The Relations Macroeconomics with Changes Stock Return in Index LQ45

Abstract

Stock return is an important aspect for an investor in investing. In the development of financial science, there is arbitrage pricing theory (APT) which states that changes in stock returns can be determined by examining macroeconomic factors. This theory has been widely tested in emerging market countries as well as developed countries showing mixed results. This study aims to test the theory of APT on the LQ45 index. The research approach uses quantitative with macroeconomic period and LQ45 index during 2004-2020. The results showed that inflation and interest rates had an effect on stock returns on the LQ45 index, while the exchange rate had no effect on the LQ45 index. These results indicate that the APT theory is not always consistent in examining the effect of macroeconomics on stock returns, especially in emerging market countries that have high volatility.