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Indonesia Accounting Research Journal, 12 (3) (2025), pp. 106-114
Journal homepage: https://journals.iarn.or.id/index.php/IARJ/index
Published by: Institute of Accounting Research and Novation (IARN)
Indonesia Accounting Research Journal
Journal homepage: https://journals.iarn.or.id/index.php/IARJ/index
Analysis of macroeconomic influence on composite stock price
index fluctuations on the Indonesia stock exchange
Martha Racwel Patty
Department of Management, Faculty of Economics and Business, Universitas Pattimura, Ambon, Indonesia
Article Info
ABSTRACT
Article history:
Received Feb 5, 2025
Revised Feb 10, 2025
Accepted Feb 24, 2025
This research analyzes the influence of macroeconomic factors, namely
the exchange rate of the rupiah against the US dollar, the 7-day BI
interest rate, inflation, and money supply, on the fluctuations of the
Composite Index of Stock Prices in the Indonesian Stock Exchange
during the period 2018-2023. The multiple regression analysis method
is used to evaluate the relationship between variables using monthly
data. The research results show that the exchange rate of the rupiah
has a significant negative influence on the JCI, while the 7-day BI
interest rate, inflation, and money supply have a significant positive
influence. At the same time, these four variables were shown to
significantly influence the JCI. These findings provide information for
investors, economic observers, and policymakers to understand the
impact of macroeconomic dynamics on the stock market, so that they
can help make strategic investment decisions.
Keywords:
Composite Index of Stock Prices
(JCI);
Inflation;
Money Supply;
The 7-Day BI Interest Rate;
The Exchange Rate of the
Rupiah Against the US Dollar.
This is an open access article under the CC BY-NC license.
Corresponding Author:
Martha Racwel Patty,
Departmen of Management,
Universitas Pattimura,
Jl. Ir. M. Putuhena, Rumah Tiga, Kec. Tlk Ambon, Maluku, Indonesia
Email: martha.patty@lecturer.unpatti.ac.id
1. INTRODUCTION
The capital market is a venue for trading long-term financial instruments, both debt and equity,
issued by the government and private companies (Husnan, 2015). According to Permata & Ghoni,
(2019) the capital market acts as an alternative source of finance for companies as well as an
investment option for investors. The capital market functions as an investment vehicle for investors
as well as a source of finance for parties in need of funds. Apart from that, the capital market also
plays a role in collecting and directing people's savings to support investment activities (Eni Dasuki
Suhardini, 2015). In Indonesia, the capital market is the Indonesia Stock Exchange, whose main
instruments are stocks and bonds.
Proper investment is very important to avoid losses, especially amid intense competition for
information. Investors consider several factors, including rate of return and risk, when selecting
investments. Share prices are an important indicator of the issuer's performance and can be
influenced by the company's actions. The Composite Index of Share Prices (JCI) is often used to
assess the development of the capital market in Indonesia, which can fluctuate along with changes in
macroeconomic factors.
Fluctuations in the Composite Index of Share Prices on the Indonesia Stock Exchange (ISE)
are an important topic in capital market studies, especially regarding the impact of macroeconomic
conditions on financial stability and investment in Indonesia. JCI, as the main indicator reflecting the
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performance of all stocks in the IDX market, is not only influenced by internal factors but also by
global conditions, especially since recent years.
In recent years, global capital markets, including Indonesia, have experienced significant
dynamics due to the COVID-19 pandemic and subsequent shifts in global economic policies. Since
the pandemic, the Indonesian government has implemented various economic policies to stabilize
the financial sector and support economic recovery. Some of these measures include low-interest
rate policies by Bank Indonesia, fiscal stimulus, and incentives for the real sector to maintain
economic stability. Although the pandemic has subsided, the Indonesian capital market still faces
challenges due to global uncertainties, including tightening monetary policies by major central banks
such as the Federal Reserve, exchange rate volatility, and geopolitical tensions. Therefore, it is crucial
to examine the extent to which macroeconomic factors such as the exchange rate of the rupiah
against the US dollar, the BI 7-day interest rate, inflation, and money supply continue to have a
significant impact on the fluctuations of the JCI in the post-pandemic period.
