Abstract :
The macro economics factors have impact on stock exchange market. The
ability of investor in understanding and predicting the future economics factor is
useful for the investment decision.
The objective of this research is to find the effects of inflation, interest rates, and
exchange rates on market return in the Indonesia Stock Exchange. The data
analysis used multiple regresssion. Using the data for 2005-2011, the results
showed that Exchange rates have significant effect on market return, while
inflation and interes rates have not significant effect on market return.
Keywords : inflation, interest rate, exchange rate and market return.