Pengaruh Variabel Makroekonomi terhadap Return Saham Indeks Infobank15

https://doi.org/10.35912/simo.v4i2.2052
Published: Oct 4, 2023

Abstract:

Purpose: This study analyzes the impact of macroeconomic indicators on banking stock returns.

Methodology/approach: This study utilized a quantitative approach with a hypothesis testing method as evidence of the effects of macroeconomic indicators on bank stock returns. The stock index obtained as a sample was the Infobank15 index, consisting of 15 banks in Indonesia over five years, from 2018 to 2022. To examine the relationship in the research model or the impact between variables and to fit the research model, secondary data were used. Data were analyzed using statistical software to implement the data analysis.

Results: This study found that the price of the InfoBank15 index is affected either positively or negatively by money supply and exchange rate, respectively, but not by interest rate.

Limitations: This research was limited by the short observation period, with limited macroeconomic indicators as the independent variable, and only one index listed in Bursa Efek Indonesia is used as research data.

Keywords:
1. Exchange Rate
2. Interest Rate
3. Macroeconomics
4. Money Supply
5. Stock Index
Authors:
1 . Hesniati Hesniati
2 . Delfina Delfina
3 . Irvin Irvin
4 . Alexander Janio Wijaya
5 . Fionna Quinn
6 . Hardy Winata Lie
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How to Cite
Hesniati, H., Delfina, D., Irvin, I., Wijaya, A. J., Quinn, F., & Lie, H. W. (2023). Pengaruh Variabel Makroekonomi terhadap Return Saham Indeks Infobank15 . Studi Ilmu Manajemen Dan Organisasi, 4(2), 127–137. https://doi.org/10.35912/simo.v4i2.2052
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Issue & Section
Vol. 4 No. 2 (2023): Oktober
Articles
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    Ady, S. U., & Zaman, M. A. (2022). Profitability, Managerial Ownership, and Audit Committee on Stock Returns in Indonesian Commercial Banks. Journal of World Economy: Transformations & Transitions. https://doi.org/10.52459/jowett25211122

    Alaagam, A. (2019). The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector. 10(14). https://doi.org/10.7176/RJFA

    Alam, N. (2020). Do Oil Price Shock, and Other Macroeconomic Variables Affect the Stock Market: A Study of the Saudi Stock Market. Humanities & Social Sciences Reviews, 8(3), 1234–1242. https://doi.org/10.18510/hssr.2020.83126

    Al-Harbi, A. (2019). The Determinants of Conventional Banks Profitability in Developing and Underdeveloped OIC Countries. Journal of Economics, Finance and Administrative Science, 24(47), 4–28. https://doi.org/10.1108/JEFAS-05-2018-0043

    Amarkhil, D. K., Hussain, J., & Ayoubi, M. (2021). Effect of Exchange Rate on Stock Return. Multidisciplinary Peer Reviewed Journal, 7(1), 297–310.

    Amhimmid, O. M. H., Yanto, H., & Setyadharma, A. (2021). Analysis Journal the Effect of Interest Rates, Money Supply and Exchange Rate on Inflation in Indonesia and Libya. BEAJ Business and Economic Analysis Journal, 1(2), 104–121. https://doi.org/10.15294/beaj.v1i2.33590

    Anggara, D. S., & Abdillah, C. (2022). Kemampuan Literasi Kuantitatif Siswa Kelas V Menggunakan Pendekatan Rasch Model. Jurnal Cakrawala Pendas, 1(8), 164–172. https://doi.org/10.31949/jcp.v8i1.1926

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    Çel?k, ?. E. (2019). Assessing the Impact of Bank Risk Factors on Turkish Bank’s Stock Returns Using the Egarch-M Model. 3. SEKTÖR SOSYAL EKONOM? DERG?S?. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.19.05.1145

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    Hastuti, R., Irawan, I. ., & Hukom, A. . (2023). Pengaruh Inflasi, Nilai Tukar, Suku Bunga dan Produk Domestik Bruto terhadap Return Saham pada Perusahaan Manufaktur. Studi Ekonomi Dan Kebijakan Publik, 2(1), 21–36. https://doi.org/10.35912/sekp.v2i1.1221

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    Huy, D. T. N., Loan, B. T. T., & Anh, P. T. (2020). Impact of Selected Factors on Stock Price: A Case Study of Vietcombank in Vietnam. Entrepreneurship and Sustainability Issues, 7(4), 2715–2730. https://doi.org/10.9770/jesi.2020.7.4(10)

