Pengaruh Inflasi, Suku Bunga dan Nilai Tukar Rupiah Terhadap Return Saham  (Pada Perbankan yang Terdaftar di Bursa Efek Indonesia Tahun 2016-2023)

Abstract

This research aims to determine the impact of inflation, interest rates, and the rupiah exchange rate on stock returns. The study utilizes secondary data from a population of 43 banking companies listed on the Indonesia Stock Exchange (IDX) between 2016 and 2023. A sample of eight companies was selected using a non-probability sampling technique, specifically purposive sampling. The research employed a quantitative descriptive verificative method and was analyzed using SPSS 27.0. Descriptive analysis included mean, minimum, maximum, and standard deviation values. Verificative analysis involved classical assumption tests (normality, multicollinearity, heteroscedasticity, and autocorrelation). Further analyses included multiple linear regression, Spearman correlation test, and hypothesis testing (partial and simultaneous tests). The results from the classical assumption tests confirmed that the regression model met the required criteria (normality, multicollinearity, heteroscedasticity, and autocorrelation). Partial hypothesis testing revealed that inflation has a positive and significant effect on stock returns. Meanwhile, both interest rates and the rupiah exchange rate have a negative and significant effect on stock returns. Furthermore, the simultaneous test indicated that inflation, interest rates, and the rupiah exchange rate collectively and significantly influence stock returns.