THE INFLUENCE OF FINANCIAL RATIOS AND MACROECONOMICS TOWARDS STOCK RETURN OF INDONESIA’S PROPERTY AND REAL ESTATE INDUSTRY

Abstract

This research aims to analyze the influence of financial ratios and macroeconomics towards stock return particularly Indonesia’s property and real estate industry. There are six independent variables within this research which are being examined by descriptive statistical analysis, classical assumption test, multiple linear regressions and hypothesis testing. Purposive sampling method is used in order to select the observation data and panel data are used in this research, where the data are collected from the companies’ official website, Bank of Indonesia’s website, World’s Bank website and Yahoo Finance. This study adopting quantitative research and has 120 observation data from 15 samples quarterly from 2018-2019. The independent variables used are debt to equity ratio (DER), price to book value (PBV), current ratio (CR), inflation, interest rate, and exchange rate. The result shows that PBV and CR have partial significant influence towards stock return; meanwhile DER, inflation, interest rate and exchange rate have insignificant influence. The adjusted R-squared value shows that the independent variables have 17.19% simultaneous influence towards stock return and PBV as the most significant factor.