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The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia

Author

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  • Aminullah Assagaf
  • Etty Murwaningsari
  • Juniati Gunawan
  • Sekar Mayangsari

Abstract

This study aims to analysis the effect of macroeconomic variables on the overall return of company shares which is a proxy with changes in the composite stock price index. This study uses secondary data in a period of 20 months from November 2016 to June 2018. While the analysis technique uses multiple linear regression This study found that macroeconomic variables consisting of inflation rates, interest rates, money supply, and foreign exchange rates, stock returns have a significant effect on companies on the Indonesia Stock Exchange.

Suggested Citation

  • Aminullah Assagaf & Etty Murwaningsari & Juniati Gunawan & Sekar Mayangsari, 2021. "The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 14(8), pages 108-108, July.
    • Handle: RePEc:ibn:ijbmjn:v:14:y:2021:i:8:p:108
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    References listed on IDEAS

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    2. Gulnur Muradog Lu & Kivilcim Metin & Reha Argac, 2001. "Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 641-649.
    3. Jensen, Michael C. & Meckling, William H., 1976. "Theory of the firm: Managerial behavior, agency costs and ownership structure," Journal of Financial Economics, Elsevier, vol. 3(4), pages 305-360, October.
    4. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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