Moreover, in the context of government policies and industry strategies, several measures
have been taken to mitigate the impact of the pandemic on capital markets and working capital
management. For instance, the National Economic Recovery (PEN) program, Quantitative Easing
(QE) policies by Bank Indonesia, and various regulations supporting the financial and investment
sectors. Therefore, this study also aims to understand whether these policies have effectively reduced
JCI volatility and how market participants are responding to macroeconomic dynamics in the current
economic recovery era.
Previous research shows that currency exchange rates have a strong correlation with stock
market index performance, where depreciation of the rupee tends to have an impact on the tendency
of investors to move their funds into the foreign exchange market, resulting in a decline in JCI.
(Narisa Fakhrani Saputri & Zulfa Irawati, 2023) However, there are other studies that have found
different results, namely research conducted by Kainde & Karnoto, (2021) whose research found that
the exchange rate had no effect on stock returns. In addition, the BI Rate interest rate policy, which
has changed in recent years, has also had a significant impact on investor behavior in the stock
market. For example, fluctuations in the benchmark interest rate increase made by Bank Indonesia in
2022 to control inflation affect investment patterns, because rising interest rates encourage investors
to choose assets with lower risk, such as bonds or deposits (Kurniawan & Rosyida, 2024).
When the exchange rate of the rupee against foreign currencies strengthens, many investors
will invest in stocks. Because this strengthening indicates that the economy is in good condition.
When the exchange rate of the rupee weakens, which means that foreign currencies are
strengthening, it indicates that the economy is in bad condition. This will affect the composite stock
price index.
The interest rate is a monetary instrument that can provide a positive signal for the economy
as a whole. High interest rates are a negative signal for stock prices (Cotton, 2022). According to
Boediono (in Louis, 2024) inflation can be explained as a phenomenon of price increases in goods
and services involving a large scale and occurring continuously in an economy. Thus, inflation can be
defined as a decrease in purchasing power due to an increase in the prices prevailing in an economy.
The more the price rises, the lower the value of money. A fall in the value of the currency can also
increase the risk of a decrease in the real income earned by investors. This will automatically cause
the Composite Index of Stock Prices to decrease (Kewal, 2012). In investment, high inflation makes
investors more careful in choosing and making transactions. Therefore, investors tend to wait to
invest until economic conditions are conducive to avoid the risks that high inflation could cause.
Inflation also plays a major role in influencing the performance of the JCI. High inflation
rates tend to reduce the purchasing power of people, which has an impact on investment because
investors will be careful while investing their capital. In addition, the money supply (M2), which
increased as part of the economic recovery efforts after the pandemic, also affected liquidity in the
stock market. In theory, this condition can increase investment activity, but it also carries the
potential for increased volatility. Research conducted by Asriani & Hapsari, (2022) shows that money
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108
supply partially influences the JCI, unlike the research conducted by (Jumria, 2017) where money
supply is one of the variables that has a positive and significant impact on stock prices.
Therefore, this research aims to further examine how these four macroeconomic factors
(rupiah exchange rate, BI rate, inflation, and money supply) influence the fluctuations of the IHSG
during the period 2018-2023. The findings of this study are anticipated to offer valuable insights for
investors, economic analysts, and policymakers to comprehend how shifts in macroeconomic
conditions affect the Indonesian stock market, while also assisting in making more informed and
strategic investment choices.
2. RESEARCH METHOD
This study employs a quantitative approach to examine the impact of macroeconomic factors such as
the Rupiah exchange rate against the US dollar, 7-day interest rates, inflation, and money supply on
the Composite Stock Price Index (JCI). The quantitative method was selected to quantify the
relationship between independent and dependent variables using numerical data that can be
analyzed through statistical methods.
