Determination of Stock Prices by Macroeconomic Factors
A Study of Inflation, Exchange Rates, and Sbi Interest Rates in Indonesia
DOI:
https://doi.org/10.55606/cemerlang.v6i2.8947Keywords:
BI Rate, Capital Market, Exchange Rate, Inflation, Stock PriceAbstract
This study examines the determinants of the Jakarta Composite Index (JCI) based on three main macroeconomic factors namely inflation, the USD/IDR exchange rate, and the SBI interest rate (BI Rate) covering the period January 2020 to December 2025, in the context of post-COVID-19 pandemic recovery and global economic turmoil. A quantitative approach was employed using the Ordinary Least Squares (OLS) method, with 72 monthly observations derived from secondary data sourced from official institutions including Bank Indonesia (BI), the Central Statistics Agency (BPS), the Indonesia Stock Exchange (IDX), and the Financial Services Authority (OJK). Classical assumption tests were applied comprising the Jarque-Bera normality test, Variance Inflation Factor (VIF) for multicollinearity, Breusch-Godfrey for autocorrelation, White Test for heteroscedasticity, and Ramsey RESET for model specification. Partially, inflation, exchange rate, and BI Rate each demonstrate a positive and significant effect on the JCI (p < 0.05). Simultaneously, all three variables exert a significant combined influence on the JCI, with a coefficient of determination R² = 0.4414, indicating that the model explains 44.14% of the variation in the JCI. The remaining 55.86% is attributed to other variables outside the model. Classical assumption test results reveal violations of normality, autocorrelation, and heteroscedasticity assumptions, although the model is free from multicollinearity. These findings confirm that Bank Indonesia's monetary policy has a significant and measurable impact on capital market performance. Further research is recommended using more advanced time series models such as GARCH or VECM to address violations of classical assumptions and improve estimation efficiency.
Downloads
References
Abdillah, W. A., & Nurdiansyah, I. (2022). Determination of Sharia Stock Prices in the Basic Industry and Chemical Sectors on the Jakarta Islamic Index.Finansha: Journal of Sharia Financial Management, 3(1), 66–79. https://doi.org/10.15575/fjsfm.v3i1.17641
Akbar, T., & Afiezan, A. (2018). Determination of Sharia Stock Prices Through Analysis of Fundamental and Macroeconomic Factors.Accounting Journal, 13(1), 1–12. https://doi.org/10.21009/wahana.13.011
Amalya, N. T. (2018). The Effect of Return on Assets, Return on Equity, Net Profit Margin, and Debt to Equity Ratio on Stock Prices.SECURITY Journal (Stocks, Economics, Finance and Investment), 1(3), 1096–1105. https://doi.org/10.32493/skt.v1i3.1096
Ardana, Y., & Maya, S. (2019). Determination of Macroeconomic Fundamental Factors and the International Sharia Stock Price Index on the Indonesian Sharia Stock Price Index.Horizon: Journal of Islamic Studies, 14(1), 1–15. https://doi.org/10.31603/cakrawala.v14i1.2622
Asmarawati, B., Purwantorojati, B., Wiratno, D. H., & Niandari, N. (2022). An empirical study of stock price determination in mining companies in Indonesia.Fair Value: Scientific Journal of Accounting and Finance, 4(12), 5462–5472. https://doi.org/10.32670/fairvalue.v4i12.2001
Astuti, R. I. D., & Ponto, S. (2023). Determination of Company Stock Prices in Indonesia (Case Study of Mining Sector Companies).Value-Relevance, 1(1), 1–10. https://doi.org/10.55098/1mj3kr80
Baihaqi, M. K., B., B., Rizqy, & N. (2022). STOCK PRICE DETERMINATION IN MANUFACTURING COMPANIES LISTED ON THE STOCK EXCHANGE: CURRENT RATIO, DEBT TO EQUITY RATIO, RETURN ON EQUITY, EARNINGS PER SHARE.Journal of Marketing Management and Innovation, 3(1), 1–10. https://doi.org/10.38035/jmpis.v3i1.877
Budi, A. (2022). Determination of Inflation on the Composite Stock Price Index (Ihsg) on the Indonesia Stock Exchange (IDX) for the 2017-2021 Period.JMB: Journal of Management and Business, 11(2), 1–10. https://doi.org/10.31000/jmb.v11i2.7008
