THE INFLUENCE OF MACROECONOMIC FACTORS AND SYSTEMATIC RISK TOWARD STOCK RETURN IN PROPERTY INDUSTRY

Abstract

This study is about to analyze the influence of macroeconomic factors and systematic risk toward stock return of Top 5 Indonesian property developers according to BCI Asia Award 2013 listed in IDX during 2008 – 2013. The problem stated in this research is about the declining stock return of property industry during the global economic crisis in 2008 – 2013. This declining stock return indicates that there is an influence of the economic crisis toward the stock return condition of property industry. The objective of this study is to analyze the influence of inflation, exchange rate, interest rate and systematic risk, which is determined by beta, toward stock return of property industry companies during 2008 – 2013. The methodology used in this study is quantitative research method using secondary data. The sampling method used is purposive sampling, with criteria that the companies are categorized as 2013 top five property developers according to BCI Asia Top 10 Awards, listed in IDX during 2008 – 2013 and not being delisted during the time, and the financial report of the companies are available during the research timeframe of 2008 – 2013. The analysis of this research is using multiple linear regression analysis. With significance level of 0.05, the result of multiple regression shows that partially, inflation, interest rate and systematic risk are significantly influence stock return. While simultaneously all of the independent variable are significantly influence the stock return. The coefficient of determinant in this research is 23.2%.