Electronic Theses and Dissertation

Penelitian ini bertujuan untuk menganalisis pengaruh inflasi, suku bunga, Produk Domestik Bruto (PDB), dan nilai tukar terhadap return saham perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia. Penelitian ini menggunakan pendekatan kuantitatif dengan jenis penelitian asosiatif. Data yang digunakan merupakan data sekunder yang diperoleh dari Bursa Efek Indonesia, Bank Indonesia, dan Badan Pusat Statistik. Populasi penelitian adalah perusahaan sektor manufaktur yang terdaftar di Bursa Efek Indonesia, sedangkan teknik pengambilan sampel menggunakan metode purposive sampling. Analisis data dilakukan dengan menggunakan metode regresi linear berganda untuk menguji pengaruh masing-masing variabel independen terhadap return saham. Hasil penelitian menunjukkan bahwa secara parsial inflasi dan suku bunga berpengaruh negatif dan signifikan terhadap return saham. Nilai tukar juga berpengaruh negatif dan signifikan terhadap return saham, sedangkan Produk Domestik Bruto tidak memiliki pengaruh signifikan. Secara simultan, inflasi, suku bunga, Produk Domestik Bruto, dan nilai tukar terbukti berpengaruh signifikan terhadap return saham perusahaan manufaktur.

Kata kunci: Inflasi, Suku Bunga, Produk Domestik Bruto, Nilai Tukar, Return Saham.

This study aims to analyze the effect of inflation, interest rates, Gross Domestic Product (GDP), and exchange rates on stock returns of manufacturing companies listed on the Indonesia Stock Exchange. This study employs a quantitative approach with an associative research design. The data used are secondary data obtained from the Indonesia Stock Exchange, Bank Indonesia, and the Central Statistics Agency. The population consists of manufacturing companies listed on the Indonesia Stock Exchange, while the sampling technique uses purposive sampling. Data analysis is conducted using multiple linear regression to examine the effect of each independent variable on stock returns. The results show that inflation and interest rates partially have a negative and significant effect on stock returns. The exchange rate also has a negative and significant effect on stock returns, while Gross Domestic Product does not have a significant effect. Simultaneously, inflation, interest rates, Gross Domestic Product, and exchange rates significantly influence the stock returns of manufacturing companies. Keywords: Inflation, Interest Rates, Gross Domestic Product, Exchange Rate, Stock Return.