    Ibukun, F. O., Ogundele, A. T., Effange, K. S., & Aruleba, S. O. (2021). Money Supply, Exchange Rate and Stock Market Performance in Nigeria (1986-2020). IOSR Journal of Humanities and Social Science (IOSR-JHSS, 26(10), 15–22. https://doi.org/10.9790/0837-2610061522

    Iqmal, F. M., & Putra, I. G. S. (2020). Macroeconomic Factors and Influence on Stock Return That Impact the Corporate Values. International Journal of Finance & Banking Studies (2147-4486), 9(1), 68–75. https://doi.org/10.20525/ijfbs.v9i1.667

    Jihadi, M., Safitri, I. H., & Brahmawati, D. (2021). The Effect of Exchange Rates Towards Stock Return Mediated with Inflation Rates and Interest Rates. Jurnal Reviu Akuntansi dan Keuangan, 11(2), 383–392. https://doi.org/10.22219/jrak.v11i2.16320

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  1. Abbas, G., & Wang, S. (2020). Does Macroeconomic Uncertainty Really Matter in Predicting Stock Market Behavior? A comparative Study on China and USA. China Finance Review International, 10(4), 393–427. https://doi.org/10.1108/CFRI-06-2019-0077
  2. Ady, S. U., & Zaman, M. A. (2022). Profitability, Managerial Ownership, and Audit Committee on Stock Returns in Indonesian Commercial Banks. Journal of World Economy: Transformations & Transitions. https://doi.org/10.52459/jowett25211122
  3. Alaagam, A. (2019). The Relationship Between Profitability and Stock Prices: Evidence from the Saudi Banking Sector. 10(14). https://doi.org/10.7176/RJFA
  4. Alam, N. (2020). Do Oil Price Shock, and Other Macroeconomic Variables Affect the Stock Market: A Study of the Saudi Stock Market. Humanities & Social Sciences Reviews, 8(3), 1234–1242. https://doi.org/10.18510/hssr.2020.83126
  5. Al-Harbi, A. (2019). The Determinants of Conventional Banks Profitability in Developing and Underdeveloped OIC Countries. Journal of Economics, Finance and Administrative Science, 24(47), 4–28. https://doi.org/10.1108/JEFAS-05-2018-0043
  6. Amarkhil, D. K., Hussain, J., & Ayoubi, M. (2021). Effect of Exchange Rate on Stock Return. Multidisciplinary Peer Reviewed Journal, 7(1), 297–310.
  7. Amhimmid, O. M. H., Yanto, H., & Setyadharma, A. (2021). Analysis Journal the Effect of Interest Rates, Money Supply and Exchange Rate on Inflation in Indonesia and Libya. BEAJ Business and Economic Analysis Journal, 1(2), 104–121. https://doi.org/10.15294/beaj.v1i2.33590
  8. Anggara, D. S., & Abdillah, C. (2022). Kemampuan Literasi Kuantitatif Siswa Kelas V Menggunakan Pendekatan Rasch Model. Jurnal Cakrawala Pendas, 1(8), 164–172. https://doi.org/10.31949/jcp.v8i1.1926
  9. Anggraini, R. D., & Wijayanto, A. (2021). The Influence of Fundamental Factors on Stock Returns with Exchange Rate as Moderation Variable Article Information. Management Analysis Journal. http://maj.unnes.ac.id
  10. 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. https://doi.org/10.3390/ijfs7020018
  11. Çel?k, ?. E. (2019). Assessing the Impact of Bank Risk Factors on Turkish Bank’s Stock Returns Using the Egarch-M Model. 3. SEKTÖR SOSYAL EKONOM? DERG?S?. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.19.05.1145
  12. Chandra, T., Junaedi, A. T., Wijaya, E., Suharti, S., Mimelientesa, I., & Ng, M. (2019). The Effect of Capital Structure on Profitability and Stock Returns. Journal of Chinese Economic and Foreign Trade Studies, 12(2), 74–89. https://doi.org/10.1108/jcefts-11-2018-0042
  13. Chun, Y. Y., Matsumoto, M., Tahara, K., Chinen, K., & Endo, H. (2019). Exploring Factors Affecting Car Sharing Use Intention in the Southeast-Asia Region: A Case Study in Java, Indonesia. Sustainability (Switzerland), 11(18). https://doi.org/10.3390/su11185103
