Pengaruh Tingkat Keuntungan Pasar, Nilai Tukar Rupiah, Infl asi, Dan Tingkat Suku Bunga, Terhadap Return Saham Industri Food And Baverage Tahun 2007-2009Studi Pada Bursa Efek Indonesia

Abstract

Return is the profi t in the future which is compensation for the risk associated with the investments made. One instrument is a capital investment in the stock market.  The  purpose  of  this  study  to  examine  the  effect  of  macroeconomic variables (market profi t rate, exchange rate, infl ation, interest rates) to the Food and Baverage stock returns.The samples in this study were shares in food and industrial sectors baverage listed on the Stock Exchange in the period 2007- 2009. Sampling using purposive sampling and obtain samples 17 companies. Data taken from the fi nancial statements issued by a public company listed on the Indonesia Stock Exchange (IDX). Analysis of the data in this study using multiple regression with teory Arbitrage Price Theory (APT). The results of the study by testing the coeffi cient of determination (R square) concluded  baverage  food  and  stock  returns  can  be  explained  by  the  four independent variables (macroeconomic Variebel) of 23.3%. F test results in this study indicate that macroeconomic variables (market profi t rate, exchange rate, infl ation and interest rate) as a whole has signifi cant infl uence.T test results in this study indicate that the variable profi t rate, exchange rate, infl ation has no signifi cant effect, while interest rates have a signifi cant effect on the Food and Baverage stock returns. Keywords :APT, Market Profi t Rate, Exchange Rate, Infl ation, Interest Rate, Stock Return