The Effect of Exchange Rates Towards Stock Return Mediated With Inflation Rates and Interest Rates


  • M. Jihadi Universitas Muhammadiyah Malang, Jawa Timur, Indonesia
  • Ilfi Hadiatus Safitri Universitas Muhammadiyah Malang, Jawa Timur, Indonesia
  • Dewi Brahmawati Universitas Muhammadiyah Malang, Jawa Timur, Indonesia



Exchange Rates, Inflation Rates, Interest Rates, Stock Return


This study aims to determine the effect of exchange rate towards stock return mediated with variable inflation rates and interest rates. The study population is a company listed on the Index LQ45 period January 2015 – December 2019. This is quantitative study using purposive sampling technique and obtained sample a number of 28 companies with monthly period start from January 2015 until December 2019. The data source in this study are secondary data. The data analysis technique used is path analysis accompanied by a T test (partial) and Sobel test (mediation). Partial test results show that exchange rates and interest rates have a negative and significant effect on stock return, while inflation rates has a positive and insignificant effect on stock return. Sobel test results show that exchange rates has insignificant effect on stock return through variable inflation rates with no mediation, while exchange rates has significant effect on stock return through variable interest rates with partial mediation. The implication of this research is expected to be an addition to the parties concerned with this research problem.


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