<![CDATA[ABSTRAK Perubahan kondisi makroekonomi selama periode 2020–2024 memberikan tantangan bagi kinerja pasar modal, khususnya pada perusahaan perbankan. Periode tersebut mencakup kondisi pandemi, proses pemulihan ekonomi, serta perubahan arah kebijakan moneter yang menyebabkan dinamika inflasi, suku bunga, dan nilai tukar. Penelitian ini bertujuan menganalisis pengaruh inflasi, suku bunga, dan nilai tukar rupiah terhadap return saham perusahaan sektor perbankan yang terdaftar di Bursa Efek Indonesia (BEI) periode 2020–2024. Penelitian ini mengisi kesenjangan penelitian mengenai inkonsistensi pengaruh faktor makroekonomi terhadap return saham perbankan dengan menggunakan periode observasi yang mencakup fase pandemi, pemulihan ekonomi, dan normalisasi kebijakan moneter. Penelitian menggunakan pendekatan kuantitatif dengan desain kausal. Sampel ditentukan melalui purposive sampling dan diperoleh 31 perusahaan dengan total 155 observasi. Data sekunder bersumber dari laporan keuangan perusahaan, Bursa Efek Indonesia, Bank Indonesia, dan Badan Pusat Statistik, kemudian dianalisis menggunakan regresi linier berganda dengan bantuan SPSS. Hasil penelitian menunjukkan bahwa secara parsial inflasi dan nilai tukar rupiah berpengaruh negatif signifikan terhadap return saham, sedangkan suku bunga berpengaruh positif signifikan. Secara simultan, ketiga variabel berpengaruh signifikan terhadap return saham dengan Adjusted R Square sebesar 0,568. Hasil ini menunjukkan pentingnya indikator makroekonomi dalam pengambilan keputusan investasi dan strategi perusahaan perbankan. ABSTRAK Changes in macroeconomic conditions during the 2020–2024 period pose challenges for the performance of the capital market, particularly for banking companies. This period encompasses the pandemic, the economic recovery, and shifts in monetary policy that have led to fluctuations in inflation, interest rates, and exchange rates. This study analyzes the effect of inflation, interest rates, and the rupiah exchange rate on stock returns of banking companies listed on the Indonesia Stock Exchange (IDX) during 2020–2024. This study addresses a research gap regarding the inconsistent impact of macroeconomic factors on banking stock returns by using an observation period that spans the pandemic phase, economic recovery, and monetary policy normalization. This research employed a quantitative approach with a causal design. The sample was selected using purposive sampling, resulting in 31 companies with 155 observations. Secondary data were obtained from financial statements, the Indonesia Stock Exchange, Bank Indonesia, and Statistics Indonesia, and analyzed using multiple linear regression with SPSS. The results show that inflation and the rupiah exchange rate have a significant negative effect on stock returns, while interest rates have a significant positive effect. Simultaneously, all variables significantly affect stock returns, with an Adjusted R Square of 0.568. These findings emphasize the importance of macroeconomic indicators in investment decisions and banking sector strategies.]]>
