PENGARUH FAKTOR FUNDAMENTAL PERUSAHAAN DAN KONDISI MAKRO EKONOMI TERHADAP RETURN SAHAM PERUSAHAAN YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX

Abstract

Stock return volatility is influenced by various internal factors and external factors. This study aims to examine the effect of company fundamentals and macro-economics to return stock companies listed in the Jakarta Islamic Index (JII). The research data obtained through documentation techniques include data on the financial statements of companies in Indonesia who are members of JII during the years 2007-2009 from Bank Indonesia and the Indonesian Stock Exchange. The study took a sample of 9 companies listed in the JII with purposive sampling method. While the analysis of data using multiple linear regression. Based on the results of this study concluded that: (a) the entire company fundamental variables simultaneously have significant effect on stock returns at the companies listed in the JII. The contribution of these variables in explaining stock return variation amounted to 47.5%, (b) ROI, ROE, asset growth, and EPS have positive and significant effect on stock return, (c) DER and DPR partially have not significant effect to stock return of the companies listed on JII, (d) all macroeconomic variables simultaneously have significant effect on stock return of the companies listed on JII with a contribution of 43.5%, (e) inflation and foreign exchange rates partially have significant and negative effect on stock return, (f) economic growth is partially variable does not significantly influence stock returns, but simultaneously has positive and significant impact on stock return, (k) and the interest rate partially has not significant effect on stock returns of the companies listed on JII.