Abstrak 
Macroeconomic Factors And Stock Returns In APT Framework
Amtiran, P. Y., Indiastuti, R., Nidar, S. R., Masyita, D
Universitas Padjadjaran, International Journal of Economics and Management 11 (S1) : 197 – 206 (2017), Journal homepage: https://www.econ.upm.edu.my/ijem
Bahasa Inggris
Universitas Padjadjaran, International Journal of Economics and Management 11 (S1) : 197 – 206 (2017), Journal homepage: https://www.econ.upm.edu.my/ijem
APT, BEI, Macroeconomic Factors, Stock Returns
This study was conducted to see the effect of the relationship between macroeconomic factors, economic growth, inflation rate and the exchange rate on stock returns in the Indonesian capital market approach Arbitrage Pricing Theory (APT). The data used in this research is secondary data from The Indonesian Capital Market Directory (ICMD) and the Central Bureau of Statistics from 2007 to 2014. The sampling technique used purposive sampling and the total sample of this research are 80 companies listed in The Indonesian Stock Exchange (BEI). The analysis technique used is ordinary least square regression – OLS. We hope this research can provide an overview of the market participants regarding the relationship between macroeconomic factors and stock returns in the Indonesia Stock Exchange from the framework of the Arbitrage Pricing Theory.