Abstract
The macro economic variable who influenced stocks return were gross dometic product (Soenen and Johnsons, 2001), inflation rate (Flanery et al. 2002 and Hess and Lee (1999), interest rate and exchange rate (Bodie et al. 2005). These reseach were done in China, Swiss and USA stock market. The aims of this research are to know the influence of the macro economic variable, namely SBI rate, inflation rate and exchange rate to stock return in Jakarta Stock Exchange (JSX) from 2000-2004. The economic macro variables didn’t influence to return in stock of agricultur, mining, miscellanous industry, consumption goods, infrastructur, and service, significantly and partially. In chemical stock, construction and finance, the SBI rate had influenced to macro economic, partially. In agricultural, mining, consumption goods, construction, infrastructure, and service, the macro ecnomic variable did’t influence to return significantly and simultanously.
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