PENGARUH INFLASI, SUKU BUNGA, DAN NILAI TUKAR RUPIAH TERHADAP RETURN SAHAM PERUSAHAAN SEKTOR PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2020 – 2024

Abstract

This study analyzes the effect of inflation, interest rates, and the rupiah exchange rate on stock returns of banking companies listed on the Indonesia Stock Exchange (IDX) during 2020–2024. This research employed a quantitative approach with a causal design. The sample was selected using purposive sampling, resulting in 31 companies with 155 observations. Secondary data were obtained from financial statements, the Indonesia Stock Exchange, Bank Indonesia, and Statistics Indonesia, and analyzed using multiple linear regression with SPSS. The results show that inflation and the rupiah exchange rate have a significant negative effect on stock returns, while interest rates have a significant positive effect. Simultaneously, all variables significantly affect stock returns, with an Adjusted R Square of 0.568. These findings emphasize the importance of macroeconomic indicators in investment decisions and banking sector strategies.