PENGARUH INFLASI DAN TINGKAT SUKU BUNGA TERHADAP RETURN SAHAM DENGAN KURS DOLLAR SEBAGAI VARIABEL MODERASI PADA PERUSAHAAN MANUFAKTUR SUB SEKTOR OTOMOTIF YANG TERDAFTAR DI BEI PERIODE 2019-2023

This research aims to analyze the effect of inflation and interest rates on stock returns, with the dollar exchange rate as a moderating variable in automotive sub-sector manufacturing companies listed on the Indonesia Stock Exchange (BEI) for the 2019-2023 period. The data analysis methods used in this research are panel data regression analysis and moderate regression analysis (MRA). The research population is the non-primary consumer goods industry sector of 73 companies registered on the IDX for the 2019-2023 period, consisting of 7 sub-sectors, one of which is the automotive sub-sector. The data collection method used was the purposive sampling method which obtained 45 samples from 9 companies. The research results show that inflation and interest rates influence stock returns, both partially and simultaneously. Partially, inflation has an effect on stock returns with a t-count value of 3,230 > t-table 1,682 with α= 0.05, and interest rates also have an effect with a t-count value of 2,312 > t-table 1,682 with α= 0.05. Simultaneously, inflation and interest rates influence stock returns with a calculated F value ˃ F table (6.031 ˃ 2.83) with α= 0.05. In addition, the dollar exchange rate has been proven to be able to moderate the relationship between inflation and stock returns with a probability value of 0.003 < 0.05, as well as the relationship between interest rates and stock returns with a probability value of 0.016 < 0.05.
Keywords: Stock Returns, Inflation, Interest Rates, Dollar Exchange Rate