The Effect of Inflation, BI Rate, and Exchange Rate on Stock Returns (Case Study in Agricultural Companies Listed on the Indonesia Stock Exchange)

Abstract

The agricultural sector in Indonesia has an important role in meeting the needs of society as well as increasing the State's foreign exchange. The stock returns in agricultural sector companies has decreased, where the rate of stock returns can be influenced by many factors, one of which is macroeconomic factors which are considered the most influencing economic conditions of the company. This study aims to determine the effect of inflation, the BI Rate, and the rupiah exchange rate on stock returns of agricultural sector companies. The method used in this research is quantitative research methods. The population in this study were 22 companies in the agricultural sector listed on the Indonesia Stock Exchange for the period 2015-2019 and the sampling of 16 companies used purposive sampling, which was determined based on criteria. The statistical data analysis used is the classical assumption test, normality test, multicolonierity test, autocorrelation test, heteroscedasticity test, and hypothesis testing using the t-statistical hypothesis test to test the partial regression coefficient and hypothesis test f-statistic to test the simultaneous regression coefficient with a significance level 5%, which is processed with e-views 9. The test results of this study indicate that the BI Rate and Exchange Rate variables have a significant effect on stock returns, while the inflation variable does not have a significant effect with negative direction.