Abstract :
This study aims to examine and analyze the effect of the Exchange Rate and Market Risk on Sto ck Return. This study uses a research gap. This research uses purposive sampling technique. The population used in this study was 19 companies producing 15 samples based on predetermined criteria. This study uses secondary data from the Indonesia Stock Exchange website in the form of an annual report. Data analysis uses classical assumption test, multiple linear regression test, and hypothesis testing. Data analysis was performed using statistics with SPSS tools. Based on the results of data analysis using t test, it is known that partially Exchange Rate and market risk have a positive and not significant effect on stock returns. While based on the results of data analysis using the F test it is known that simultaneous exchange rates and market risks are not significant and have a positive effect on stock returns.