The population for this research consists of all available data relevant to the Rupiah
exchange rate, 7-day BI interest rates, inflation, money supply, and JCI during the period from
January 2018 to December 2023. The period 2020-2023 was selected for this study due to the
significant economic shifts and financial market volatility resulting from the COVID-19 pandemic
and subsequent recovery phases. This timeframe allows for an in-depth analysis of macroeconomic
policies and their impacts on stock market performance during an unprecedented global economic
event. Additionally, this period provides valuable insights into how investors and financial
institutions adapted to changing economic conditions, monetary policies, and regulatory
interventions. The selection of sample companies is based on firms listed on the Indonesia Stock
Exchange (IDX) that actively traded stocks during the study period. Companies were chosen based
on criteria such as market capitalization, trading volume, and industry representation to ensure a
comprehensive analysis of macroeconomic factors affecting the broader stock market. The sampling
technique used in this study is purposive sampling, as the selection was based on specific criteria
relevant to the research objectives. The sample used includes monthly data on the Rupiah exchange
rate against the US dollar, 7-day interest rates, inflation, money supply, and the IHSG from the
Indonesia Stock Exchange, with a total of 72 observations for each variable. The selected data
provides a representative analysis of the impact of these variables on the JCI within the given
timeframe.
Data collection for this research was conducted by gathering secondary data from reliable
sources, such as Bank Indonesia monthly reports, the Indonesia Stock Exchange (IDX) Statistics, and
Yahoo Finance. This data includes the Rupiah exchange rate against the US dollar, 7-day interest
rates, inflation, money supply, and IHSG values from January 2018 to December 2023. To ensure the
reliability and validity of secondary data obtained from Bank Indonesia (BI), the Indonesia Stock
Exchange (IDX), and Yahoo Finance, this study cross-verifies data from multiple sources, including
official government reports and financial statements. These three platforms are official and reputable
sources of financial and economic data. Bank Indonesia provides authoritative macroeconomic
indicators and monetary policy reports, IDX offers verified stock market and corporate financial data,
and Yahoo Finance aggregates global financial information from trusted institutions. The use of data
from these established sources minimizes potential biases and enhances data integrity. Furthermore,
statistical validation techniques, including consistency checks and historical trend comparisons, are
applied to ensure accuracy and robustness in the dataset. Utilizing secondary data facilitates a more
in-depth and comprehensive analysis.
To analyze the data, this study applies multiple regression analysis, which allows for the
exploration of the influence of each independent variable on the dependent variable, which in this
case is the Composite Stock Price Index (JCI). Prior to the regression analysis, classical assumption
tests, including normality, multicollinearity, and heteroscedasticity tests, will be performed. These
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tests are essential to verify that the regression model meets the necessary assumptions. The results of
this analysis are expected to provide valuable insights into the relationships between the studied
variables within the relevant economic context.
The multiple regression model applied in this study can be represented by the following
formula:
Y=a+b1X1+b2X2+b3X3+b4X4+e
dimana :
Y = JCI
a = constant
b1, b2, b3, b4 = regression coefficients
X1 = exchange rate of rupee against US dollar
X2 = 7-day BI interest rate
X3 = Inflation
X4 = Money supply
e = error
The data processing in this research uses Statistical Solutions for Products and Services
(SPSS) version 23. Before testing the hypothesis, several data analyses are used in this research,
namely data quality test and classical assumption test.
3. RESULTS AND DISCUSSIONS
Result
Test of classical assumptions
Test of data normality
The following image shows the results of the normality test obtained from this research.
Figure 1. Normal p-p plot
Based on the above plot, it can be concluded that this regression model meets the
assumption of normality. This is shown by the consistent distribution of data around the diagonal
line, with the distribution pattern following the direction of the line. Therefore, the residual
distribution in this regression model can be considered close to a normal distribution, which is one
of the important prerequisites in regression analysis.
