Pengaruh Fluktuasi Nilai Tukar dan Tingkat Suku Bunga Terhadap Return Saham Perusahaan Multinasional Subsektor Consumer Goods yang Terdaftar di Bursa Efek Indonesia

Abstract

This study aims to analyze the effect of Rupiah/US Dollar exchange rate fluctuation and Bank Indonesia's benchmark interest rate (BI7-Day Reverse Repo Rate) on the stock returns of multinational consumer goods companies listed on the Indonesia Stock Exchange (IDX). The recent depreciation of the Rupiah and the rise of the benchmark rate raise questions about how far these market risk exposures affect the stock performance of issuers with cross-border supply chains and capital structures. This research employs a quantitative associative approach using panel data regression (common effect, fixed effect, and random effect models), selected through the Chow test, Hausman test, and Lagrange Multiplier test. The population consists of consumer goods companies affiliated with multinational corporations listed on the IDX, with three issuers selected through purposive sampling and observed monthly over the 2019-2023 period. The model results indicate that exchange rate fluctuation and interest rate, both partially and simultaneously, affect stock returns, consistent with exchange rate exposure theory and interest rate signaling theory. This study offers implications for investors and corporate management in managing macroeconomic risk, particularly through hedging strategies and funding structure diversification.