The Effect Of Several Macroeconomic Variables On Stock Returns Of Manufacturing Companies in Indonesia
DOI:
https://doi.org/10.70062/harmonieconomics.v2i1.76Keywords:
Stock Return, Inflation, Rupiah Exchange Rate, Interest Rate, Manufacturing CompaniesAbstract
This study aims to analyze the influence of macroeconomic factors consisting of inflation, rupiah exchange rate, and interest rates on stock returns of manufacturing companies listed on the Indonesia Stock Exchange during the period 2021-2023. The research method uses a quantitative approach with multiple linear regression analysis. The research sample consists of manufacturing companies listed on IDX during the research period, selected using purposive sampling method. The results show that among the three macroeconomic factors studied, only the rupiah exchange rate has a significant influence on the stock returns of manufacturing companies. This is due to the characteristics of the manufacturing industry which has a high dependence on imported raw materials, so that exchange rate fluctuations directly affect the company's financial performance and stock returns. Meanwhile, inflation and interest rates did not show a significant effect on stock returns of manufacturing companies during the study period.
References
Abdo, K. K., Al-Qudah, H. A., Al-Qudah, L. A., & Qudah, M. Z. A. (2023). RETRACTED ARTICLE: The effect of economic variables (workers' diaries abroad, bank deposits, gross domestic product, and inflation) on stock returns in the Amman Financial Market from 2005/2018. Journal of Sustainable Finance & Investment, 13(1), 59-72.
Akbar, J. S. (2021). The effect of return on assets and return on equity on price to book value on banking companies listed on the Indonesia Stock Exchange. International Journal of Economics, Business and Accounting Research (IJEBAR), 5(3), 1677-1688.
Ayu, D. A. S. B. D. (2020). The effect of macroeconomic variables upon Bali’s economic growth moderated by inflation in the COVID-19 pandemic. Advances in Global Economics and Business Journal, 1(2), 18-23.
Bagchi, B., & Paul, B. (2023). Effects of crude oil price shocks on stock markets and currency exchange rates in the context of Russia-Ukraine conflict: Evidence from G7 countries. Journal of Risk and Financial Management, 16(2), 64.
Cahyana, Y., Salam, A. A., Fidayan, A., Garnia, E., & Ruseka, F. D. (2023). The influence of changes in effective interest rates, the rupiah exchange rate, and bank profitability on movements in stock returns of BUMN banks listed on the Indonesian Stock Exchange for the 2015-2019 period. Adpebi Science Series, 1(1), 1-10.
Chiang, T. C. (2023). Real stock market returns and inflation: Evidence from uncertainty hypotheses. Finance Research Letters, 53, 103606.
Cohen, J. W. (1988). Statistical power analysis for behavioural sciences (2nd ed.). Lawrence Erlbaum Associates.
Dbouk, W., Moussawi-Haidar, L., & Jaber, M. Y. (2020). The effect of economic uncertainty on inventory and working capital for manufacturing firms. International Journal of Production Economics, 230, 107888.
Ginting, A. M. P., & Gularso, K. (2023). The effect of exchange rate towards stock returns mediated by fundamental factors: A study on stocks of telecommunications sub-sector companies listed on the Indonesia Stock Exchange. Journal of Research in Social Science, Economics, and Management, 3(3), 770-797.
He, X., Gokmenoglu, K. K., Kirikkaleli, D., & Rizvi, S. K. A. (2023). Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach. International Journal of Finance & Economics, 28(2), 1994-2005.
Helms, T., Salm, S., & Wüstenhagen, R. (2020). Investor-specific cost of capital and renewable energy investment decisions. Renewable Energy Finance, 85-111.
Hoong, T. B., Ling, T. Y., Hassan, S., & Abdullah, N. M. H. (2023). Stock returns and inflation: A bibliometric analysis. International Journal of Professional Business Review, 8(2), 4.
Juliani, D. I., Karyatun, S., & Digdowiseiso, K. (2023). The effect of current ratio, total asset turnover, and debt to equity ratio on the financial performance of manufacturing companies listed on the Indonesia Stock Exchange for the 2016-2020 period. Jurnal Syntax Admiration, 4(4), 630-643.
Lee, C. C., Lee, C. C., & Wu, Y. (2023). The impact of COVID-19 pandemic on hospitality stock returns in China. International Journal of Finance & Economics, 28(2), 1787-1800.
Martins, A. M., Correia, P., & Gouveia, R. (2023). Russia-Ukraine conflict: The effect on European banks’ stock market returns. Journal of Multinational Financial Management, 67, 100786.
Muhammad, A. A. (2023). Examining the relationship among unemployment, inflation, and economic growth. Journal of Business and Economic Options, 6(2), 23-31.
Nawrocki, T. L., & Szwajca, D. (2022). The importance of selected aspects of a company’s reputation for individual stock market investors—Evidence from the Polish capital market. Sustainability, 14(15), 9187.
Nguse, T., Oshora, B., Fekete-Farkas, M., Tangl, A., & Desalegn, G. (2021). Does the exchange rate and its volatility matter for international trade in Ethiopia? Journal of Risk and Financial Management, 14(12), 591.
Purwitasari, N. M. I., Mendra, N. P. Y., & Bhegawati, D. A. S. (2021). Pengaruh return on asset (ROA), debt to equity ratio (DER), dan earning per share (EPS) terhadap return saham pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia (BEI) tahun 2016-2018. Widya Akuntansi dan Keuangan, 3(1), 23-32.
Rashid, A., Jehan, Z., & Kanval, N. (2023). External shocks, stock market volatility, and macroeconomic performance: Empirical evidence from Pakistan. Journal of Economic Cooperation & Development, 44(2).
Rheynaldi, P. K., Endri, E., Minanari, M., Ferranti, P. A., & Karyatun, S. (2023). Energy price and stock return: Evidence of energy sector companies in Indonesia. International Journal of Energy Economics and Policy, 13(5), 31-36.
Sausan, F. R., Korawijayanti, L., & Ciptaningtias, A. F. (2020). The effect of return on asset (ROA), debt to equity ratio (DER), earning per share (EPS), total asset turnover (TATO), and exchange rate on stock return of property and real estate companies at the Indonesia Stock Exchange period 2012-2017. Ilomata International Journal of Tax and Accounting, 1(2), 103-114.
Tiblola, F. A., Biay, A., Prawitaningrum, H. P., & Lakamudi, R. K. (2024). Evaluation of the impact of monetary policy on the financial performance of manufacturing companies: Implications of interest rates, inflation, and macroeconomic stability. International Journal of Management Science and Information Technology, 4(2), 356-365.
Tokunaga, S., & Okiyama, M. (2022). Impact of changes in the labor force and innovative agro-based food industry clusters on primary and food–beverage industries, and regional economies in Japan’s depopulating society. Asia-Pacific Journal of Regional Science, 6(1), 365-419.
Yu, W., Gan, Y., Zhou, B., & Dai, J. (2024). Revisiting the economic policy uncertainty and resource rents nexus: Moderating impact of financial sector development in BRICS. International Review of Financial Analysis, 94, 103324.
Zakhidov, G. (2024). Economic indicators: Tools for analyzing market trends and predicting future performance. International Multidisciplinary Journal of Universal Scientific Prospectives, 2(3), 23-29.