  14. Danila, N., Noreen, U., Azizan, N. A., Farid, M., & Ahmed, Z. (2020). Growth Opportunities, Capital Structure and Dividend Policy in Emerging Market: Indonesia Case Study. The Journal of Asian Finance, Economics and Business, 7(10), 1–8. https://doi.org/10.13106/jafeb.2020.vol7.no10.001
  15. Fahlevi, M. (2019). The Influence of Exchange Rate, Interest Rate and Inflation on Stock Price of LQ45 Index in Indonesia.
  16. Fauziyah, L., & Yuliana, I. (2022). Pengaruh Struktur Modal terhadap Nilai Perusahaan dengan Profitabilitas sebagai Variabel Intervening. Keuangan dan Akuntansi (MEKA), 3(1), 320–326. http://ejurnal.poltekkutaraja.ac.id/index.php/meka
  17. Garnia, E., Rizal, D., Tahmat, T., & Lebeharia, A. A. F. (2022). Impacts of Macroeconomic Factors on Stock Returns in the Property Sector. KnE Social Sciences, 59–68. https://doi.org/10.18502/kss.v7i6.10609
  18. Gunardi, Nugraha, Disman, & Sari, M. (2023). The Effect of Money Supply and Interest Rate on Stock Price. Central European Management Journal. https://doi.org/10.57030/23364890.cemj.31.1.24
  19. Hasnawati, S., Hendrawaty, E., Taher, A. R. Y., Riyadi, S. E. E., Hutabarat, F. G., & Syafis, K. S. (2023). Pemodelan Kausal Pengaruh Tingkat Suku Bunga dan Inflasi terhadap IHSG di BEI. Studi Ekonomi Dan Kebijakan Publik, 1(2), 73–82. https://doi.org/10.35912/sekp.v1i2.1475
  20. Hassan, K. G., & Sabah, W. (2019). Measuring the Impact of Some Macroeconomic Variables on the Stock Price Index in the Iraq Stock Exchange for the Period (2006-2015). Academic Journal of Nawroz University, 8(4), 93. https://doi.org/10.25007/ajnu.v8n4a441
  21. Hastuti, R., Irawan, I. ., & Hukom, A. . (2023). Pengaruh Inflasi, Nilai Tukar, Suku Bunga dan Produk Domestik Bruto terhadap Return Saham pada Perusahaan Manufaktur. Studi Ekonomi Dan Kebijakan Publik, 2(1), 21–36. https://doi.org/10.35912/sekp.v2i1.1221
  22. Hesniati, H., Ogawa, A. Y., Clarence, A., Topher, C., & Engelina, J. (2022). Pengaruh Inflation, Interest Rate, dan Exchange Rate terhadap IHSG di Bursa Efek Indonesia pada Tahun 2011-2021. Studi Ilmu Manajemen Dan Organisasi, 3(1), 261–271. https://doi.org/10.35912/simo.v3i1.1078
  23. Huy, D. T. N., Dat, P. M., & Anh, P. T. (2020). Building an Econometric Model of Selected Factors’ Impact on Stock Price: A Case Study. Journal of Security and Sustainability Issues, 9(May), 77–93. https://doi.org/10.9770/JSSI.2020.9.M(7)
  24. Huy, D. T. N., Loan, B. T. T., & Anh, P. T. (2020). Impact of Selected Factors on Stock Price: A Case Study of Vietcombank in Vietnam. Entrepreneurship and Sustainability Issues, 7(4), 2715–2730. https://doi.org/10.9770/jesi.2020.7.4(10)
  25. Ibukun, F. O., Ogundele, A. T., Effange, K. S., & Aruleba, S. O. (2021). Money Supply, Exchange Rate and Stock Market Performance in Nigeria (1986-2020). IOSR Journal of Humanities and Social Science (IOSR-JHSS, 26(10), 15–22. https://doi.org/10.9790/0837-2610061522
  26. Iqmal, F. M., & Putra, I. G. S. (2020). Macroeconomic Factors and Influence on Stock Return That Impact the Corporate Values. International Journal of Finance & Banking Studies (2147-4486), 9(1), 68–75. https://doi.org/10.20525/ijfbs.v9i1.667
  27. Jihadi, M., Safitri, I. H., & Brahmawati, D. (2021). The Effect of Exchange Rates Towards Stock Return Mediated with Inflation Rates and Interest Rates. Jurnal Reviu Akuntansi dan Keuangan, 11(2), 383–392. https://doi.org/10.22219/jrak.v11i2.16320
