Macro-Economic Impact on Stock Prices

Abstract

Macroeconomics is an integral component of economic activity. The goal of this research is to demonstrate the effects of the macro-economic effect on stock returns with a more focused and tailored scope of the financial sector. This research uses a quantitative methodology with mathematical techniques, data used in the period 2001-2018, time series models with Vector Autoregressive (VAR) approaches where the data used are stationary and not co-integrated. The VAR model shows that if there is a parallel interaction between the measured variables, these variables can be considered similarly so that there are no more endogenous and exogenous variables. The findings showed that inflation, exchange rates and interest rates have no significant effect while economic growth had an impact on stock returns in the financial sector on the Indonesian stock exchange in 2001-2018

Yield to Maturity Bond: Interest Rate, Inflation and Bond Rating – Empirical Research on Banking Sector

“…In addition to bonds, stocks are one of the investments that attract investors' attention. Putra & Sugiyanto (2021) examined macroeconomic factors, namely inflation and interest rates on stock prices, where the results of the analysis showed that inflation and interest rates had no effect on stock prices. This condition showed because the analysis focuses on one industrial sector that has different characteristics.…”