[ABSTRAK ASEAN akan segera melaksanakan Kawasan Perdagangan Bebas ASEANatau AFTA. Dengan dilaksanakannya AFTA, arus investasi akan dengan cepatberpindah dari satu negara ke negara yang lain. Negara-negara emerging marketdianggap sebagai primadona dalam bursa saham ASEAN.Pergerakan return saham dipengaruhi oleh berbagai faktor. Denganmenggunakan metode regresi linear, diperoleh hasil bahwa size, value,profitability, dan investment memberikan pengaruh yang terhadap return saham dibursa efek Indonesia, Malaysia, Filipina, dan Thailand pada periode tahun 2009-2013. ABSTRACT ASEAN will implement the ASEAN Free Trade Area or AFTA soon. Byimplementing this policy, investment flows would move quickly from one countryto the others. Emerging market countries have regarded as the best performance inASEAN stock exchange.The movement of stock returns are influenced by various factors. By usinglinear regression, obtained that size, value, profitability, and investment havesignificant influence on stock return in Indonesia, Malaysia, Philippines, andThailand stock exchange in the period 2009-2013, ASEAN will implement the ASEAN Free Trade Area or AFTA soon. Byimplementing this policy, investment flows would move quickly from one countryto the others. Emerging market countries have regarded as the best performance inASEAN stock exchange.The movement of stock returns are influenced by various factors. By usinglinear regression, obtained that size, value, profitability, and investment havesignificant influence on stock return in Indonesia, Malaysia, Philippines, andThailand stock exchange in the period 2009-2013] |