Macroeconomic Factors and Influence on Stock Return That Impact the Corporate Values

Abstract

This research aims to determine the influence of macroeconomic variables on stock return and its impact on corporate values. The population in this research is the sector of agriculture because based on the results of the sector's observation, the most severe decline in performance among others. Further sampling is done by the purposive sampling method, so from 22 companies that listings only 15 companies that meet the criteria. The analytical technique to be used in this study is to use a double linear regression analysis technique expanded with a pathway analysis method to obtain a comprehensive picture of the relationship between variables of one variable with other. We find is an inflation and interest rate negatively and significantly affecting the return of shares. The exchange rate positively and significantly affects the stock return and the influential stock return rate positively and significant to the corporate values.

Determination of Firm Value in the Goods and Consumption Sector

“…The results of this study are in line with previous research focusing manufacturing companies conducted by Agustina & Ardiansari (2015) who mentioned that inflation did not have a significant effect on firm value. But this study is different from several other studies which claimed that inflation affected firm value such as Megaravalli and Sampagnaro (2018) who investigated in 3 big countries in Asia; Iqmal, et al, (2020), focusing on manufacturing companies in Indonesia, found that inflation had a negative effect on firm value. The insignificance of inflation indicated an increase in the production costs of goods and consumption companies, thus resulting in tendency of relatively higher selling price.…”

“…This finding is in line with a research of Ulusoy & Ugur (2020) which focuses on companies on the Turkish Stock Exchange. Iqmal, et al, (2020) and Setiawanta, et al (2020) focusing their research on data on manufacturing companies in Indonesia concluded that interest rates affected firm value. Both studies concluded that interest rates showed a significant negative effect on firm value.…”

“…Furthermore, several studies in Indonesia related to macroeconomic variables found that inflation and interest rates indicated a negative effect on firm value and, conversely, exchange rates placed a positive effect on firm value (Iqmal, et al, 2020). In the same vein, Setiawanta, et al (2020) concluded that interest rates affected firm value.…”

Analisis Pengaruh Interest Rate, Exchange Rate, Inflation, Covid-19 Terhadap Lq-45

“…Berdasarkan rumusan masalah yang ada dalam penelitian ini, maka dari sini dapat disimpulkan tujuan dari penelitian ini, yakni: a. Untuk mengerti apakah tingkat suku bunga memiliki efek dengan harga saham yang terdaftar di dalam Indeks LQ45. 2017), Haque & Sarwar (2012), Linck & Decourt (2016), Oshaibat (2017), Ghosh et al (2018), Sutrisno (2017), Balagobei (2017), Barakat et al (2015), Iqmal & Putra (2020), Tangjitprom (2012), membuktikan suku bunga dan return indeks saham memiliki ikatan yang bersifat negatif yang signifikan. Ketika suku bunga naik, investor dapat mengalokasikan uang mereka untuk investasi sekuritas.…”

Market overreaction, firm-specific information and macroeconomic variables in US and Chinese markets during COVID-19

“…The impact of firm-specific information on overreaction is proven in many studies (Boubaker et al, 2015;Hur and Singh, 2016). Nonetheless, macroeconomic variables are often overlooked as potential determinants for overreaction even though some studies have proven the impact of macroeconomic variables on stock return (Iqmal and Putra, 2020). There is a need to examine the impact of firm-specific information and macroeconomic variables on overreaction during COVID-19 as a disruption in market.…”