HUBUNGAN RETURN SAHAM DAN INFLASI DI INDONESIA
Prodi Manajemen Fakultas Ekonomi dan Bisnis Universitas Udayana
Jl. P.B. Sudirman No.4 Denpasar, Bali, 80234, Indonesia.
Korespondensi dengan Penulis:
Nyoman Triaryati: Telp. +62 361 234 133
The effect of inflation to the stock return research had been held since three decades ago based on Generalize Fisher’s Hypotheses, but ‘how inflation influenced stock return’ had become a debate until today. In Indonesia most of the related research used inflation as one of the variables that influenced stock return despite of others in short period of time. This research investigated the effect of inflation to the stock return in Indonesia within fifteen years, which was divided into 3 (three) periods of time reflecting different economic growth for each of it. The purpose of this allotment was to see the consistency how inflation influenced the stock market. Using a secondary data from monthly inflation and IHSG period 1998 until 2012, included three hundred and sixty observation, simple regression model analyses was applied. This research acknowledged that inflation negatively influenced stock return in a long time period, but it did not exist in the short time period, except when the level of inflation reached 10%. In conclusion, inflation influence on the stock return was not ascertained by how long the investigation was held but if there was any inflation rate reaching 10% within the period of investigation.
Keywords: Inflation, Generalize Fisher’s Hypotheses, stock return