ANALISA KARAKTERISTIK PERUSAHAAN, INDUSTRI DAN EKONOMI MAKRO TERHADAP RETURN DAN BETA SAHAM SYARIAH
DI BURSA EFEK JAKARTA
Robiatul Auliyah
Ardi Hamzah
Universitas Trunojoyo

ABSTRACT
The purpose of this study are to know effect variables of firm characteristic, industry and macro economic on return and beta of syariah stock. The sample of the study are firms listed in Jakarta Islamic Index in 2001 2005. Sample total is 150 firm sample. The result of study with F test between all variable with return of syariah stock indicate that all variable at level 5% no significant effect on syariah stock return, while with beta of syariah stock indicate that all variable at level 5% significant effect on syariah stock beta.
The result of study with t-test between variables of firm characteristic, industry and macro economic with return of stock syariah indicate that nothing variables at level 5% significant effect on syariah stock return, while with beta of syariah stock indicate that cyclicality, rupiah exchange value on dollar and gross domestic bruto at level 5% significant effect on syariah stock beta.

Keyword: firm characteristic, industry, macro economy, return and beta of syariah stock

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