Analysis of Macroeconomic Factors and Fundamental Factors to Sharia Stock Return on Trade, Services and Investment Sector Companies in Jakarta Islamic Index (JII) Period 2014-2018

Abstract

This research aims to find out how much macroeconomic factors indicated by variable Inflation rate and Interest Rate (BI Rate) and fundamental factors indicated by market capitalization, Price Earning Ratio (PER) and Price Book Value (PBV) affect to Sharia Stock Return of trade, services and investment sector companies in JII during the period 2014-2018. The method in this research is quantitative and descriptive research methods. The populations in this study were companies in the trade, services and investment sectors in JII using purposive sampling technique, namely sampling with the criteria of companies that routinely distribute dividends during the study period. Multiple correlation tests shows the R value of 0.824, This means that variables in macroeconomics and variables in company fundamentals have an effect of 82.4% on stock returns with a very strong correlation level. The value of the coefficient of determination indicates the inflation rate, BI Rate, market capitalization, PER and PBV can explain the return variable of 50.1%, while 49.9% is explained by other variables outside the research model. The results show that partially the inflation rate and the BI Rate have a positive and insignificant effect on sharia stock returns, while market capitalization has a positive and significant effect, PER has a positive and significant effect and PBV has a significant negative effect on Islamic stock returns. Simultaneously the inflation rate and interest rate (BI Rate), market capitalization, Price Earnings Ratio (PER) and Price Book Value (PBV) have a significant effect on sharia stock returns of trade, services and investment companies in JII during the period 2014-2015. This means that Islamic investors are advised to further analyze the company's fundamental factors before investing in Islamic instruments, because the investment in Islamic instruments has anticipated economic factors, so the return on Islamic stocks tends to be smaller than conventional stock returns.