Multicollinearity Test
Two indicators can be used to identify multicollinearity, namely, the tolerance value and the
variance inflation factor (VIF). The regression model is considered to be free from multicollinearity if
the tolerance value is greater than 0.1 and the VIF value is less than 10.
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Table 1. Results of the multicollinearity test
No
Variabel
Tolerance
VIF
1.
Exchange rate (X1)
0,493
2,026
2.
7 days Interest rate BI (X2)
0,673
1,486
3.
Inflation (X3)
0,729
1,372
4.
Money supply (X4)
0,508
1,970
Data source: processed primary data, 2024
Based on the data presented in the table above, it can be observed that the tolerance values
for the four independent variables, namely, Rupee exchange rate against US dollar, BI 7-day interest
rate, inflation and money supply, are all above 0.1. Apart from that, the Variance Inflation Factor
(VIF) value for each variable is also less than 10. With these results, we can conclude that the
regression model used does not face any multicollinearity issues, which indicates that the
independent variables are not significantly correlated with each other.
Heteroscedasticity Test
The results of the heteroscedasticity test using a scatter plot can be seen in the following
image:
Figure 2. Scatter plot graph
In Figure 3, it appears that the data points are randomly distributed both above and below
the zero line on the Y-axis. This random distribution pattern shows that there is no striking
regularity. Therefore, it can be concluded that this regression model is free from heteroscedasticity
problems.
Hypothesis test
Partial test (T-test)
This research aims to investigate the influence of the exchange rate (X1), the 7-day BI
interest rate (X2), inflation (X3) and The amount of money in circulation (X4) on the composite
stock price index (JCI) (Y). To answer the hypothesis proposed above, the hypothesis test was
performed using multiple regression analysis, which will be explained in the following analysis:
Table 2. Exam results t
Coefficientsa
Model
Unstandardized Coefficients
t
Sig.
B
Std. Error
1
(Constant)
16,459
2,294
7,175
,000
Exchange rate
-1,812
,301
-6,021
,000
7 days Interest rate BI
,034
,010
3,336
,001
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Coefficientsa
Model
Unstandardized Coefficients
t
Sig.
B
Std. Error
Inflation
,038
,008
4,751
,000
Money supply
,596
,073
8,151
,000
a. Dependent Variable: The Composite Stock Price Index
Data source: processed primary data, 2024
Y = 16,459 – 1,812X1 + 0,034X2 + 0,038X3 + 0,596X4
From the obtained regression equation, the effect of independent variables, namely the
exchange rate of the rupiah against the US dollar, the BI 7-day interest rate, inflation, and the
amount of money supply on the Composite Stock Price Index in the Indonesia Stock Exchange (IDX)
can be explained as follows:
As per the above multiple linear regression equation, the constant value was recorded at
16,459. This shows that the JCI has a value of 16,459 when the independent variables (Rupiah vs. US
Dollar exchange rates, 7-day interest rates, inflation, and money supply) have no effect or zero value.
The regression coefficient of rupee exchange rate variable against US dollar (X1) is -1.812 with
significance value of 0.000. This value is less than α = 5% (0.000 < 0.05) and t-count of 6.021 is greater
than t-table which is 1.667916. These findings indicate that rupee exchange rate against US dollar has
negative and significant influence on IHSG during the period 2018-2023. Therefore, the first
hypothesis which states that rupee exchange rate against US dollar has negative and significant effect
on JCI can be accepted.
The regression coefficient for the variable 7-day BI interest rate (X2) is 0.034, with a
significance value of 0.001. This value is also less than α = 5% (0.001 < 0.05) and the t-count of 3.336 is
greater than the t-table which is 1.667916. The findings of the study indicate that the 7-day BI interest
rate has a positive and significant impact on the JCI during the 2018-2023 period. As a result, the
second hypothesis, which suggested that the 7-day BI interest rate negatively and significantly affects
the JCI, is rejected.
