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Macroeconomic influences and equity market returns in Indonesia


  • Jacinta Winarto
  • Ernie Tisnawati Sule
  • Ria Ratna Ariawati


The aim of this research is to compare the original model of Elton and the modificated model of Elton. In his original model, Elton uses five variables while in the modificated Elton model, we use four variables. This research uses quarterly data within the period of March 2009 and up to December 2013 of 25 liquid shares which are registered at the Indonesian Stock Exchange. The data are obtained from Indonesian Capital Market Directory and Bank Indonesia. The result obtained from the model of Elton does not show any significant variables, while in the modificated model of Elton only inflation and exchange rate have a negative significant effect on price change of stock return. This research contribution is to find which model is suitable for Indonesia.

Suggested Citation

  • Jacinta Winarto & Ernie Tisnawati Sule & Ria Ratna Ariawati, 2017. "Macroeconomic influences and equity market returns in Indonesia," International Journal of Business and Globalisation, Inderscience Enterprises Ltd, vol. 18(4), pages 539-551.
  • Handle: RePEc:ids:ijbglo:v:18:y:2017:i:4:p:539-551

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