ANALISA PENGARUH INFLASI, TINGKAT SUKU BUNGA, CADANGAN DEVISA, UANG BEREDAR, KURS USD-IDR, TERHADAP RETURN HARGA SAHAM SEKTOR INDUSTRI DASAR KIMIA PADA SUBSEKTOR SEMEN DI INDONESIA

The aim of this study is to explore the effect of variable inflation, interest rates, foreign exchange reserves, money supply, exchange rate of USD-IDR to the price return of the stock on the the cement sub-sector of chemical industry sector in Indonesia, namely for cement companies listed in Indonesia Stock Exchange for the period January 2009 to February 2013. The results show that there is a correlation correlation ( r) of 0.48388 , which means that there is a relationship being between the rate of inflation, foreign exchange reserves, USD-IDR exchange rate, interest rates and the money supply to the cement sector stock return means that the contribution of the relationship is of 23.4139 %. Shown also that the rate of inflation, the State reserves and the money supply has a significant influence on stock returns with t-statistics level consecutively is 6.064 for inflation, 4.914 fo foreign exchange reserves and 3.161 for the number of money supply, which is due to the value of t-statistic > 1.96. As for the interest rate and the exchange rate of USD-IDR does not have significant influence.Keywords: Consumer price index, interest, money flow index, forex, return and risk