PENGARUH KONDISI MAKRO EKONOMI DAN INDEKS HARGA SAHAM GABUNGAN TERHADAP RETURN SAHAM SEKTOR KEUANGAN (Studi Empiris di Bursa Efek Indonesia periode Tahun 2004 - 2008)

Abstract

This research is performed to test the influence of kurs change, interest rate change, inflation change, GDP change and IHSG change toward stock return. Methodology research as the sample used purposive sampling with criteria as (1) IHSK in ISX over period 2004-2008. Data analysis with multi linier regression of ordinary least square and hypotheses test used t-statistic and f-statistic at level of significance 5%. During 2004-2008 period show as deviation has not founded this indicate classical assumption that the available data has fulfill the condition to use multi linier regression model. Empirical evidence show kurs change, interest rate change, inflation change, GDP change to have influence toward stock return at level of significance less than 5%, IHSG change have not influence toward stock return at level of significance more than 5%.