Abstract: High stock return volatility occurred in Indonesia's energy sector listed on the Indonesia Stock Exchange during 2019–2024 due to the COVID-19 pandemic, global inflation, and the increase in BI Rate up to 6%. This study aims to examine the influence of inflation, interest rates, and exchange rates on stock returns in the energy sector, both partially and simultaneously. Employing a quantitative descriptive associative approach with multiple linear regression analysis, the population comprised 91 companies, with a purposive sample of 24 firms resulting in 78 observations after data transformation. Secondary data were obtained through documentation from Bank Indonesia and the Indonesia Stock Exchange and analyzed using SPSS 26, including classical assumption tests, t-test, and F-test (α = 0.05). The results indicate that inflation has a significant positive effect on stock returns (β = 1.899; p = 0.000), while interest rates have a significant negative effect (β = -5.989; p = 0.000). The exchange rate also shows a positive and significant effect (β = 23.312; p = 0.007), and collectively explains 22.5% of the variation in stock returns. The findings suggest that portfolio diversification should be implemented, particularly during periods of rising interest rates, and highlight the importance of integrating monetary policy with sector-specific considerations to maintain capital market stability.
Keywords: Energy Sector; Exchange Rate; Inflation; Interest Rate; Stock Return