PENGARUH FAKTOR EKONOMI MAKRO DAN FUNDAMENTAL PERUSAHAAN TERHADAP RETURN SAHAM SEKTOR MANUFAKTUR DI BURSA EFEK INDONESIA

Stock return is influenced by many factors. One of security analysis is fundamental analysis that used to determine company value. Financial ratios are commonly used to evaluate company performance. This research, tests the influence of macro economic and fundamental ratios to the stock return manufacturing companies listed on the Indonesia Stock Exchange (IDX). In this research 83 companies had been used as a sample with three years observation (2008-2010). Independent variables are interest rates, current ratio (CR), debt to equity (DER), and return on equity (ROE). The method used in this research is multiple regression analysis. The result from this research shows that all the variable simultaneously have a significance influence to the stock return. Partially, only interest rates and return on equity (ROE) that have significance influence to the stock return. Based on R Square it is concluded that all of the independent variable that been used can explained 6,6% stock return variation, meanwhile the rest 93,4% explained by other factors beyond this model. Keywords : Stock return, Interest rates, Current ratio, Debt to equity ratio and Return on equit