The Impact of Macroeconomics Factors on the Jakarta Composite Index

Hartini Pop Koapaha

doi:10.55927/eajmr.v1i10.1898

Authors

Hartini Pop Koapaha Faculty of Economics and Business, Universitas Klabat

DOI:

https://doi.org/10.55927/eajmr.v1i10.1898

Keywords:

GDP Growth, Inflation, Interest Rate, Money Supply, Jakarta Composite Index

Abstract

This study aims to assess the relationship between macroeconomics factors on the Jakarta Composite Index. The multiple linear regression is employed to examine the impact of four macroeconomics variables namely GDP growth, inflation, interest rate spread, and broad money (money supply) on the Jakarta Composite Index. The result presents that Jakarta Composite Index is negatively affected by inflation and interest rates, while the increase in money supply boost the Jakarta Composite Index. In this study GDP growth has no significant influence on the Jakarta Composite Index. Investors may take advantage of this circumstance, notably they can purchase blue chips when inflation and interest rates rise and sell their shares when the money supply is expanding.

References

Bates, D., Mächler, M., Bolker, B., & Walker, S. (2014). Fitting linear mixed-effects models using lme4: arXiv preprint arXiv, Journal of Statistical Software. https://doi.org/10.18637/jss.v067.io1

Bodie, Z., Kane, A., & Marcus, A. J. (2011). Investments (9th ed.). New York: McGraw-Hill.

DeCarlo, L. T. (1997). On the meaning and use of kurtosis. Psychological Methods, 2(3), 292-307. https://doi.org/10.1037/1082-989X.2.3.292

Evita, N. (2016). Pengaruh Tingkat Inflasi, Suku Bunga Sbi, Dan Nilai Kurs Dollar As (Usd) Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI) Periode Tahun 2003-2014 (Doctoral dissertation, Universitas Mercu Buana).

Field, A. (2017). Discovering statistics using IBM SPSS statistics: North American edition. Sage PublicationsGitman, L. J., Joehnk, M. D., & Smart, S. B. (2011). Fundamentals of Investing. Boston: Pearson.

Firdausi, A. N., Fahmi, I., & Saptono, I. T. (2016). Pengaruh Indeks Harga Saham Regional ASEAN dan Variabel Makroekonomi terhadap Indeks Harga Saham Syariah Indonesia (ISSI). Al-Muzara'ah, 4(2), 76-96.

Gursida, H. (2017). The influence of fundamental and macroeconomic analysis on stock price. Jurnal Terapan Manajemen dan Bisnis, 3(2), 222-234.

Hasyim, A. I. (2017). Ekonomi Makro. Prenada Media.

Hismendi, A. H., & Musnadi, S. (2013). Analisis Pengaruh Nilai Tukar, SBI, Inflasi Dan Pertumbuhan GDP Terhadap Pergerakan Indeks Harga Saham Gabungan Di Bursa Efek Indonesia. Jurnal Ilmu Ekonomi ISSN, 2302, 0172.

Hooker, M. A. (2004). Macroeconomic factors and emerging market equity returns: a Bayesian model selection approach. Emerging markets review, 5(4), 379-387.

Jawaid, S. T., & Ul Haq, A. (2012). Effects of interest rate, exchange rate and their volatilities on stock prices: evidence from banking industry of Pakistan. Theoretical & Applied Economics, 19(8).

Khalid, W. (2017). Effects of macroeconomic variables on the stock market volatility: the Pakistan experience. Global Journal of Management and Business Research, 17(4), 69-91.

Mardiyati, U., & Rosalina, A. (2013). Analisis pengaruh nilai tukar, tingkat suku bunga dan inflasi terhadap indeks harga saham studi kasus pada perusahaan properti yang terdaftar di bursa efek Indonesia. JRMSI-Jurnal Riset Manajemen Sains Indonesia, 4(1), 1-15.

Nordin, N., Nordin, S., & Ismail, R. (2014). The impact of commodity prices, interest rate and exchange rate on stock market performance: An empirical analysis from Malaysia. Malaysian Management Journal, 18, 39-52.

Osborne, J., & Waters, E. (2002). Four assumptions of multiple regression that researchers should always test. Practical Assessment, Research & Evaluation, 8(2), 1-9.Wongbangpo, P., & Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of asian Economics, 13(1), 27-51.

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.

Purnamawati, I. A., & Wirastuti, D. S. (2013). Faktor fundamental ekonomi makro terhadap harga saham LQ45. Jurnal Keuangan dan Perbankan, 17(2), 211-219.

Rad, A. A. (2011). Macroeconomic variables and stock market: evidence from Iran. International Journal of Economics and Finance Studies, 3(1), 1-10.

Rahmawati, F., & Baini, N. (2020). Dampak Variabel Makro Ekonomi Domestik dan Global Terhadap Indeks Saham Syariah Indonesia (ISSI) Periode Mei 2011--Mei 2019. Li Falah: Jurnal Studi Ekonomi dan Bisnis Islam, 4(2), 190-211.

Reilly, F. K., & Brown, K. C. (2012). Investment Analysis & Portfolio Management. Mason: Cengage Learning.

Samsul, M. (2006). Pasar Modal & Manajemen Portofolio. Surabaya: Penerbit Erlangga.

Satoto, S. H., & Budiwati, S. (2013). Pergerakan harga saham akibat perubahan nilai tukar, inflasi, tingkat bunga, dan gross domestic product. Jurnal Keuangan dan Perbankan, 17(3), 407-416.

Shaoping, C. H. (2008). Positivist analysis on effect of monetary policy on stock price behaviors. In Proceedings of 2008 conference on regional economy and sustainable developmentm.

Sukamto, S. W. (2016). Pengaruh Inflasi, Suku Bunga, Dan Nilai Tukar Rupiah Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia. Manajemen Bisnis, 6(2).

Sutrisno, B. (2017). Macroeconomic Variables and sectoral indices: Case in the Indonesian stock exchange.

Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Yogyakarta: Penerbit Kanisius.

Tripathi, V., & Seth, R. (2014). Stock market performance and macroeconomic factors: The study of Indian equity market. Global Business Review, 15(2), 291-316.

Weston, J. F., & Brigham, E. (1994). Fundamentals of Financial Management. Bandung: Erland.

Yuanyuan,C. & Donghui, F. (2004). Information Conotation of Stock Dividend Policies of companies listed in China: positivist study based on stock dividend policies stability. Journal of systems engineering.