IJSRP, Volume 6, Issue 8, August 2016 Edition [ISSN 2250-3153]
Abdi Suryawardana, Noer Azam Achsani,Hendro Sasongko
The research was carried out onthe stock index in the agriculture sector in the Indonesia Stock Exchange. Macroeconomic variables used werethe exchange rate, interest rates, inflation, world oil prices, Industrial Production Index, and the amount of money supply. Methods of VAR/VECM wereused to see the effect of macroeconomic variables on stock returns. The aims of this research are:to analyze the macroeconomic variables that affect the movement of the stock return in agriculture sector;to analyze the response of the agriculture sector stock returns if there are shocks of economic variables, and; to analyze the macroeconomic variables that contribute to the agriculture sector which affects the stock returns.Based on the research that has been done and in accordance with the purpose of research, interest rates show positive and significant impact in the long term towards the return on agriculture stock. The money supply, inflation, exchange rate, and world oil prices significantly produce negative effects in the long term. The results ofIRFsimulationshow that agriculture stocks arefluctuatingagainst shocks to achieve stability. Return on agriculture stocks becomes most vulnerable when there is shock in theexchange ratevariable. Then, from the FEVDanalysis,all variables have an influence on agriculturestock.