  28. John, E. I. (2019). Effect of Macroeconomic Variables on Stock Market Performance in Nigeria. Journal of Economics, Management and Trade, 1–14. https://doi.org/10.9734/jemt/2019/v22i630110
  29. Khan, M. K. (2019). Impact of Exchange Rate on Stock Returns in Shenzhen Stock Exchange: Analysis Through ARDL Approach. International Journal of Economics and Management, 1(2), 15–26.
  30. Kyei-Mensah, J., & Awuah-Werekoh, A. (2020). The Impact of Exchange Rate and Interest Rate Volatility on Stock Market Returns. Journal of Applied Business and Economics, 22(4), 36–50.
  31. Nadiri, R. (2021). Bank-Specific and Macro-Economic Determinants of Profitability of Afghanistan Commercial Banks: A Panel Data Approach. Kardan Journal of Economics and Manangement Sciences. https://doi.org/10.31841/KJEMS.2021.100
  32. Naseem, S., Fu, G. L., ThiLan, V., Mohsin, M., & Zia-Ur-Rehman, M. (2019). Macroeconomic Variables and the Pakistan Stock Market: Exploring Long and Short-Run Relationships. Pacific Business Review International, 11(7), 62–72.
  33. Nurbaisya, R. (2021). Analysis of the Influence of the Money Supply and the Rupiah Exchange Rate on Stock Returns of State-Owned Banks in the 2008-2010 Period. Indonesia Auditing Research Journal, 10(2), 69–75. https://journals.iarn.or.id/index.php/ARJ/index
  34. O’Connell, M. (2023). Bank-Specific, Industry-Specific and Macroeconomic Determinants of Bank Profitability: Evidence from the UK. Studies in Economics and Finance, 40(1), 155–174. https://doi.org/10.1108/SEF-10-2021-0413
  35. Rahman, H. U., Yousaf, M. W., & Tabassum, N. (2020). Bank-Specific and Macroeconomic Determinants of Profitability: A Revisit of Pakistani Banking Sector Under Dynamic Panel Data Approach. International Journal of Financial Studies, 8(3), 1–19. https://doi.org/10.3390/ijfs8030042
  36. Septiani, M. A. D., & Sulistyawati, L. (2022). Strategi Pengembangan Bisnis dengan Metode Product Life Cycle (PLC) dan Boston Consulting Group (BCG) Matriks: Studi Kasus Batik Very Jelita Batam. Reslaj: Religion Education Social Laa Roiba Journal, 4(6), 1532–1550. https://doi.org/10.47476/reslaj.v4i6.1171
  37. Setiawan, S. A. (2020). Does Macroeconomic Condition Matter for Stock Market? Evidence of Indonesia Stock Market Performance for 21 Years. The Indonesian Journal of Development Planning: Vol. IV (Issue 1).
  38. Suharyanto, & Zaki, A. (2021). The Effect of Inflation, Interest Rate, and Exchange Rate on Stock Return in Food & Beverages Companies. Jurnal Aplikasi Manajemen, 19(3), 616–622. https://doi.org/10.21776/ub.jam.2021.019.03.14
  39. Sukesti, F., Ghozali, I., Fuad, F., Almasyhari, A. K., & Nurcahyono, N. (2021). Factors Affecting the Stock Price: The Role of Firm Performance. Journal of Asian Finance, Economics and Business, 8(2), 165–173. https://doi.org/10.13106/jafeb.2021.vol8.no2.0165
  40. Syahri, A., & Robiyanto, R. (2020). The Correlation of Gold, Exchange Rate, and Stock Market on Covid-19 Pandemic Period. Jurnal Keuangan Dan Perbankan, 24(3). https://doi.org/10.26905/jkdp.v24i3.4621
  41. Tahmat, Lilyana, F., & Sapitri, L. M. (2022). The Effects of Macroeconomic Factors on Stock Return: LQ45 Indonesia Stock Market. Adpebi International Journal of Multidisciplinary Sciences, 1(1), 447–454. https://doi.org/10.54099/aijms.v1i1.289
  42. Trung, N. K. Q. (2022). Determinants of Stock Market Modern Development: Evidence from Vietnam. Journal of Eastern European and Central Asian Research (JEECAR), 9(6), 951–964. https://doi.org/10.15549/jeecar.v9i6.987
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