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Figure 4.8 Graph of SBI Rate Stock Return Movement Prop
Est
The negative relationship between the SBI rate and the stock‟s return is matched with the result provided in the previous researches. The result of
this research is matched with the theory proposed by Keynes regarding the relationship between interest rate and the stock return. The raise of interest
rate will attract the investor to invest their money in the form of deposit rather that in the capital market. And this will make the price of the stocks
decreases. On the other hand, the result of this research is also matched with the theory proposed by Fisher about the relationship between interest
rate ad stock return to the IS and LM curve. This condition is also relate to the mortgage system. When the interest rate increase, consumer needs to
pay higher for the purchase of property with the mortgage system and this will make the demand of the property decaresing and eventually make the
share price decrease as well.
2. F Test
The function
of F test is to see and understand
the influence of both independent variables toward dependent variables. On table 4.7 we can see that the
probability of F-statistic in the property and real estate sector is
0.000263, which is
-0,5 0,5
1
Stock Return SBI
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less that its sig. value α = 0.05, and thus we reject the Null Hypothesis which
means that the independent variables the change in exchange rate, inflation rate, and SBI rate have a significant influence together against the dependent variables
stock‟s return.
In the mean time, the writer also found that the probability of F- statistic in the consumer goods
sector is 0.000009, as it stated in the table 4.8. This means that we can reject the Null Hypothesis as the probability F-statistic is less
than its significant value. Thus, we conclude that the independent variables the change in exchange rate, inflation rate, and SBI rate have a significant influence
together against the dependent variables stock‟s return in the property and real estate sector.
Based on the coefficient value, we can conclude that exchange rate is the most influential independent variable towards the stock‟s return in both consumer
goods and property and real estate sector.
3. R-Squared R
2
R-Squared describe how big the influence of the independent variables together against the dependent variable. On table 4.7, we can see that the obtained
R-squared 0.286679. This means that the independent variables which consist of the change in exchange rate, inflation rate and SBI rate could explain 28.6679
of the stock‟s return in property and real estate sector, while the remaining are explained by others variables. While on table 4.8, we can see that the obtained R-
squared is 0.369993. This means that the independent variables which consist of the change in exchange rate, inflation rate and SBI rate could explain 36.9993
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of the stock‟s return in property and real estate sector, while the remaining are explained by others variables.
4. Adjusted R-Squared
