Pengaruh Variabel Makroekonomi Dan Kinerja Keuangan Terhadap Return Saham Perusahaan Yang Tercatat Di Jakarta Islamic Index

Abstract

This research aims to analyze the effect of macroeconomic variables and financial performance to stock returns of companies at JII. The data used is secondary data and the method used is panel data regression analysis with the program Eviews 9 to get an overview about the relationship between one variable with another variables. The sample in this study consisted of 15 companies registered in JII for 5 years from 2012-2016 with purposive sampling as sampling method. The results of this research shows that GDP and ROA variable have a significant influence to stock returns. While Inflation and SBIS’s bonus rate does not have a partially significance influence. The result of regression analysis simultaneously obtained that Inflation, GDP, SBIS’s bonus rate and ROA jointly affect Stock Return. The prediction ability of these four variables to Stock Return is 97.21% while the rest of 2.79% influenced by other factor not included in research model.