Faktor-Faktor Yang Mempengaruhi Beta Saham Terhadap Return Saham Industri Manufaktur Di Bursa Efek Indonesia

Manufacture industry as the largest industry in Indonesia Market Capital has a high sensitivity to the macro economic factor. It is causing risk level of manufacture stock also having high fluctuation. Formulation problem of this research is how financial factors and beta’s stocks influence return of manufacture’s stock in Indonesian Stock Market. This research is done with the objective to understand financial ratio factors and beta’s stocks influence return of manufacture’s stock in Indonesian Stock Market. Financial ratios used are Financial Leverage, Asset Growth, Liquidity and Asset Size. Sampling method was used purposive sampling method. From the population of one hundred thirty nine company registered at Indonesian Market Stock, taken ninety one manufacture’s company which fulfilling sample criteria such as public company in manufacture sector which had been registered since 2007 up to 2009 and having complete financial report from 2007 up to 2009. First hypothesis test was done by using multiple linier regression. Second hypothesis was tested using simple linier regression.