p–ISSN: 2723 - 6609 e-ISSN: 2745-5254
Vol. 5, No. 4 April 2024 http://jist.publikasiindonesia.id/
Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1547
Macroeconomic Factors on Stock Return at IDX Value 30
Candy
1*
, Jacelyin
2
Universitas Internasional Batam, Indonesia
Email: [email protected]
*Correspondence
ABSTRACT
Keywords: Oil Price;
Foreign Exchange Rate;
Consumer Price Index;
Gross Domestic Product;
Foreign Direct
Investment.
This study examined factors including oil prices, foreign
exchange rates, consumer price index, gross domestic
product, and foreign direct investment on stock return. This
study used secondary data as a basis for research by
obtaining information for 30 companies registered at IDX
Value 30. This research uses panel regression to show the
effect of each independent variable on stock return.
According to the result, IDX Value 30 stock return is
significantly positively impacted by gross domestic product,
consumer price index, and foreign direct investment.
Meanwhile, foreign exchange rates and oil prices negatively
affect the stock return.
Introduction
Global economic development has experienced nominal growth in recent years due
to the Covid-19 pandemic. It is a challenge for the world, especially in Indonesia, to find
solutions to increase economic growth in the future. Additional capital for a company can
play an important role in increasing economic value. It can be done by investing in
available products such as stocks, mutual funds, deposits, property, peer-to-peer lending,
etc. Investment is investing capital or money in a company, hoping to get profits for
investors. Investors must analyse the company's financial statements to make the right
investment. The aim is to discover company performance developments and financial
information over a certain period. According to (Ngure, Kariuki, & Mburugu, 2022), one
way of offering a form of company ownership and providing a rate of return for investors
is the notion of stock return.
(Alexander et al., 2019) explained that stock returns tend to have a higher risk than
other types of investment, such as mutual funds, deposits, or bonds because they apply
the principle of "high risk, high return." The understanding of this principle is that when
investors choose stocks with high-risk potential, the income generated will also be higher.
The risk in question is that the return received by investors is still being determined. The
form of dividends from investment returns on stock returns is through a reduction between
the sale of share value and the purchase of share value, or what is known as a capital gain.
According to (Yunita & Rahyuda, 2019), there are two types of returns: realised
and expected. Realised return is a type of return that can be predicted from previous
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Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1548
historical data. At the same time, the expected return is the type of return investors expect.
Research (Yunita & Rahyuda, 2019) explained that the rate of return for large companies
tends to be higher than that of small companies due to their ability to carry out their
company's operating performance. The value of this stock return can be seen through the
total sales and assets. Data from IDX Value 30 fluctuated from 2019 to 2021. The stock
return rate at IDX Value 30 can be observed in Figure 1 below:
Figure 1 Google Finance from 2019-2021
At the stock return level, it was explained that in 2019, it was at 143.33; until 2020,
it experienced a decline to a price of 138.75. Due to the COVID-19 pandemic, many
investors reduced their interest in IDX Value 30. In 2021, the value of stock returns started
to increase constantly due to the stable movement of the economy after the pandemic
lasted one year. IDX Value 30, or Indonesia Stock Exchange Value 30, records 30
companies in Indonesia with good company performance and low price valuation values.
According to Siswanto et al. (2022), the notion of price valuation is a calculation of the
stock price offered by a company with an appropriate price range.
The amount of demand to the available supply influences oil prices. One of them is
the COVID-19 pandemic, which caused the value of oil prices to decrease by 20% in
Indonesia in 2020. This factor certainly will impact the stock return of companies engaged
in the oil sector. The form of the foreign exchange rate is one of the significant forms in
the economic sector because if a company transaction uses the foreign exchange rate as
income, then there is a price difference that can be the result of the company's income
(Asiamah, Ofori, & Afful, 2019).
If the value of the foreign exchange rate increases, it will cause the form of trading
on the stock exchange to decrease, which can affect the form of stock returns from a
company. The result shows that in 2020, there was a decrease in the foreign exchange
rate of 2.66% in the IDR exchange rate against the USD. Foreign direct investment is a
form of new development or shaping knowledge through cooperation between local
companies. These would increase the value of revenues between the two companies due
to innovations aimed at the community in the form of services, goods, and so on. The
entry of FDI can increase a person's income, which is also one of the target consumers,
so it can then affect the results of the CPI value due to the ability of consumers to consume
and competitive prices. GDP price competition can determine the welfare’s country by
Macroeconomic Factors on Stock Return at IDX Value 30
Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1549
comparing the prices of services and goods offered. The assessment of GDP is usually
described through consumption, exports, government purchases, and investment. Some
of these components can measure a country's economic development so that these
developments will then affect stock returns.