The regression coefficient for the inflation variable (X3) is 0.250, with a significance level of
0.025. This value is less than α = 5% (0.025 < 0.05) and the t-count of 2.109 is greater than the t-table
of 1.667916. This suggests that inflation had a positive and significant impact on the JCI during the
same period. Consequently, the third hypothesis, which proposes that inflation negatively and
significantly affects the JCI, is rejected.
The regression coefficient for the money supply variable (X4) is 0.047, with a significance
level of 0.01.. This value is less than α = 5% (0.010 < 0.05) and the t-count of 2.958 is greater than the
t-table which is 1.667916. These results demonstrate that the money supply had a positive and
significant impact on the JCI during the 2018-2023 period. Therefore, the fourth hypothesis, which
asserts that the money supply has a negative and significant effect on the JCI, is rejected.
Simultaneous test (F-test)
This study seeks to assess the combined impact of the exchange rate, the 7-day BI interest
rate, inflation, and money supply on the Composite Stock Price Index.
Table 3. Results of the f-test
ANOVAa
Model
F
Sig.
1
Regression
28,469
,000b
Residual
Total
a. Dependent Variable: Indeks Harga Saham Gabungan
b. Predictors: (Constant), Jumlah Uang Beredar, Suku Bunga BI 7 Days, Inflasi, Kurs
USD/IDR
Data source: processed primary data, 2024
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In this analysis, the alternative hypothesis is accepted, as the significance value of 0.000 is
below the 0.05 threshold. This indicates that the independent variables collectively affect the
dependent variable. Therefore, it can be concluded that the exchange rate (X1), the 7-day BI interest
rate (X2), inflation (X3), and money supply (X4) have a significant impact on the JCI (Y).
Discussion
The research findings indicate that the exchange rate of the rupiah against the US dollar has
a regression coefficient of -1.812, signifying a negative and significant impact on the Composite Stock
Price Index (JCI), with a significance value of 0.000. This implies that a depreciation of the rupiah
against the US dollar tends to drive the JCI downward. This phenomenon can be attributed to the
increased operational costs faced by companies that rely on imported raw materials, which in turn
affects overall profitability and stock market performance. Consequently, strengthening the rupiah's
exchange rate is crucial for maintaining stock market stability in Indonesia. Moreover, this condition
highlights investors' sensitivity to exchange rate fluctuations. Exchange rate volatility can create
market uncertainty, potentially reducing investor interest in the stock market. These findings
emphasize the importance of monitoring exchange rate movements as a key factor in investment
decision-making. Therefore, ensuring exchange rate stability remains a critical challenge for
economic policy, as it plays a vital role in fostering a favorable environment for stock market growth.
These conclusions align with the findings of previous studies conducted by Rachmawati (2023); Rizki
(2022); (Fellicia & Widjaja (2023) and the research conducted by (Narisa Fakhrani Saputri & Zulfa
Irawati, 2023).
The findings on the 7-day BI interest rate reveal a regression coefficient of 0.034 with a
significance level of 0.001, indicating a significant positive impact on the JCI. While higher interest
rates are generally linked to slower economic growth, in this context, they serve as a measure to
control inflation and enhance investor confidence. In an environment of rising interest rates,
investors often perceive the stock market as a more secure investment option, contributing to an
increase in the JCI. Additionally, higher interest rates can attract foreign capital inflows, as investors
seek better returns from domestic financial instruments. This, in turn, enhances the appeal of the
Indonesian stock market to global investors. Therefore, these findings highlight the crucial role of
monetary policy in maintaining a balance between economic stability and investment attractiveness.
Given this, decisions made by Bank Indonesia regarding interest rate adjustments can have a direct
impact on stock market performance. These results are consistent with previous studies conducted
by Kurniawan & Rosyida (2024). Their research revealed that raising interest rates as a measure to
control inflation can enhance the stock market's appeal to both domestic and international investors,
ultimately exerting a positive influence on the JCI. The results of this research are also in line with
the findings obtained by Raudatullaily & Khasanah (2023) and investigation by Silpiawati et al.
(2023).
