The type of research conducted in this study is quantitative research. The
purpose of this study was to determine the impact of capital structure, inflation,
and the rupiah exchange rate on profitability and stock returns. The subjects in
this study are the Islamic stock index which listed in Jakarta Islamic Index (JII)
on the IDX in 2013-2017. Data collection techniques using purposive sampling,
analysis techniques in this study is multiple regression analysis. The results of the
analysis show that the capital structure (DER) and rupiah exchange rate have a
negative and significant effect on profitability (ROA). Inflation has no effect and
is not significant on profitability (ROA). Capital structure (DER) has no effect
and it is not significant on stock returns. Inflation and the rupiah exchange rate
have a negative and significant effect on stock returns. Profitability (ROA) has a
positive and significant effect on stock returns. Profitability (ROA) can mediate
the relationship between capital structure and stock returns. Profitability (ROA)
cannot mediate the relationship between inflation and stock returns. Profitability
(ROA) can mediate the relationship between the rupiah exchange rate against
stock returns.