Pengaruh BI Rate, Nilai Tukar, dan Inflasi Terhadap Return Indeks LQ45 Periode 2021-2024

Abstract

This study aims to analyze the influence of the BI Rate, the Rupiah exchange rate against the US Dollar, and inflation on the LQ45 Index return during the 2021–2024 period—both simultaneously and partially—and to examine the influence using a one-period lag. The study employs a quantitative approach with an associative method, utilizing monthly secondary data comprising 48 observations obtained from the Indonesia Stock Exchange, Bank Indonesia, and Statistics Indonesia (BPS). Data analysis was conducted using multiple linear regression, supplemented by classical assumption tests, partial tests (t-test), simultaneous tests (F-test), and the coefficient of determination (adjusted R²) using IBM SPSS Statistics. The results indicate that in the primary model, the exchange rate has a significant negative effect on the LQ45 Index return, whereas the BI Rate and inflation have positive but insignificant effects. Simultaneously, the three variables exert a significant influence, with an adjusted R² value of 8.3%. In the one-period lag model, the BI Rate, exchange rate, and inflation do not significantly affect the LQ45 return. These findings suggest that the exchange rate is the macroeconomic factor that most consistently influences the LQ45 return, while the BI Rate and inflation do not demonstrate a significant lagged effect during the study period.