Analisis Pengaruh Inflasi, Suku Bunga, dan Nilai Tukar Rupiah terhadap Return Saham pada Perusahaan Manufaktur Sektor Food and Beverage yang Terdaftar di Bursa Efek Indonesia Tahun 2021–2024

Abstract

The food and beverage manufacturing subsector is one of the largest contributors to Indonesia’s non-oil and gas manufacturing gross domestic product, yet it remains exposed to macroeconomic turbulence in the post-COVID-19 period. This study aims to examine the effect of inflation, interest rates, and the rupiah exchange rate on stock returns of food and beverage manufacturing companies listed on the Indonesia Stock Exchange during 2021-2024, both partially and simultaneously. A quantitative approach was applied using annual secondary data from 23 companies selected through purposive sampling, yielding 92 observations. Data were analyzed using multiple linear regression preceded by classical assumption tests. The results show that inflation has a significant negative effect on stock returns (sig. 0.016), while interest rates (sig. 0.141) and the rupiah exchange rate (sig. 0.197) have no significant partial effect. Simultaneously, the three macroeconomic variables also have no significant effect on stock returns (F sig. 0.471), with the model explaining only 2.8 percent of the variation in stock returns (R² = 0.028). These findings indicate that stock returns in the food and beverage sector are more strongly determined by firm-specific fundamentals and market sentiment than by aggregate macroeconomic indicators, consistent with the defensive nature of this sector. The results imply that investors should not rely solely on macroeconomic indicators but should also consider firm fundamentals when making investment decisions in the primary consumption sector.