Reyland Herdt, Lukytawati Anggraeni, Bunasor Sanim
Abstract: This research aims to identify performance and to determine internal and external factors that influence the return of infrastructure stocks included its supporting. This research uses data from Quarterly Financial Report of Companies including Indonesian Stock Exchange (IDX), Central Bank of Indonesia (BI), and quandl.com. The number of population for this research is 18 companies and the number of sample that examined after passing the purposive sampling method is 14 companies registered under SMinfra18 index within period of 2013-20169. Technical analysis used in the research is panel data analysis. The result of this research shows that CR, ROE, inflation, exchange rate, HSI index, Nikkei225 index, and STI index have significant influence to stock return of SMInfra18. While inflation, exchange rate, HSI index, Nikkei225 index, and STI index influence the return of infrastructure stocks and its supporting significantly. The result of the research expects that inflation, exchange rate, HSI index, Nikkei225 index, STI index and any other external variables can be used as references by investors in determining investment strategy, by stock issuers in managing company, and by government in making decision.
Keywords: Stock Returns, Data Panel Analysis, Infrastructure Stock SMinfra18