Title:
THE EFFECT OF MICRO AND MACRO VARIABLES ON STOCK RETURN

Authors:
I Putu Budiantara and Luh Putu Wiagustini ,Indonesia

Abstract:
The purpose of this study was to analyze the significance of the effect of micro and macro variables on stock returns of multinational companies listed on the Indonesia Stock Exchange, Frankfurt Stock Exchange and New York Stock Exchange. The population of this study are multinational companies that are listed on the three stock exchanges, namely the Indonesia Stock Exchange, the Frankfurt Stock Exchange, and the New York Stock Exchange, totaling 7 companies. Determination of the sample using the census method, namely the entire population is observed. This research uses Multiple Linear Regression analysis technique. The results of the study found that partially the relationship between the independent and dependent variables was not always the same in the three capital markets studied. ROE has a positive effect on stock returns in all capital markets studied (IDX, DAX, and NYSE). EPS has a positive effect on stock returns on the NYSE, but has no effect on IDX and DAX. DER has a negative effect on stock returns studied in the IDX capital market, but has no effect on DAX and NYSE. GDP has no effect on stock returns in all capital markets studied (IDX, DAX, and NYSE). Interest rates have a positive effect on stock returns on the NYSE but have no effect on stock returns on IDX and DAX.