The Effects of Indonesian Macroeconomic Indicators and Global Stock Price Index on the Composite Stock Prices Index in Indonesia

Abstract

This study was to analyze the effect of Gross Domestic Product (GDP), the rupiah exchange rate against the US dollar, inflation, interest rates, Dow Jones Index, BSE Sensex Index, Nikkei-225 Index, and Shanghai Index on the composite stock prices index in Indonesia. The study used secondary data obtained from www.yahoo.finance.com, Central Bank of Indonesia, and the Indonesian Central Bureau of Statistics. Data was collected in the quarter period from January 2010 - December 2018 with 36 data numbers per each variable. Multiple linear regression analysis technique was used for the analytical method. The results showed GDP, exchange rates, the Shanghai index had a significant positive effect, the Nikkei-225 index had a significant negative effect to the JCI. Inflation, interest rates, and the BSE Sensex index had insignificant negative effect to the JCI. The variables that were worthy of consideration for investors in purchasing shares on the Indonesia Stock Exchange were GDP, the rupiah exchange rate against the US dollar, the Dow Jones index, the Nikkei-225 index, and the Shanghai index because it significantly affects the JCI. The suggestion for further research was to include other economic variables such as the money supply, unemployment rate, and stock indices of developing countries. Keywords: Indonesian Macro Economic Indicators, Global Stock Index, Indonesian composite of stock price index DOI : 10.7176/IKM/9-9-03 Publication date :October 31 st 2019