Relationship between Macroeconomic Variables and Stock Market Composite Index: Evidence from Indonesia


Authors : Naimah; Andam Dewi

Volume/Issue : Volume 6 - 2021, Issue 6 - June

Google Scholar : http://bitly.ws/9nMw

Scribd : https://bit.ly/3fFbpCY

This study aims to determine and analyze the effect of inflation, exchange rates, gross domestic product (GDP), and interest rates on the composite stock price index on the Indonesia Stock Exchange for the 2015-2019 period. This study uses a quantitative approach. The samples used are inflation data from the Central Statistics Agency, the USD/IDR exchange rate (JISDOR) from Bank Indonesia, GDP data based on current prices from the Central Statistics Agency, and interest rates published by Bank Indonesia with an observation period of 5 years quarterly. The data used in this research is secondary data. This research technique uses Multiple Linear Regression analysis on time series data using the eviews 10 application. The results indicate that inflation, exchange rates, and interest rates do not affect the Jakarta Composite Index (JCI), while GDP has a positive and significant effect on the JCI.

Keywords : Inflation, Exchange Rate, GDP, Interest Rates

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