MACROECONOMIC FACTORS & ASSET PORTFOLIO THEORY IN IDX30: STOCK RETURNS 2013-2020

Andreas Billyarta Harsanico, Fx. Sugiyanto

Abstract

This study examines the influence of macroeconomic factors on stock returns within Indonesia's IDX30 index, the nation's leading stock index. The primary aim is to evaluate both short-term and long-term impacts of these macroeconomic variables on stock market returns, guided by Milton Friedman's theoretical framework. The research utilizes Ordinary Least Squares (OLS) to assess immediate relationships and Vector Error Correction Model (VECM) to capture long-term dynamics. The study analyzes historical data from the IDX30, focusing on variables such as inflation rates, interest rates, and GDP growth as key indicators. Results indicate that specific macroeconomic factors, particularly interest rates and inflation, have significant effects on IDX30 stock returns. In the short term, interest rates exhibit a strong inverse relationship with stock returns, while in the long term, GDP growth positively correlates with stock market performance.

Keywords

IDX30; Macroeconomics; OLS; VECM; Stock Returns

Full Text:

PDF

References

Adisetiawan. (2009). Hubungan Tingkat Suku Bunga Sertifikat Bank Indonesia (SBI), Inflasi, dan Indeks Harga Saham Gabungan (IHSG). BENEFIT: Jurnal Manajemen Dan Bisnis, 13(1), 23–33. https://journals.ums.ac.id/index.php/benefit/article/view/1301/0

Fauzia, S. (2019). Pengaruh Faktor Fundamental dan Teknikal terhadap Harga Saham (Studi Empiris pada Saham Syariah Jakarta Islamic Index Tahun 2015-2017) [Universitas Islam Negeri Raden Intan Lampung]. http://repository.radenintan.ac.id/8691/1/SILVIA FAUZIA SKRIPSI FULL AFTER MUNAQASYAH CETAAAAK%21%21%21.pdf

Keynes, J. M. (1936). The General Theory of Employment, Interest, and Money. London: Palgrave Macmillan.

Khan, M. I., Teng, J.-Z., Khan, M. K., Jadoon, A. U., & Khan, M. F. (2021). The impact of oil prices on stock market development in Pakistan: Evidence with a novel dynamic simulated ARDL approach. Resources Policy, 70(101899). https://doi.org/10.1016/j.resourpol.2020.101899

Lee, C.-C., Chen, M.-P., & Changc, C.-H. (2013). Dynamic relationships between industry returns and stock market returns. The North American Journal of Economics and Finance, 26, 119–144. https://doi.org/10.1016/j.najef.2013.08.002

Mishkin, F. S. (2019). The Economics of Money , Banking, and Financial Market (Twelfth ed). Boston: Pearson Education.

Nugroho, H. (2008). Analisis Pengaruh Inflasi, Suku Bunga, Kurs dan Jumlah Uang Beredar terhadap Indeks LQ45 (Studi Kasus Pada BEI Periode 2002-2007). Universitas Diponegoro.

Rudiger Dornbusch, S. F., & Starts, R. (2017). Macroeconomics. McGraw-Hill.

Shelly Singhal, S. C., & Biswal, P. C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. Resources Policy, 60, 255–261.

Shrestha, M. B., & Bhatta, G. R. (2018). Selecting appropriate methodological framework for time series data analysis. The Journal of Finance and Data Science, 4(2), 71–89. https://doi.org/10.1016/j.jfds.2017.11.001

Sulistiana, I., Hidayati, H., & Sumar, S. (2017). Model Vector Auto Regression (VAR) and Vector Error Correction Model (VECM) Approach for Inflation Relations Analysis, Gross Regional Domestic Product (GDP), World Tin Price, Bi Rate and Rupiah Exchange Rate. IJBE: Integrated Journal of Business and Economics, 1(2), 17–32.

Sunariyah. (2000). Pengantar Pengetahuan Pasar Modal. Yogyakarta: UPP Akademi Manajemen Perusahaan YKPN.

Talwar, S., & Srivastava, S. (2018). Integration of GDP and FDI in Economies at Different Stages of Growth. Theoretical Economics Letters, 2011(8), 2199–2219. https://doi.org/10.4236/tel.2018.811144

Uddin, M. G. S. (2009). Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries. International Journal of Business and Management, 4. https://doi.org/10.5539/ijbm.v4n3p43

Widoatmodjo, S. (2009). Pasar Modal Indonesia: Pengantar & Studi Kasus. Bogor: Ghalia Indonesia.

DOI: https://doi.org/10.20961/jiep.v23i1.57785

Refbacks

  • There are currently no refbacks.