Macroeconomic Factor Impact on the Stock Returns: An Empirical Study on the Indonesia LQ45 Stocks

DOI

10.2991/aebmr.k.211117.047How to use a DOI?

Keywords

CAPM; APT; macroeconomics; IDX; LQ45

Abstract

The stock price is affected by various macroeconomic factors such as the global market index, money supply, interest rate, inflation rate, and oil price. This paper presents a study on these macroeconomic factors on the return of stocks that are listed as the most liquid stocks in the Indonesia Stock Exchanges (IDX). The data used in this study is the stock that is included consistently in 45 most liquid stocks (LQ45) from 2009 up to 2019. On the stock returns, partial tests have shown that the global market index, interest rate, and inflation rate have a positive impact, and the oil price has negative effects. On the other hand, the money supply has a negligible impact on the stock returns. Simultaneous regression tests have shown, however, all of the macroeconomic factors have significant effects on the LQ45 stock returns, with a determination level of 27%.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - E Garnia
AU  - Deden R. Riadi
AU  - T Tahmat
AU  - F Dwi Arieana
PY  - 2021
DA  - 2021/11/23
TI  - Macroeconomic Factor Impact on the Stock Returns: An Empirical Study on the Indonesia LQ45 Stocks
BT  - Proceedings of the Seventh Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA 2021)
PB  - Atlantis Press
SP  - 133
EP  - 137
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211117.047
DO  - 10.2991/aebmr.k.211117.047
ID  - Garnia2021
ER  -