THE IMPACT OF EXCHANGE RATES EXPOSURE TOWARD STOCK RETURNS: THE EVIDENCE IN INDONESIAN IMPORT AND EXPORT COMPANIES

This study investigated the effect of exchange rates exposure toward stock returns in export and import companies in Indonesia. It is crucial because it can give evidence that exchange rate exposure may influence stock return in Indonesian companies. So that, the investor can knows the right time to invest in the import and export companies. This was a quantitative research. The data of this study were 28 export companies and 33 import companies from all export and import companies that listed on the Indonesia Stock Exchange in period 2010-2014. The result of this study showed that exchange rate of the Rupiah per US dollar, Yen and Australian dollar influence the stock return of export companies, while the exchange rate of Rupiah per Euro has no effect. However, in import companies, the exchange rate of Rupiah per US dollar, Euro and Australian dollar influences stock returns, while the exchange rate of Rupiah per Yen has no effect. The results of this study provide an overview of the stock return that investors will receive if there is a change in exchange rate. So that, the investors can predict the right time to invest in the import or export companies.