Meanwhile, price valuations are carried out to reduce the occurrence of risks that
arise and provide direction to investors to make investment decisions in the form of
shares. Research (Koijen, Koulischer, Nguyen, & Yogo, 2021) explain price valuation as
an important factor in determining overvalued, undervalued, or fairly valued stocks.
Several factors can affect the value of stock returns, including oil prices, foreign direct
investment (FDI), foreign exchange rates (FER), customer price index (CPI), and gross
domestic product (GDP).
Oil is a natural resource that is very important for everyday life, from the
transportation of two-wheeled vehicles to four-wheeled vehicles (Çamoğlu, 2021). Apart
from that, oil is one of the important objects that aims to be a heater for a country with
four seasons. Two factors affect oil prices. The factors are fundamental factors and non-
fundamental factors. Fundamental factors that influence this factor are the availability of
stock, supplier policies, the form availability of oil refineries, and demand requirements
(Ashoka & Keihani, 2021). In comparison, non-fundamental factors are influenced by
political influence and value on the international oil price market. Several countries might
give higher oil prices because of the limitation of remaining oil while affecting the future
stock return. Nyangarika et al. (2019) state that oil prices are one of the important forms
of influencing economics and politics, which can influence oil company share prices,
inflation rates, and economic development. The effect of oil prices provides a significant
influence because it is an important resource in accommodating economic value, which
can influence company profitability and ultimately impact stock return performance.
Similar to Sohag et al. (2022) explain that if oil prices increase, a product's production
price will increase and negatively impact stock returns. Research by (Caporale, Çatık,
Kısla, Helmi, & Akdeniz, 2022) shows that oil prices have a greater influence on
developed countries than developing countries and changes in oil prices provide
fluctuations in stock returns. The effect of oil prices will differ for oil-importing and oil-
exporting countries with different values (Farhan, Atiq, & Zaidi, 2021).
H1: Oil prices have a significant positive effect on stock returns at the IDX value of 30.
Research Methods
This study data used a stock return company registered on IDX Value 30 as the
research object. This type of data uses secondary data collected to analyse this research.
Secondary data was collected from January 2019 to December 2021. The form data
analysis method uses panel regression analysis, accepted with a cross-section and time
series system in the form of dependent and independent variables using the Stata-MP
program version 17.0. This type of research to support this data uses the hypothesis test,
Hausman Test, Chow Test, t-test, F-test, and Goodness of Fit Model Test as the support
for hypothesis testing.
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Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1550
Results and Discussion
This study used secondary data or descriptive research, which obtained information
from 30 companies listed on the IDX Value 30 from January 2019 to December 2021.
The following is the amount of data examined on the IDX Value 30 stock index:
Table 1
Sample Selection Results
Data
Total
Companies Listed on IDX Value 30 from Jan 2019 - Des 2021
30 companies
Total Sample from Jan 2019 - Des 2021
1080 Data
Total Outlier Data
30 companies
Table 2
Statistics Descriptive
Data
Min
Max
Mean
Std. Dev.
Stock Return
-0.565
0.75
0.0155231
0.1410185
Oil Price
2801
8202
5899.556
1339.954
Foreign Direct Investment
45600
116400
95908.33
19351.55
Foreign Exchange Rate
14.061
16011
13940.42
2395.164
Gross Domestic Product
2589
2845
2732
74.05456
Consumer Price Index
104330
139070
116352.5
15067.69
Table 2 above explains that the highest value of stock return is 0.75, and the lowest
value is -0.565. As for the average value of 0.0155231, it explains that the stock return
value for the company is still low. It explains that the value of the company's shares did
not experience a significant increase in a certain period. The results of the analysis on the
oil price showed that the highest value was 8202 and the lowest value was 2801. The
average value for the oil price was 5899.556. It illustrates that the increased value of oil
prices can be caused by various factors such as consumer needs, politics, delays in oil
supplies, and others. The form of foreign direct investment has the highest value of
116400 and 45600, the lowest value in the FDI variable. Based on the average generated
from FDI of 95908.33. Explains that the development of foreign direct investment growth
in Indonesia provides many benefits, such as implementing new technological fields and
increasing the productivity of human resources.
