An Empirical Study of Macroeconomic to Portfolio Performance : Sub-sector Building Construction with Crude Petroleum and Natural Gas

The Indonesian capital markets have show a remarkable recovery after financial crisis at the 1990. Although there was down at 2008, but consistency growth has succeed to record an outstanding performance at 2016. This paper aims to observate influence variable of macroeconomic in Indonesia as inflation, exchange rate, interest rate and oil price to return of building contruction with crude petroleum and natural gas sub-sector, and benchmark period 2014 to 2016. The methodology in used is multiple linear regression model, the independent and dependent variables is issued macroeconomic and return of both sub-sector and benchmark. The primary results from this research is increase of exchange range has negative effect or decrease to stock return on the sub-sector building construction ( = 5%), sub-sector crude petroleum and natural gas ( = 10%), and benchmark ( = 5%). Increase of crude oil price has negative effect or decrease to stock return on the sub-sector building construction ( = 5%) and benchmark ( = 10%). But different with variables inflation and interest rate, the both variables not significantly. Keywords: Building construction, Crude petroleum and natural gas, Benchmark, Macroeconomi