The research results indicate that inflation has a regression coefficient of 0.250 with a
significance level of 0.025, signifying a positive and significant effect on the JCI. These findings imply
that moderate inflation levels can be viewed as an indicator of economic stability, as businesses are
able to adjust their product prices in accordance with rising operational costs. Controlled price
increases can boost company profits, leading to a rise in stock values. Furthermore, controlled
inflation reflects investor confidence in the economic policies in place, which, in turn, fosters greater
interest in the stock market. When inflation remains within manageable limits, it sends a positive
signal to the market, suggesting that economic growth can continue. Therefore, policies that ensure
stable inflation will support the growth of the JCI and contribute to overall economic prosperity.
These conclusions align with the findings of previous studies conducted by Sri Rahayu & Diatmika
(2023) and Fiki et al. (2021). The results of this research are also supported by a study conducted by
Budiman et al. (2023), which states that inflation has a positive influence on stock performance,
which ultimately impacts stock prices.
In this study, the money supply has a regression coefficient of 0.047 and a significance value
of 0.010, indicating a positive and significant impact on the JCI. An increase in the money supply is
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commonly seen as a rise in market liquidity, which facilitates greater investment and consumption.
As liquidity expands, investors tend to become more optimistic and are more inclined to take risks by
investing in the stock market, thereby contributing to the growth of the JCI. Additionally, an increase
in the money supply can stimulate economic growth by encouraging businesses to make new
investments. With easier access to capital, businesses are able to expand operations and boost
production, leading to improved earnings growth that drives up stock prices. Consequently,
monitoring and managing the money supply is crucial to fostering conditions that support both
stock market growth and economic stability. These results are consistent with previous research
conducted by Rindika (2024); Rhofandi & Latief (2020) and result by Istinganah & Hartiyah, (2021).
The combined influence of the exchange rate, the 7-day BI interest rate, inflation, and money
supply has a significant impact on the Composite Stock Price Index (JCI). The test results indicate
that the alternative hypothesis is accepted, with a significance value of 0.000, demonstrating that
these independent variables collectively affect the JCI. This finding is crucial for financial market
analysis, as it underscores the direct impact of macroeconomic conditions on stock market
performance. These variables are not only interconnected but also play a role in shaping the
dynamics of the JCI as an indicator of Indonesia's economic health. The significant influence
observed in this study suggests that changes in these macroeconomic factors will affect the
movement of the JCI. For instance, fluctuations in the rupiah exchange rate against the US dollar can
impact a company's operating costs, while interest rates set by Bank Indonesia influence investment
decisions. Moreover, controlled inflation fosters a conducive environment for economic growth, and
a sufficient money supply ensures market liquidity. Thus, these results highlight the importance of
monitoring and implementing effective economic policies to maintain market stability and support
JCI growth. Strengthened by the results of research conducted by Ilyas Ristia (2022) which states that
inflation, rupee exchange rate and BI interest rate simultaneously influence stock prices. Research by
Pangestuti (2023) shows similar results, namely that exchange rates, interest rates and inflation
simultaneously influence stock prices in the Composite Stock Price Index .
4. CONCLUSION
The study finds that the rupiah exchange rate negatively affects the JCI. To mitigate the impact of
currency fluctuations, companies listed on the IDX should implement hedging strategies, diversify
revenue streams, and reduce dependency on imported raw materials by strengthening local supply
chains. These measures can enhance financial resilience and stabilize profitability during volatile
exchange rate periods. For investors and shareholders, the findings highlight the importance of
assessing a company's risk management strategies against currency volatility. This is particularly
crucial for the food and beverage sector, which relies on imported raw materials. Investors should
prioritize companies with effective hedging policies and strong financial management to safeguard
their investments from currency risk. Understanding these factors will help investors make informed
decisions in navigating future market uncertainties. Thus, this study underscores the necessity for
proactive financial strategies by companies and well-informed investment decisions by stakeholders
to manage the risks posed by exchange rate fluctuations.
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