Abstract:
This study examines the impact of inflation, exchange rates, the COVID-19
pandemic, profitability, and leverage on stock returns in the manufacturing sector
listed on the Indonesia Stock Exchange (IDX) from 2019 to 2022, with firm size
as a control variable. Using the Random Effect Model (REM), the results show
that inflation has a significant positive effect on stock returns. This suggests that
manufacturing companies were able to pass on increased costs to consumers, maintaining profit margins and boosting investor confidence. However, exchange
rates, COVID-19, profitability (measured by Return on Assets), and leverage were
found to have no significant effect on stock returns. The insignificance of these
variables may be due to companies' effective risk management strategies, adaptability to the pandemic, and investors' focus on broader economic factors
rather than internal financial metrics during the study period. These findings
emphasize the critical role of external macroeconomic factors, particularly
inflation, in determining stock returns in the Indonesian manufacturing sector, while internal metrics such as profitability and leverage play a less significant role. The study provides insights for investors and managers to better understand the
key drivers of stock performance and adapt strategies accordingly. of stock performance and adapt strategies accordingly.
