Fundamental VS Makro Ekonomi on Stock Price : Indonesian Stock Exchange (IDX)

Reza Sarif; Mar’atus  Sholihah; Tiara Juliana  Jaya

doi:10.55927/ajma.v3i4.11179

Authors

Reza Sarif Universitas Islam Negeri Maulana Malik Ibrahim Malang
Mar’atus Sholihah Universitas Islam Negeri Maulana Malik Ibrahim Malang
Tiara Juliana Jaya Universitas Islam Negeri Maulana Malik Ibrahim Malang

DOI:

https://doi.org/10.55927/ajma.v3i4.11179

Keywords:

Fundamentals, Macroeconomics, Stock Prices, Banking

Abstract

Geopolitical tensions especially those occurring in the Middle East, have significantly impacted the world economy. This impact was also felt by the Indonesian state, which impacted company share prices which experienced a decline due to geopolitical tensions, including the banking sector. Apart from geopolitical tensions, several other factors, such as the company's fundamental factors, also influenced the decline in share prices. Fundamental factors play an important role in determining a company's share price. These factors refer to various elements and variables that reflect the company's financial condition, operations, and prospects. So quite a few investors use fundamental analysis to assess whether current share prices reflect the company's true intrinsic value. This study seeks to reassess the elements affecting banking share prices by incorporating macroeconomic control variables related to these concerns to enhance the robustness of the findings. Utilizing a quantitative approach through panel data regression, the research focuses on banks listed on the Indonesia Stock Exchange from 2019 to 2023, with a sample of 16 companies meeting the selection criteria. The results reveal that Debt Equity Ratio (DER), Return On Assets (ROA), Return On Equity (ROE), GDP, inflation, and exchange rates collectively have a positive and significant impact on stock prices. However, when analyzed individually, only ROE and exchange rates show a significant effect, while DER, ROA, GDP, and inflation do not.

Downloads

Download data is not yet available.

References

Abbass, K., Sharif, A., Song, H., Ali, M. T., Khan, F., & Amin, N. (2022). Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach. Resources Policy, 77, 102730.

Abdullahi, I. B. (2020). Effect of Unstable Macroeconomic Indicators on Banking Sector Stock Price Behaviour in Nigerian Stock Market. International Journal of Economics and Financial Issues, 10(2), 1.

Alarussi, A. S. A. (2021). Financial ratios and efficiency in Malaysian listed companies. Asian Journal of Economics and Banking, 5(2), 116–135.

Alita, D., Putra, A. D., & Darwis, D. (2021). Analysis of classic assumption test and multiple linear regression coefficient test for employee structural office recommendation. IJCCS (Indonesian Journal of Computing and Cybernetics Systems), 15(3), 295. https://doi.org/10.22146/ijccs.65586

Angraini, D. P., Sudarsono, H., & Anindita, S. F. (2020). The influence of financial performance and macroeconomic on financing risk in Islamic banks. Asian Journal of Islamic Management (AJIM), 138–152.

Asykarulloh, A., Araffi, M., Mahmudah, D., Prihatin, R., & Al Umar, A. U. A. (2023). Pengaruh Faktor Fundamental Terhadap Harga Saham Bank Digital Di Indeks Saham Syariah. Jurnal Analisa Akuntansi Dan Perpajakan, 7(1), 19–28.

Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295–306.

Bihari, S. C., & Charde, S. K. (2014). Intrinsic value of stocks: does market appreciate it? A study on three major private banks in India. Economics, Management & Financial Markets, 9(1).

Brooks, C. (2014). Classical linear regression model assumptions and diagnostic tests. In Introductory Econometrics for Finance (pp. 179–250). Cambridge University Press. https://doi.org/10.1017/CBO9781139540872.006

Buntu, B., & Fitayanti, S. (2022). Analisis Kinerja Keuangan Ditinjau Dari Rasio Likuiditas Dan Profitabilitas Pada PT. Baliem Maju Mandiri Kabupaten Jayawijaya Di Wamena. Jurnal Ekonomi Dan Bisnis, 14(2), 79–90.

