The Impact of Macroeconomic on Stock Return: Evidence from Companies Listed on the Indonesia Stock Exchange

Abstract

The purpose of this study is to find the impact of macroeconomic (inflation, BI rates, economic growth, world oil prices, and the money supply) on stock return in Indonesia. A sampling of 251 listed companies listed on the Indonesia Stock Exchange (IDX) was carried out using a purposive sampling technique. The data used in this study is panel data, namely cross-section data and time-series data, for the period 2007-2017. While the data analysis technique uses panel data regression and processed by Eviews Software. The results showed that inflation and the Rate does not significantly influence stock returns. While, economic growth, world oil price, and money supply significantly influence stock return. The result of our study gives the implication that macroeconomic variables must be controlled to maintain the stability of stock returns.