ANALYSIS OF STOCK PRICE INDEX VOLATILITY IN INDONESIA USING MACROECONOMIC VARIABLES AND GLOBAL ECONOMIC UNCERTAINTY INDEX

Abstract

Stock price changes within a certain period can be observed in the volatility of the stock price index. Changes in stock prices can be influenced by a country's macroeconomic conditions and global economic conditions. Macroeconomic factors include interest rates, inflation, exchange rates, and economic growth, while global economic uncertainty is observed using the Global Economic Policy Uncertainty (GEPU) index. This study examines the effect of macroeconomic variables and the GEPU index on the volatility of the stock price index on the Indonesia Stock Exchange (IDX). A descriptive analysis method was used using time series data between Q1 2016 and Q4 2021. The results indicate that the interest rate has a negative and significant effect on the volatility of the stock price index. In contrast, the value of each GEPU index and exchange rate have a positive and significant effect on stock price index volatility. However, inflation and economic growth have a positive relationship and do not significantly affect the volatility of the stock price index.