Celebi, K., & Hönig, M. (2019). The impact of macroeconomic factors on the German stock market: Evidence for the crisis, pre-and post-crisis periods. International Journal of Financial Studies, 7(2), 18.

Choiriyah, C., Fatimah, F., Agustina, S., & Ulfa, U. (2020). The effect of return on assets, return on equity, net profit margin, earning per share, and operating profit margin on stock prices of banking companies in Indonesia Stock Exchange. International Journal of Finance Research, 1(2), 103–123.

Dita, A. H., & Murtaqi, I. (2014). The effect of next profit margin, price to book value and debt to equity ratio to stock return in the Indonesian consumer goods sector. Journal of Business and Management, 3(3).

Elsayed, A. H., & Helmi, M. H. (2021). Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk. Annals of Operations Research, 305(1), 1–22.

Faello, J. (2015). Understanding the limitations of financial ratios. Academy of Accounting and Financial Studies Journal, 19(3), 75.

Ha, J., Stocker, M. M., & Yilmazkuday, H. (2020). Inflation and exchange rate pass-through. Journal of International Money and Finance, 105, 102187.

Hakim, L., & Susilowati, D. (2023). Influence Analysis Fundamentals On Stock Prices In The Company Bankings Listed On Stock Exchange Indonesia Period 2017-2021. Akuntansi: Jurnal Akuntansi Integratif, 9(1), 37–50.

Handayani, M., Samosir, P. S., & Suparningsih, B. (2022). The effect of return on equity (ROE) and debt to equity ratio (DER) on stock prices with inflation as mediation variables: Case study on banking companies listed on the Indonesia stock exchange 2014-2020 period. International Journal of Multidisciplinary Research and Growth Evaluation, 50–56. https://doi.org/10.54660/anfo.2022.3.3.5

Hulu, M., Pinem, H. B., Pratama, A., & Lubis, Y. M. (2023). THE EFFECT OF INTEREST RATE, EXCHANGE RATE, INFLATION, AND RETURN ON ASSETS (ROA) ON STOCK PRICE IN THE BANKING SUB SECTOR LISTED ON THE IDX. International Journal of Accounting, Management, Economics and Social Sciences (IJAMESC), 1(3), 220–229.

Hussien, M. E., Alam, M. M., Murad, M. W., & Wahid, A. N. M. (2019). The performance of Islamic banks during the 2008 global financial crisis. Journal of Islamic Accounting and Business Research, 10(3), 407–420. https://doi.org/10.1108/JIABR-01-2017-0011

Khalid, W., & Khan, S. (2017). Effects of macroeconomic variables on the stock market volatility: the Pakistan experience. International Journal of Econometrics and Financial Management, 5(2), 42–59.

Kurniati, S. (2019). Stock returns and financial performance as mediation variables in the influence of good corporate governance on corporate value. Corporate Governance: The International Journal of Business in Society, 19(6), 1289–1309.

Kurotamunobaraomi, T., & Ebiware, A. E. (2017). Inflation and stock prices: The Nexus. International Journal of Banking and Finance Research, 3(1), 49–58.

Lomi, R. G. (2012). Analisis Pengaruh Inflasi, Harga Minyak, dan Invesment Grade Terhadap Harga Saham di Indeks Bisnis-27 Periode 2009-2011. Tesis. Jakarta: Universitas Indonesia.

Mbulawa, S. (2015). Stock market performance, interest rate and exchange rate interactions in zimbabwe: A cointegration approach.

Medyawati, H., & Yunanto, M. (2023). Determinants of Banking Sector Stock Prices in Indonesia. Journal of Economics, Finance and Accounting Studies, 5(2), 40–51.