The side effect of high FDI is a concern because it can hurt the country, such as
losing control over economic growth. The test results on the foreign exchange rate form
the highest value of 16011 and the lowest value of 14.061. The average yield of FER is
1390.42. It explains that the value of the foreign exchange rate can be influenced by
factors such as good economic growth, adequate natural resources, and increasing
domestic consumer demand. The gross domestic product in the test results has the highest
value of 2845 in 2021. In contrast, the lowest value was 2589 in 2020. The intermediate
Macroeconomic Factors on Stock Return at IDX Value 30
Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1551
GDP value in this study is 2732. A low GDP value indicates low production and consumer
purchasing power or can indicate a high unemployment rate in the country. The result of
the consumer price index has the highest value of 139070 in 2019. At the same time, the
lowest value was the CPI of 104330 in 2020. The result of the average CPI is 116352.5.
The form of consumer price index research explains that the CPI value is used to measure
a country's inflation value. When inflation results in a country are high, the prices of
services and goods increase.
The fixed effect model (FEM), common effect model (CEM), and random effect
model (REM) were the three-panel regression analysis research model used in this study.
To test the results of the basic assumptions of research carried out with the shows below:
Chow Test
This Chow test is used in this study to choose the most appropriate panel regression
model from CEM and FEM using Cross-section Fixed. The results explain that the model
used is CEM if the probability value is more than 0.05. Conversely, the FEM model is
employed if the probability value is less than 0.05. The Chow test results from the
research are as follows:
Table 3
Chow Test Result
Effect Test
Prob > F
Cross-section
Fixed
0.7440
Hausman Test
The research model used by the Hausman test is REM and FEM with a random
cross-section test. If the probability value is more than 0.05, then the model used is REM.
If the value of probability is less than 0.05, then use the FEM research model. The
outcomes of the Hausman test are as follows:
Table 4
Hausman Test Result
Effect Test
Prob > Chi2
Cross-section
Random
0.5192
The Hausman test results in the table above show a probability above 0.05. This
means that the model used is REM. Then, proceed with LM (Lagrangian Multiplier)
research.
Lagrangian Multipler Test
Research on the Lagrangian Multiplier test explains the use of the model between
REM and CEM. It is explained that the probability results are more than 0.05, so the
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Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1552
model test used is the CEM. Furthermore, the probability results are less than 0.05, so
REM's research model is used. The results of the LM test are as follows:
Table 5
Lagrangian Multiplier Test Result
Effect Test
Prob > Chi2
Breusch-Pagan
1.000
The results from above show that the test table 4.5 shows that the test model used
in this study uses CEM.
Hypothesis Testing
F-Test Result
This test was conducted to determine the dependent variable's effect on the
independent variable. The following are the results of the F test:
Table 6
F Test Result
Dependent Variable
Sig.
Result
Stock Return
0.0000
Significance
According to the test results, table 4.6 shows the value of the probability of the
dependent variable stock return is 0.000. The value obtained is <0.05. It explains that
stock returns affect the independent variables oil price, foreign direct investment,
consumer price index, gross domestic product, and foreign exchange rate have a
significant influence.
T-test Result
A T-test was conducted to ascertain the impact of each independent variable. The
results are attached in the following table:
Table 7
T-Test Result
Variable
Coefficient
t-Statistic
Prob.
Result
Hypothesis
C
-0.3211189
-1.53
0.127
Negative
OP
-0.0000291
-6.02
0.000
Rejected
FDI
3.97e-07
2.03
0.043
Positive
Accepted
FER
-0.0000104
-5.88
0.000
Negative
Rejected
GDP
0.0001998
2.58
0.010
Positive
Accepted
CPI
8.53e-07
2.67
0.008
Positive
Accepted
According to the t-test results in the table above, it can be concluded that the
independent variable significantly affects the dependent variable if the probability value
is less than 0.05.
Goodness of Fit Model Result
Macroeconomic Factors on Stock Return at IDX Value 30
Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1553
A goodness of fit model test was used to ascertain abilities examined from
independent to dependent variables. The table below shows the results of the Goodness
of Fit Model Test.
