DO MACROECONOMIC FACTORS AFFECT THE IDX COMPOSITE PRICE INDEX IN THE PERIOD 2017-2021?
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Abstract
Penelitian ini menginvestigasi pengaruh beberapa variabel makroekonomi pada indeks harga saham gabungan (IHSG). Variabel yang diduga menjadi determinan adalah tingkat suku bunga, inflasi, nilai tukar, dan harga minyak dunia. Periode observasi yang digunakan adalah tahun 2017-2021. IHSG memainkan peran penting pada pasar modal, dimana menjadi barometer perekonomian sebuah negara. Selain itu, IHSG juga dapat menjadi acuan kinerja saham bagi investor yang kemudian dapat memberikan gambaran tentang keuntungan portofolionya. Faktor makroekonomi seperti suku bunga, inflasi, nilai tukar, dan harga minyak dunia mempengaruhi volatilitas dari IHSG pada pasar modal. Penelitian memiliki kontribusi terhadap literatur terkait dengan menginvestigasi peran dari faktor ekonomi pada IHSG di Indonesia sebagai salah satu negara berkembang. Ini menjadi penting karena volatilitas dari IHSG berdampak pada pertumbuhan ekonomi. Sampel pada penelitian ini adalah data bulanan IHSG dari tahun 2017-2021 dengan total 60 observasi. Analisis regresi linier berganda digunakan untuk menguji hipotesis penelitian. Hasil penelitian menunjukkan bahwa terdapat beberapa faktor yang tidak memengaruhi IHSG, antara lain tingkat suku bunga dan inflasi. Sementara itu, nilai tukar dan harga minyak dunia ditemukan memiliki pengaruh terhadap IHSG. Pengaruh kedua variabel ini berbeda terhadap IHSG. Nilai Tukar memengaruhi IHSG secara negatif, namun harga minyak dunia memengaruhi secara positif. Secara simultan ditemukan bahwa variabel-variabel independent dalam model berpengaruh terhadap IHSG pada tahun 2017-2021.
This research investigated the effects of some macroeconomy variables to IDX Composite Price Index (IHSG). The variables which included in this study, namely interest rate (IR), inflation (IF), exchange rate (ER), and world crude oil price (COP) on the. Observation period of this research is from 2017–2021. The Composite Price Index (CPI) plays a crucial role in the capital market as it serves as a barometer of the economic health of the state. Moreover, through the IHSG, investors can see stock portfolio performance and can use it to measure profits. Macroeconomic factors as tested in this study can influence the volatility of the CPI in the capital market. The contribution of this research to the body of knowledge is by investigating the role of economic factors in determining the CPI in the emerging market such as Indonesia. This is crucial because composite stock price index volatility impacts economic growth. The sample in this study is monthly data from 2017-2021 with a total of 60 observations. The data obtained was then tested using multiple linear regression analysis. The research results showed that there are a few variables which did not affect the CPI, such as interest rate (IR) and inflation (IF). On the other hand, exchange rate (ER) and world crude oil price (COP) affect the index differently. Indonesian rupiah exchange rate negatively influenced the IDX Composite Index. Meanwhile, world crude oil price positively influenced the composite stock price index. Based on the research results, it is concluded that independent variables in the model had a significant simultaneous effect on the IDX Composite Index in the period 2017–2021.
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