Muhammad, R., Suluki, A., & Nugraheni, P. (2020). Internal factors and non-performing financing in Indonesian Islamic rural banks. Cogent Business & Management, 7(1), 1823583. https://doi.org/10.1080/23311975.2020.1823583

Nti, I. K., Adekoya, A. F., & Weyori, B. A. (2020). A systematic review of fundamental and technical analysis of stock market predictions. Artificial Intelligence Review, 53(4), 3007–3057.

Nurrachmawati, N., Angraini, F. L., Nisa, F. K., & Amri, A. (2023). Peranan Manajemen Likuiditas terhadap Operasional dan Tingkat Kesehatan Bank Syariah. Al-Istimrar: Jurnal Ekonomi Syariah, 2(2), 175–189.

Ouma, W. N., & Muriu, P. (2014). The impact of macroeconomic variables on stock market returns in Kenya. International Journal of Business and Commerce, 3(11), 1–31.

Pratama, A., & Erawati, T. (2014). Pengaruh current ratio, debt to equity ratio, return on equity, net profit margin dan earning per share terhadap harga saham (study kasus pada Perusahaan Manufaktur yang terdaftar di Bursa Efek Indonesia periode 2008-2011). Jurnal Akuntansi, 2(1), 1–10.

Purwitasari, N. M. I., Mendra, N. P. Y., & Bhegawati, D. A. S. (2021). Stock Pengaruh Return On Asset (ROA), Debt To Equity Ratio (DER), Dan Earning Per Share (EPS) Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar Di Bursa Efek Indonesia (BEI) Tahun 2016-2018. Widya Akuntansi Dan Keuangan, 3(1), 23–32.

Raghunandan, A., & Rajgopal, S. (2022). Do ESG funds make stakeholder-friendly investments? Review of Accounting Studies, 27(3), 822–863.

Ray, S., & Saha, M. (2016). Dynamic association between macroeconomic variables and stock return volatility: evidence from India. American Journal of Business, Economics and Management, 4(4), 40–56.

Rjoub, H., Civcir, I., & Resatoglu, N. G. (2017). Micro and macroeconomic determinants of stock prices: The case of Turkish banking sector. Romanian Journal of Economic Forecasting, 20(1), 150–166.

Samsul, M. (2015). Pasar modal dan manajemen portofolio.

Sanjaya, R., & Rahayu, K. P. (2020). The Influence of Fundamental Factors of Macroeconomics Against Price Earning Ratio through Dividend Payout Ratio for LQ. 45 Non-Banking Companies. Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 4(1), 80–95.

Saputri, O. A., & Rahayu, Y. (2022). Pengaruh Variabel Fundamental Terhadap Harga Saham Perusahaan Indeks LQ45. Jurnal Ilmu Dan Riset Akuntansi (JIRA), 11(3).

Senewe, S. P. D., Nurjanah, R., & Nurmayanti, R. (2021). Effect of EPS (Earning Per Share) NPM (Net Profit Margin) and ROA (Return on Asset) on Share Prices (a Case Study of Banking and Cigarette Companies Listed in the LQ45 Index on the Indonesia Stock Exchange 2016-2019 Period). Nusantara Science and Technology Proceedings, 145–152.

Silalahi, E., & Sihombing, R. (2021). Pengaruh Faktor Makro Ekonomi Terhadap Pergerakan Indeks Harga Saham Gabungan (Ihsg) Di Bursa Efek Indonesia Periode 2017-2020. Jurnal Riset Akuntansi & Keuangan, 139–152.

Susilowati, Y., & Turyanto, T. (2011). Reaksi signal rasio profitabilitas dan rasio solvabilitas terhadap return saham perusahaan. Dinamika Keuangan Dan Perbankan, 3(1), 17–37.

Tarmidi, D., Pramukty, R., & Akbar, T. (2020). Fundamental Analysis of Financial Ratios on Stock Prices. Saudi Journal of Economics and Finance, 4(5), 176–180.

Uddin, I., & Rahman, K. U. (2023). Impact of corruption, unemployment and inflation on economic growth evidence from developing countries. Quality & Quantity, 57(3), 2759–2779.