PENGARUH KONDISI MAKRO EKONOMI DAN FUNDAMENTAL PERUSAHAAN TERHADAP RETURN SAHAM LQ45 YANG TERDAFTAR DI BURSA EFEK INDONESIA

Abstract

The aims of this study are to analyze the effect of macro economics as measured by Bank of Indonesia (BI) Rate and Inflation and company fundamentals condition as measured by Return on Assets (ROA), Debt to Equity Ratio (DER) and Price Earning Ratio (PER) on LQ45 Stock Return in Indonesia Stock Exchange. This study was taken because there are still differences between the research studies with each other. This research was conducted using secondary data. Variables used in this study were, LQ45 Stock Return as the dependent variable and the Bank of Indonesia (BI) rate, Inflation, Return on Assets (ROA), Debt to Equity Ratio (DER) and Price Earning Ratio (PER) as an independent variables. The analysis method used is multiple linear regression analysis, previously performed classical assumptions test that included normality test, multicollinearity test, heteroscedasticity test, and autocorrelation test. And then the latter using multiple correlation analysis, determination analysis, t-test and F-test for hypothesis testing. The results of this study showed that, partially macro economics as measured by Bank of Indonesia (BI) Rate and Inflation has significant effect on LQ45 Stock Return. While, partially company fundamentals condition as measured by Return on Assets (ROA),Debt to Equity Ratio (DER) and Price Earning Ratio (PER) haven’t significant effect on LQ45 Stock Return. Macro economics as measured by Bank of Indonesia (BI) Rate and Inflationand company fundamentals condition as measured by Return on Assets (ROA), Debt to Equity Ratio (DER) and Price Earning Ratio (PER) simultaneously had significant effect on LQ45stock return. Prediction capability from these five variables toward LQ45 Stock Return is 20.00%, where the balance 80.00% is affected to other factor which was not to be entered to research model.

Keywords: Bank of Indonesia (BI) Rate, Inflation, Return on Assets (ROA), Debt to Equity Ratio (DER), Price Earning Ratio (PER) and LQ45 Stock Return.