The influence of macroeconomic variables on Indonesia’s non-cyclical sector stock price index post-COVID-19 pandemic

Abstract

Purpose: This study aims to analyze the effect of macroeconomic variables, namely the exchange rate, inflation, Real Sales Index (RSI), and M2, on Indonesia's non-cyclical sector stock price index after the COVID-19 pandemic.

Methodology: The study uses multiple linear regression to evaluate the partial and simultaneous effects of the study's selected variables on Indonesia's non-cyclical sector stock price index.

Findings: The results show that the exchange rate, inflation, and RSI partially do not have a significant impact, but the M2 broad money supply variable has a significant effect on the stock price index of the non-cyclical sector. These four variables simultaneously significantly influence the non-cyclical sector's stock price index.

Implications: The findings indicate that although some of the macroeconomic independent variables' influence on the stock price index of the non-cyclical sector tends to be weak, these variables together influence the movement of the stock price index.

Originality: The study provides insights for investors and policymakers on the importance of considering macroeconomic dynamics in managing portfolios and maintaining the stability of the non-cyclical sector.

Limitations and directions for future research: The study focuses only on the non-cyclical sector specific to a country, and the data is limited to the post-COVID-19 pandemic, from June 2023 to August 2024. Future research could explore incorporating additional relevant variables and broadening the scope to include a more diverse range of sectors and regions.