The effect of macroeconomy towards the infrastructure, utilities, and transportation sector’s stock return in the Indonesian Stock Exchange

Abstract

This study aims to identify the effect of macroeconomic variables on stock returns, where macroeconomic fluctuations can affect stock prices and have an impact on stock returns. The macroeconomic variables used in this study are inflation, interest rates (BI rate), and the Rupiah exchange rate against the US Dollar. The population used by researchers is the Infrastructure, Utilities, and Transportation sector in the Indonesian Stock Exchange with a population of 60 companies. The sampling technique used was purposive sampling in order to obtain 37 sample companies. The data processing technique that is used is panel data. The results showed that simultaneously there was a macroeconomic influence on stock returns, and partially there was a significant negative effect between inflation and exchange rates on stock returns, while the interest rate (BI rate) had no effect on stock returns.