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Ekuitas: Jurnal Ekonomi dan Keuangan


Macro Variables, Profitability, Market Reaction, Defensive Industry, and Cyclical Industry.


Nur Fadjrih Asyik




    This study examines the influence
    of macro variables and profitability to the market reaction to the companies
    listed in Indonesia Stock Exchange categorized as a defensive industry and
    cyclical industry. Independent variables in this study are macro variables
    which consists of inflation (I) and the interest rate (SB) and profitability
    ratios which consists of return on assets (ROA), return on equity (ROE), gross
    profit margin (GPM), net profit margin (NPM), as well as the dependent variable
    is stock returns (RS). Data obtained from ICMD (Indonesian Capital Market
    Directory), Indonesian Stock Exchange, JSX Monthly, and www.bi.go.id. Objects used in this study were
    food-beverage industry as a defensive industry and the automotive industry as a
    cyclical industry in 2007 through 2009. The results showed that the F value is
    4.032 with probability value of 0.001, thus statistically significant at 1%. It
    can be concluded that the macro variables, profitability, and the type of
    industry (defensive industry and cyclical industry) together have a significant
    effect on stock returns of manufacturing firms listed on the Indonesia Stock
    Exchange. Partial coefficient of inflation, interest rates, ROE, GPM, NPM, and
    the type of industry are 2.695, -4.085, -0.711, -0.616, 0.391, and 0.301 with
    p-value of 0.002, 0.006, 0.000, 0.033, 0.014, and 0.044 thus statistically
    significant at the 1% and 5%, thus concluded that the inflation, interest
    rates, RPE, GPM, NPM, and the types of industries have a significant effect on
    stock returns of manufacturing firms. Only the ROA variables that do not
    support the hypothesis.


    Vol 15, Nomor 02, Tahun 2011


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