Abstract:
Several research results in the Indonesian Capital Market have found a market anomaly phenomenon
caused by the market reacting to internal and external information. This study aims to examine whether companyspecific factors (company size, growth, and risk), national macroeconomic factors (Inflation, interest rates, and
exchange rates on a national scale), and world macroeconomic factors (market returns, Inflation, interest rates, and
world-scale exchange rates) ) may cause the Indonesian Capital Market to react. The form of this research is
associative descriptive with a population of all companies indexed by LQ45, totaling 45 companies. According to
purposive sampling, the sample used is 22 companies, and data analysis using panel data regression with the help
of software Eviews 12. The study's results found that only national interest rates and world inflation could cause
the Indonesian Capital Market to react. In contrast, size, growth, risk, national Inflation, world returns, world
interest rates, and world exchange rates did not cause the Indonesian Capital Market to react.