Desta Aprilia Putri Cantika, & Ismunawan Ismunawan. (2024). Stock Price Determination in Transportation and Logistics Sector Companies Listed on the Indonesian Stock Exchange (BEI) in 2021-2023.Journal of Pearls of Accounting Science, 2(3), 263–285. https://doi.org/10.55606/jumia.v2i3.3230
Dewi, I. K., & Solihin, D. (2020). The Effect of Current Ratio and Net Profit Margin on Stock Prices in Food and Beverage Companies Listed on the Indonesia Stock Exchange (IDX) for the 2015-2018 Period.Feasible Scientific Journal (JIF), 2(2), 183. https://doi.org/10.32493/fb.v2i2.2020.183-191.6231
Firmansyah, I., & Maharani, A. (2021). The Effect of Current Ratio (Cr) and Debt to Equity Ratio (Der) on Stock Prices in Infrastructure, Utilities, and Transportation Sector Companies Listed on the IDX.Country Journal, 2(1), 11–22. https://doi.org/10.47491/landjournal.v2i1.1033
Fitri, A. T., Chasanah, A. N., Prawitasari, D., & Oktavia, V. (2025). Stock Price Determination: Interest Rate, Current Ratio, ROA, and DER.Value: Journal of Management and Accounting, 20(1), 53–70. https://doi.org/10.32534/jv.v20i1.6818
Hawiwika, L. (2021). Determination of the Composite Stock Price Index: Analysis of the Influence of the BI Rate, Rupiah Exchange Rate, and Inflation Rate (Financial Management Literature Review).Journal of Information Systems Management Economics, 2(5), 650–658. https://doi.org/10.31933/jemsi.v2i5.598
Ihza A, N. K., & Meirini, D. (2023). Determination of Stock Prices of Service Companies in the Property and Real Estate Subsector.Journal of Accounting Theory & Applied Research (PETA), 8(1), 1–21. https://doi.org/10.51289/peta.v8i1.618
KHAIRUDIN, K., & Wandita, . (2017). Analysis of the Influence of Profitability Ratio, Debt to Equity Ratio (DER) and Price to Book Value (PBV) on Stock Prices of Mining Companies in Indonesia.Journal of Accounting and Finance, 8(1), 1–10. https://doi.org/10.36448/jak.v8i1.826
Putri, A. C., & Rachman, A. N. (2021). Determination of Stock Prices of Transportation Companies Listed on the Indonesia Stock Exchange in 2015-2019.Financial: Accounting Journal, 7(1), 76–85. https://doi.org/10.37403/financial.v0i0.211
Rahardika, H., Rida Anisa Permata, Rizkilianti Hardian Anggianni, & Sri Mulyantini. (2022). Review of Stock Price Determinants of Technology Sector Companies.Scientific Journal of Management and Entrepreneurship, 1(1), 8–23. https://doi.org/10.55606/jimak.v1i1.135
Siregar, Q. R., & Farisi, S. (2018). The Effect of Return on Assets and Earnings Per Share on Stock Prices.Maneggio: Scientific Journal of Master of Management, 1(1), 81–89. https://doi.org/10.30596/maneggio.v1i1.2342
Thover, M. C., Rahadi, D. R., & Purwanto, P. (2020). Determination of EVA, MVA, Liquidity and Firm Size on Stock Prices in Indonesian Retail Companies.FIRM Journal of Management Studies, 5(2), 135. https://doi.org/10.33021/firm.v5i2.1135
Wardita, I. W., Swaputra, I. B., Astakoni, I. M. P., & Nursiani, N. P. (2021). Stock Price Determination Through Analysis of Internal and External Factors of the Company.KRISNA: Accounting Research Collection, 12(2), 328–341. https://doi.org/10.22225/kr.12.2.2783.328-341
Winata, J., Yunior, K., Olivia, O., & Sinaga, S. P. (2021). The Influence of Capital Structure, Company Size, and Profitability on Stock Prices (Case Study on the Food and Beverage Sub-Sector Listed on the Indonesia Stock Exchange).Jesya (Journal of Economics & Sharia Economics), 4(1), 696–706. https://doi.org/10.36778/jesya.v4i1.372
Yolanda, N. B., Nainggolan, N., & Komalig, H. A. H. (2017). Application of ARIMA-GARCH Model to Predict BRI Bank Stock Price.Science Journal, 6(2), 92. https://doi.org/10.35799/jm.6.2.2017.17817
Yuliansyah, F., & Nurhayati, N. (2024). Determination of Stock Prices of Companies Categorized as SRI-KEHATI Listed on the IDX for the 2017-2021 Period.Ecosains: Scientific Journal of Economics and Development, 13(1), 21. https://doi.org/10.24036/ecosains.12712457.00
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Maiz Wachid Anshorie, Anik Farida, Ela Nurlaela, Abdul Azis, Syaeful Bahri
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
