The Effect of factors in Capital and real market on stock return

SEMBIRING, Renly, Prof.Dr. Mas'ud Machfoedz, MBA

2003 | Tesis | Magister Manajemen

The stock return is influenced by many factors in internal and external environment. Four of the factors are interest rate, exchange rate (capital market), earning per share, and dividend payout ratio (real market). This thesis examines whether those four factors simultaneously affect stock return for companies listed in Jakarta Stock Exchange (JSX). The study uses purposive sampling to select companies which represent industry, which means the companies chosen would represent the whole companies in JSX. Time constrain used is during 1996 to 2000 and omit year 1998. Statistical method used is correlation and regression analysis to know the relation among those independent and dependent factors. The result in this study indicate that before economic crisis (1 996-1 997), those four factors simultaneously affect stock return. However, for the analysis during crisis (1 999- 2000), the result shows that among those four independent factors, only dividend payout ratio that is not significant.

Kata Kunci : Return Saham, interest rate, exchange rate, earning per share, dividend payout ratio, stock return