PENGARUH INFLASI TERHADAP RETURN SAHAM DENGAN SUKU BUNGA SEBAGAI VARIABEL MEDIASI PADA INDEKS LQ45

This study aims to analyze the effect of inflation on stock returns with interest rates as a mediating variable in the LQ45 Index on the Indonesia Stock Exchange during the 2021–2024 period. This study uses a quantitative approach with secondary data obtained from the Indonesia Stock Exchange, the Central Statistics Agency, and Bank Indonesia. The research data is in the form of monthly data during the
observation period. The analysis method used was linear regression with mediation testing using the Baron and Kenny approach and the Sobel test, which was processed using IBM SPSS Statistics 26. The results of the study show that inflation has a coefficient of -0.019 with a significance level of 0.037, so that inflation affects stock returns. Interest rates also affect stock returns with a coefficient of -0.006 and
a significance level of 0.009, but inflation has no effect on interest rates with a coefficient of -0.825 and a significance level of 0.166. The results of the Sobel test showed a p-value of 0.202, so it can be concluded that interest rates are not able to mediate the effect of inflation on the stock returns of the LQ45 Index.