I think the answer is yes because if $c>0$ then
$\sigma(cX)=\sigma\{(cX\leq x)|x\in \mathbb{R}\}=\sigma\{(X\leq \frac{x}{c})|\frac{x}{c}\in\mathbb{R}\}=\sigma(X)$
and in the same manner if $c<0$ then
$\sigma(cX)=\sigma\{(cX\leq x)|x\in \mathbb{R}\}=\sigma\{(X\geq \frac{x}{c})|\frac{x}{c}\in\mathbb{R}\}=\sigma(X)$
Is my reasoning correct?
Edit: $\sigma(X)$ is the minimal $\sigma$-algebra which makes the function $X$ a random variable