The Application of APT in Predicting the Stock Performance through a Macro Variable Model Approach

The Arbitrage Pricing Model (APT) is extensively applied by finance scholars, integrating macroeconomic factors to forecast stock price trends and returns. The macroeconomic variables in APT used to predict stock performance in this research are the rate of inflation, the Indonesian exchange level, the monetary supply, and the rate of interest. Stock performance is measured through actual stock returns. The research method employs descriptive verification analysis with a numerical method. The study was undertaken in the Agriculture Industry, specifically the Plantation Subsector of Palm Oil Commodities traded on the Indonesia Stock Exchange (IDX). Observations were made in the timeframe of 2020-2022 on 17 stock issuers. Sampling was conducted utilizing the purposive sampling technique. Data examination utilized multiple linear modeling after first conducting classical assumption tests, which comprise data tests of normality, heteroskedasticity tests, tests for multicollinearity and autocorrelation. The research model was tested employing the F-test and t-test to examine the research hypotheses at a 5% significance level. The findings of the study indicate that inflation significantly impacts actual returns of stock with a negative relationship. Meanwhile, the foreign exchange rate, money supply, and rate of interest do not have a considerable impact on actual stock returns.