PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR TERHADAP RETURN PASAR DI BURSA EFEK INDONESIA PERIODE 2005-2011

The macro economics factors have impact on stock exchange market. The ability of investor in understanding and predicting the future economics factor is useful for the investment decision. The objective of this research is to find the effects of inflation, interest rates, and exchange rates on market return in the Indonesia Stock Exchange. The data analysis used multiple regresssion. Using the data for 2005-2011, the results showed that Exchange rates have significant effect on market return, while inflation and interes rates have not significant effect on market return. Keywords : inflation, interest rate, exchange rate and market return