The Effect of Macroeconomic Factors and Profitability on State-Owned Companies' Stock Return: Evidence from Indonesia Stock Exchange

Abstract

This study examines the effect of inflation, exchange rates, interest rates, earnings per Share (EPS), and return on assets (ROA) on stock returns in State-Owned Companies listed on the Indonesia Stock Exchange (IDX) in 2016-2020. This study is analysed using panel data regression. The independent variables are Inflation, Exchange Rates, Interest Rates, earnings per share (EPS), and Return on Assets (ROA), and stock return is a dependent variable. With 25 companies, the data were collected using purposive sampling and 24 companies were obtained as a sample from 2016 to 2020. The type of data used is secondary data. This study concludes that inflation, exchange, and interest rates significantly impact State-Owned Companies' stock return. Besides that, Earnings per Share and return on assets do not substantially affect State-Owned Companies' stock returns. This study recommends that companies provide financial information that is objective and relevant and can be tested for validity to convince investors to make decisions to invest in the company. Companies need to improve their performance so that investors are interested in investing in the company. Also, when making investment decisions, investors pay attention to macroeconomic factors, profitability, and other factors such as fundamental and market factors. Fundamental factors are factors related to the performance of the issuer company. Meanwhile, market factors are related to the performance of its shares.