Stock Return in Indonesian Stock Exchange. Simultaneously, together all the independent variables has a significant effect on Stock Returns, where the significance level can be seen from sig. number which is less than 0.05.
Key words : Rupiah Exchange Value, Inflation, Debt to Equity Ratio, and Stock Return.
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