The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index

Oktavian Yodha Utama,Siti Puryandani

doi:10.15294/jdm.v11i1.21207

Abstract

This study aims to determine the effect of BI rate, USD to IDR exchange rates, and gold price on stock returns listed in the SRI KEHATI Index for the period January to December 2018. The population in this research is companies listed on the Indonesia Stock Exchange. The sample is determined by using a purposive sampling method. Some criteria of the sample are companies that: had entered to the SRI KEHATI index respectively from January to December 2018, reported the 2018 monthly financial report, were not suspended by the IDX during the study period, so that obtained a sample of 23 companies with total data is 268. This study used quantitative data analysis in the form of time-series data from January to December 2018. The data collection method used in this study is the documentation method. The analytical tool in this study is the multiple regression analysis. In this study, data is processed by using the SPSS program 21. The results show that the BI rate has a significant positive effect on stock returns, the USD to IDR exchange rate has a significant negative effect on stock returns, and gold price does not have a significant effect on stock returns.

Highlights

Nowadays, the development of the capital market in Indonesia can be said to be rapid
The gold price variable will be influenced by the availability of the gold source, as the mining company that joined in Sustainable and Responsible Investment (SRI) KEHATI index they have to implement the sustainability factors, so this variable has the potency to influence the stock return of mining companies that entered in SRI KEHATI index
The sample is determined by using purposive sampling method with criteria such as: companies that had entered to the SRI KEHATI index from January to December 2018, companies that entered to the SRI KEHATI index respectively from January to December 2018, companies that reported the 2018 monthly financial report, companies that were not suspended by the Indonesia Stock Exchange (IDX) during the study period so that obtained a sample of 23 companies with total data is 268

Summary

Introduction

The development of the capital market in Indonesia can be said to be rapid. The condition of the capital market in Indonesia is reflected in the stock price index. Activities that occur in the capital market are supply and demand activities between investors who have excess funds and companies that need funds. By doing these activities as investors expect returns on stock investments that they have made to companies that need funds. The stock return they expect is capital gains and dividend distribution by the company to shareholders

Objectives

Methods

Findings

Conclusion