THE INFLUENCE OF MACROECONOMIC FACTORS ON STOCK RETURN LISTED IN COMPOSITE STOCK PRICE INDEX (IHSG) FROM 2008 - 2012

Abstract

Every country has the same goal, which is to increase the level of the wealth of its citizen. In an effort to improve the prosperity of the society, any government made development in various sectors, both in the short and long term. Economic growth is one of the most effective indicator to observe the level of prosperity in a country, the better level of a country's economy, the better the level of wealth of the citizen. The objectives of this research are to analyze the influence of inflation, Gross Domestic Product (GDP), money supply, Rupiah’s exchange rate, and interest rate by Indonesia central bank (macroeconomic factors) on stock return listed in Composite Stock Price Index (IHSG) simultaneously and partially. Theories supporting research are macroeconomics, investment, capital market, and stock return. The population in this research is Composite Stock Price Index (IHSG) with sample of Composite Stock Price Index from 2008 - 2012. Results and conclusions are macroeconomic factors, namely inflation, Gross Domestic Product (GDP), money supply, exchange rate, and interest rate have significant influence on stock return listed in Composite Stock Price Index (IHSG).

Keywords: macroeconomic, stock return