INFLUENCE OF DOLLAR EXCHANGE RATE, INTEREST RATE, INFLATION, DIVIDEND, OWNERSHIP AND FIRM SIZE TO RETURN SHARES (Study in Sub Sector Company Telecommunications Listing on Bursa Efek Indonesia Period 2010-2016)

Abstract

The purpose of this study is to analyze how the return of shares of the Indonesian Telco's companies listing in Indonesia Stock Exchange (BEI) in 2010-2016 will be affected by external and internal factors which include the influence of dollar exchange rate, interest rate, inflation, dividend, ownership (insider and external) and company size either partially or simultaneously. This study uses data analysis techniques in this study using regression analysis. The sample used is Top-3 Telco Company that is EXCEL, INDOSAT and TELKOM by using Annual Company Report and Annual Financial Report and Bank Indonesia Report in a monthly statistic to know the effect on dividend, ownership and assets. The results showed that in the Telco's company the dollar exchange rate, interest rate, inlation rate, and external ownership have a positive effect on stock return, while insider ownership, dividend and firm size have negative effect on stock return.