HENNY RAHYUDA, 090415502D (2010) PENGARUH FAKTOR FUNDAMENTAL PERUSAHAAN DAN MAKROEKONOMI TERHADAP RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA. Disertasi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

This study objective is to analyze the impact of company’s fundamental factors (liquidity ratio, profitability ratio, leverage ratio, activity and market ratio) and macroeconomic (inflation, exchange rate, deposit interest rate, economic growth) on LQ 45 stock return at Indonesia stock exchange empirically. This study include explanatory research which purpose to explain the relationship between variables through hypothesis testing. Object of this study are all company which their stock recorded in LQ 45 Indonesia Stock Exchange. In LQ 45 record, only 12 company which continuously recorded along 1998-2008. This study uses multiple regression analysis with SPSS version 17.0 program in testing hypothesis. Empirical research found that company’s fundamental factor and macroeconomic has significant influence simultaneously on LQ 45 stock return. Partially, only variabel return on equity and debt to equity ratio (from company fundamental factor) have positif influence significantly, whereas current ratio, total asset turnover and price earning ratio has no significant influence. Furthermore, in macroeconomic factors, there is only inflation variable which is has no significant influence, whereas exchange rate, deposit interest rate and economic growth have significant influence.

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