Table 8
Goodness of Fit Model Result
Dependent Variable
R
Square
Adjusted R Square
Stock Return
0.0876
0.0833
The table above explains the value of capability, which is influenced by
independent variables, namely oil prices, foreign direct investment, consumer price index,
gross domestic product, and foreign exchange rates. It showed the adjusted R square of
0.0833 or 8.33% of the independent and dependent variables. In comparison, the
remaining 91.67% comes from other variables not included in this study. The outcomes
of the regression model equation are as follows:
Y = -0,3211189C + -0,0000291X1 + 3,97e-07X2 + -0,0000104X3 + 0,0001998X4 +
8,53e-07X5 + e
Explanations:
C = Constanta
Y = Stock Return
X1 = Oil Price
X2= Foreign Direct Investment
X3= Foreign Exchange Rate
X4= Gross Domestic Product
X5= Consumer Price Index
E = Standard Error
The hypothesis test shows a significant effect on stock returns based on the result
of oil prices. According to and Koçoğlu, 2022), the lack of oil supply and investment
value can affect oil prices. The research results are supported by research (Çamoğlu,
2021). However, contrary to the research by (Kaur & SINGLA, 2021), (Caporale et al.,
2022), and Alavi et al. (2021).
H1: Oil prices have a positive significant effect on stock returns at the IDX value of 30.
In this study, the impact of foreign direct investment is positively significant for
stock returns. FDI companies in Indonesia positively influence the company's economic
income and the country (Kalam, 2020) with the increasing value of FDI creating jobs,
investing in new technology, developing the country's infrastructure, and so on
(Contractor, Dangol, Nuruzzaman, & Raghunath, 2020). The existence of foreign direct
investment brings opportunities to provide new market forms that have a positive impact
on local companies (Usman & Siddiqui, 2019). The are some contrasts between Kaur and
Singla (2021) and (Asiamah et al., 2019) studies.
H2: Foreign direct investment positively affects stock returns at the IDX value of 30.
The results of the foreign exchange rate get a significant correlation between stock
returns. Singhal et al. (2019) concluded that a weakened FER value could be caused by
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Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1554
the instability of a country's economic and political factors, thus making investors avoid
investing. This research is in contrast to (Farhan et al., 2021) (Natarajan, ABRAR UL
HAQ, AKRAM, & SANKAR, 2021) and Camoglu (2021).
H3: Foreign exchange rates positively affect stock returns at the IDX value of 30.
In this study, the GDP significantly affects stock returns (Aryawan, 2022). It
explains how GDP can increase economic welfare by reducing unemployment, increasing
standard living costs, and increasing production output from companies (Aryawan, 2022).
However, this research must be more consistent with (Ashraf, 2020).
H4: Gross domestic product positively affects stock returns at the IDX value of 30.
The results of the CPI data show a positive significance for stock returns. A
country's economic growth can be measured through CPI, which is also influenced by
inflation (Hendayana & Riyanti, 2019). This explains the increase in the CPI value
because it can describe the purchasing power of people's abilities, especially when
influenced by inflation, where the prices of services and goods increase. This study shows
that the higher the CPI value, the probability value for companies that run production has
a positive impact (Bolhuis, Cramer, & Summers, 2022). These results are followed by the
research of (Athari, Kirikkaleli, and Adebayo, 2023) (Othman & Al-Kassab, 2022).
However, contrary to the research (Hadi & Ahmad, 2021).
H5: The consumer price index positively affects stock returns at the IDX value of 30.
Conclusion
This research seeks to ascertain the effect of stock returns on oil prices, gross
domestic product, foreign direct investment, consumer price index, and foreign exchange
rates through companies listed on IDX Value 30 from 2019 to 2021. The results explain
that the influence of foreign direct investment has a positive effect on stock returns by
adding capital, thereby increasing the company's financial performance, which is a factor
in increasing stock value.
Gross domestic product also has a positive impact on stock return. Thus, the
increase in the value of gross domestic product shows the company’s ability to produce a
large amount of goods. This means the company can also sell to the consumer at a certain
time and gain the company’s revenue. It means the company has also increased its income
by then affecting its own company’s stock. It also relates to government spending,
exporting, and importing. CPI also has a significant positive effect on stock returns,
showing the economy's growth and consumers' ability to purchase a product from the
company. In this study, other variables, such as oil prices and foreign exchange rates,
showed the opposite effect on the stock return. When the oil price increases, it will add
to the company's income so that many investors will invest in companies expecting capital
gains. This study shows that oil price increases will increase the company's revenue. Still,
it does not make a big impact on the stock return as well as the foreign exchange rate for
those companies that received income through foreign currency will be affected by the
currency exchange rate but did not give any big impact.
Macroeconomic Factors on Stock Return at IDX Value 30
Jurnal Indonesia Sosial Teknologi, Vol. 5, No. 4, April 2024 1555
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