The Model of Stock Pricing Banking Sector on the Indonesia Stock Exchange during the Government of Susilo Bambang Yudhoyono and Joko Widodo

Abstract

Differences in macroeconomic conditions between the SBY and JKW government periods can significantly impact stock prices within the banking sector, especially when the economy experiences fluctuations, leading to increased stock price volatility. This research aims to assess the influence of various macroeconomic factors, including the Global index, macroeconomics, world oil prices, China index, Arab index, competitive resources, and inflation, on banking sector returns from October 2004 to October 2014. The analysis utilizes the arbitrage pricing theory, difference test, and mean absolute deviation. The study divides the analysis into high-return and low-return groups for each government period. Findings indicate that macroeconomic factors exert a simultaneous influence on return groups during both SBY and Jokowi's administrations. However, for JKW high returns, these factors do not significantly impact them. Specifically, the Global Index, China Index, Arab Index, Resource Competitiveness, and Inflation show a positive correlation with both high and low returns during SBY term. Conversely, during JKW tenure, only the Global Index and China Index exhibit positive effects on high and low returns. The difference test reveals disparities in the Arab index for high and low returns of SBY, while only the Global index displays differences for JKW. The variations in high returns between SBY and Jokowi stem from discrepancies in the Global and Arab indices, while no distinctions exist in low returns between the two administrations. Additionally, the mean absolute return values for high returns during JKW era demonstrate the smallest accuracy, indicating potential limitations in the predictive power of the model during this period.