The Impact of Interest Rates, Exchange Rates and Inflation on Stock Returns on the LQ45 Index Listed on the Indonesian Stock Exchange

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Introduction
Investment is the activity of placing funds or other valuable assets in instruments that are exclusive for a certain period of time.According to Wefi (2020), in other words, investment is a commitment to sacrifice current consumption with the aim of increasing consumption in the future.Of the various types of capital market instruments, stocks are investment instruments that are widely chosen by investors because stocks are able to provide attractive returns (Weigand, 2014).For investors to channel the Company's funds to meet long-term fund needs.According to Wefi (2020), (Isnaini, Hariyanto, & Ferdian, 2023)Capital markets are individuals or other organizations and institutions that are willing to set aside their excess funds to carry out income-generating activities through the capital market.
According to Hidayat, Setyadi & Azis (2017), the size of risk in the capital market is strongly influenced by state conditions in the economic, political and social fields as well as conditions within the company which can also affect the rise and fall of stocks.According to Fadilah & Jalaludin (2019), in theory there are two aspects inherent in an investment, namely the required return and the risk of not achieving the required return, the greater the expected return, the greater the risk that will be accepted.
Return is a reward for the investor's courage in bearing the risk, as well as the time commitment of the funds that have been spent by the investor (Zulfikar, 2016).Return can motivate and If there is an increase in people's purchasing power, it will be followed by an increase in income obtained by issuers (Christianingrum & Syafri, 2019).Thus, the dividends distributed to shareholders will be greater followed by an increase return received by shareholders.According to Arjunita (2016) Inflation is a factor that affects a stock for investors who want to invest.Based on the description above, researchers are interested in conducting research with the aim of seeing the effect of interest rates, exchange rates, inflation on stock returns on the LQ45 index listed on the Indonesia Stock Exchange.

Methods
This type of research is associative/relationship research.According to Siregar (2019), associative research is research that aims to determine the relationship between two or more variables.With this research, a theory will be built that can function to explain, predict, and control a symptom in research.The data of this study used secondary data.In the form of closing prices with LQ45 Index issuers published by IDX through www.idx.co.id website, while the second is from BI 7-Day Reverse Repo Rate, exchange rate (middle rate) and inflation report (CPI) published by BI through www.bi.go.id website.The population used is all LQ45 Index issuers listed on the IDX for the 2021-2023 period, totaling 62 companies that have been listed on the LQ45 Index.According to Sugiyono (2017), ampelous Sis part of the number and characteristics possessed by the population.The sampling technique in this study used the purposive sampling method, there were 30 companies listed on the LQ45 Index consecutively during this study period.The independent variables used are Interest Rate (X1), Exchange Rate (X2), Inflation (X3).The dependent variable is Stock Return (Y).

Test Classical Assumptions
The normality test is a test used to determine the normal distribution of data in good variables used in this study (Sujarweni, 2015).If the significance is greater than 0.05 then the data is normally distributed.If the significance is less than 0.05 then the data is not normally distributed.The multicollinearity test tests the regression model whether there is a correlation between independent variables (Bela, Suryadi, & Safitri, 2019).Based on the results of the SPSS output shows that the independent variables have a Tolerance value of > 0.10.The calculation of the Variance Inflation Facctor (VIF) value also shows the same thing, independent variables have a VIF value of < 10.It can be concluded that this regression model does not have a multicollinearity problem.It can be seen in the table above that the probability result for each independent variable is greater than 0.05.So it can be concluded that the regression model does not contain heteroscedasticity problems.The linearity test aims to find out whether these variables have a significant linear relationship.The output results show an R2 value of 0.027 with 90 observations, so the calculated c2 value = 90 X 0.027 = 2.43.This value will be compared with the table c2 with df = 90 and a significance level of 0.05 or 5% so that the table c2 is 113.14.Because the calculated c2 value is smaller than the table c2, it can be concluded that the regression model is linear.The results of the t test (partial) between the variable Interest Rate (X1) to Stock Return (Y) show t count -6.511 while the table t value is 1.987, thus it can be seen that t count (-6.511) < 1.987 and has a significant probability value of 0.000 < 0.05, meaning that the Interest Rate has a significant negative effect on Stock Return partially.
The results of the t (partial) test between the Exchange Rate variable (X2) to Stock Return (Y) show t count 1.261 while the table t value is 1.987, thus it can be seen that t calculate 1.261 < 1.987 and has a significant probability value of 0.211 > 0.05, meaning that the Exchange Rate does not have a significant effect on Stock Return partially.
The results of the t (partial) test between the variables Inflation (X3) to Stock Return (Y) show t count 3.002 while the table t value is 1.987, thus it can be seen that t calculate 3.002 > 1.987 and has a significant probability value of 0.004 < 0.05 meaning that Inflation has a significant effect on Stock Return partially.

Conclusion
From the results of data analysis and discussion, the conclusion that can be drawn from this study is that inflation has an influence on stock returns.This is due to the fact that a good macroeconomic environment can significantly affect stock returns, and this macroeconomy will always change every month.The study findings also revealed that other macroeconomic variables such as exchange rates had no influence.This is due to other macroeconomic factors beyond this study.In addition, interest rates have a significant but negative influence.

Table 1 .
|15Normality testing is performed using the SPSS for Windows program, as illustrated below: Normality Test ResultsFrom the results of the normality test using Kolmogorov Smirnov is 0.064 and the significance is 0.05.It can be summed up with 0.064 > 0.05, this indicates that the residual data are normally distributed.

Table 3 .
Autocorrelation Test ResultsIt can be seen in the table above that Durbin Watson's result of 1.986 is greater than Du, which is 1.762 and smaller than (4 -Du) 4 -1.762= 2.238.It was concluded that with 1,589 < 1,986 < 2,238.As a basis for decision making in the Durbin Watson test, it can be concluded that there are no problems or symptoms of autocorrelation.

Table 6 .
Multiple Linear Regression Analysis Results The constant of -3942.526explains that if the Interest Rate, Exchange Rate, and Inflation equals zero, then the contribution to the Stock Return is -3942.526.If the Interest Rate increases by one unit, then the Share Return contribution decreases by -17,158.If the Exchange Rate increases by one unit, then the Share Return contribution increases by 0.558.If inflation increases by one unit, the contribution of return willincrease by 5.404.

Table 7 .
Multiple Correlation Coefficient Analysis and Determination Coefficient AnalysisBased on table 8, the multiple correlation value is 0.583.This means that between Interest Rates, Exchange Rates, Inflation to Stock Returns has a fairly strong relationship with a value of 0.583.The results of the coefficient of determination test produced by the regression model of Interest Rate, Exchange Rate, Inflation to Stock Return were obtained at 0.340.This shows that 34% (1 x 0.340 x 100%) has an effect on Stock Return.While the remaining 66% (1 x 0.340 x 100%) Stock Return is influenced by other variables that were not studied in the study.Constant), Interest Rates, Exchange Rates, Inflation It is known that together the independent variables have a significant effect on the dependent variable.based on F the count obtained is 14.750 while F table is 2.71.Then the results of the F test state that F count is greater than F table which is 14.750 > 2.71 with a significance value of 0.000 < 0.05.Which means Ha is accepted so that the conclusion is that the variables of Interest Rate, Exchange Rate, Inflation together have a significant effect on Stock Return.