The Influence of Macroeconomic Variables on Stock Returns through the Arbitrage Pricing Theory Approach
Keywords:
Arbitrage Pricing Theory, Industrial Production Index, Exchange Rate, Rational Behavior, Stock ReturnsAbstract
The development of investment in the Indonesian capital market has shown a shift in investor orientation from focusing solely on financial fundamentals toward sustainability issues, as represented by the SRI-KEHATI Index. This index consists of companies meeting Environmental, Social, and Governance (ESG) criteria and is perceived to possess stronger resilience in facing economic pressures. Macroeconomic fluctuations and market disruptions caused by the pandemic have created uncertainty, prompting investors to reassess their investment strategies and become more selective regarding systematic risk. This study aims to examine the influence of macroeconomic variables on stock returns using the Arbitrage Pricing Theory (APT) framework and Fama-MacBeth regression during the pre-pandemic, pandemic, and post-pandemic periods. The variables examined include the Industrial Production Index (IPI), inflation, exchange rate, interest rate, and world oil prices, applied to ten companies consistently listed in the SRI-KEHATI Index from 2018 to 2024. Data were collected from official statistical and financial sources, and analysis was conducted on the estimated surprise factors for each variable. The findings reveal that only the IPI and exchange rate variables had a significant impact in the post-pandemic period. Under conditions of high uncertainty, investor sentiment tends to weaken the role of rational considerations toward economic indicators.
Downloads
References
Ahmad, F. (2021). Analisis pengaruh makroekonomi, komoditas dunia, dan indeks dunia terhadap Indeks Harga Saham Gabungan (IHSG) pada periode 2014–2019. Jurnal Ilmu Manajemen, 9(1), 295–310. https://doi.org/10.26740/jim.v9n1.
Ali, K., Sari, R. D., & Putri, R. (2019). Pengaruh inflasi, nilai tukar rupiah, dan harga emas dunia terhadap indeks harga saham pertambangan pada Bursa Efek Indonesia (Periode Tahun 2016–2018). Jurnal Bisnis Darmajaya, 5(2), 90–113.
As Shadiqqy, M. (2019). Pengaruh Indeks Produksi Industri (IPI), Sertifikat Bank Indonesia Syariah (SBIS), inflasi, dan nilai tukar terhadap Indeks Saham Syariah Indonesia (Periode 2012–2018). Panangkaran, 3(1), 45–63.
https://doi.org/10.14421/panangkaran.2019.0301-03.
Bursa Efek Indonesia. (2021). Panduan Indeks SRI-KEHATI. https://www.idx.co.id.
Chania, M. F., Sara, O., & Sadalia, I. (2021). Analisis risk dan return investasi pada Ethereum dan saham LQ45. Studi Ilmu Manajemen dan Organisasi, 2(2), 139–150. https://doi.org/10.35912/simo.v2i2.669.
Chen, N.-F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383–403. http://www.jstor.org/stable/2352710.
Daariy, A. (2023). Analisis pengaruh makroekonomi terhadap imbal hasil saham perusahaan food and beverage sebelum dan selama pandemi COVID-19 dengan pendekatan Arbitrage Pricing Theory (Tesis Magister, Universitas Mercu Buana).
Gunawan, I., Firdaus, M., Siregar, H., & Siregar, M. E. (2022). Volatility and stability of ESG equity in Indonesia toward internal and external shocks. International Journal of Islamic Economics and Finance, 5(2), 335–350. https://doi.org/10.18196/ijief.v5i2.12693.
Handoko, A., & Michaela, D. (2022). Comparison between stock index SRI-KEHATI and LQ45.
Jurnal Keuangan & Perbankan, 19(1), 37–50.
Hesniati, H., Ogawa, A. Y., Clarence, A., Topher, C., & Engelina, J. (2022). Pengaruh inflation, interest rate, dan exchange rate terhadap IHSG di Bursa Efek Indonesia pada tahun 2011– 2021. Studi Ilmu Manajemen dan Organisasi, 3(1), 261–271. https://doi.org/10.35912/simo.v3i1.1078.
Hidayati, S., & Sukmaningrum, P. S. (2019). Pengaruh variabel makroekonomi terhadap Jakarta Islamic Index periode 2011–2018. Jurnal Ekonomi Syariah dan Terapan, 6(1), 1899–1913.
Itan, A. A., Amin, H., Khatib, S. F. A., & Almugren, I. (2025). ESG disclosures and firm performance in Indonesia: The moderating role of audit quality. Future Business Journal, 11(1), Article 85. https://doi.org/10.1007/s43621-025-01085-0.
Mahendra, A., Amalia, M. M., & Leon, H. (2022). Analisis pengaruh suku bunga, harga minyak dunia, harga emas dunia terhadap Indeks Harga Saham Gabungan dengan inflasi sebagai variabel moderasi di Indonesia. Riset dan Jurnal Akuntansi, 6(1), 1070–1088. https://doi.org/10.33395/owner.v6i1.725.
Nabilah, N. H. Z., & Ahmadi, M. A. (2024). Penerapan ESG (Environmental, Social, Governance) dalam strategi investasi keuangan. Jurnal Media Akademik, 2(12), 112–123. https://doi.org/10.62281/v2i12.1127.
Puryandani, E. S., Sinaga, I., Sulistianingsih, H., Mandaraira, F., Nuwa, C. A. W., Fuadi, F., Risman, A., Bandawaty, E., Widiarma, I., & In’am Widiarma. (2025). Manajemen portofolio dan investasi. CV Eureka Media Aksara.
RG, R. C., Komalasari, A., & Komaruddin. (2020). Pengaruh asset growth, financial leverage, dan liquidity terhadap risiko sistematis pada saham LQ45 yang terdaftar di BEI periode 2010– 2018. Jurnal Ilmiah Berkala 6 Enam Bulanan, 25(1), 1–12.
Rivanda, A. K., Abirukmana, R. P., & Dwiastuti, S. S. (2023). Pengaruh nilai perusahaan dan nilai tukar terhadap harga saham pada perusahaan sub sektor tekstil dan garmen yang terdaftar di BEI. Jurnal Ekonomi dan Bisnis, 8(1), 36–48.
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341–360. https://doi.org/10.1016/0022-0531(76)90046-6.
Septiani, D. (2020). The influence of the inflation rate and the interest rate of Bank Indonesia Certificates on the composite stock price index with the US dollar exchange rate as a moderating variable on the Indonesia Stock Exchange. Economics and Accounting Journal, 3(3), 212–220. https://doi.org/10.32493/eaj.v3i3.y2020.p212-220.
Sia, C. H., Leong, Y. P., & Puah, C. H. (2024). Asymmetric impacts of inflation and interest rates on Indonesian stock prices: A NARDL approach. Journal of Economic and Administrative Sciences. https://doi.org/10.1108/JED-07-2024-0239.
Sidharta, K., & Kim, S. S. (2024). The influence of ESG performance on stock price volatility in Indonesia. Enrichment: Journal of Management, 14(3), 448–454. https://doi.org/10.35335/enrichment.v14i3.1973.
Syamila, A., Karimi, S., & Ridwan, E. (2020). Pengaruh harga minyak mentah dunia terhadap makroekonomi Indonesia: Net eksportir dan net importir minyak 1991–2015. Jurnal Ilmiah MEA, 4(1), 161–180.
Tempo.co. (2023). Kehati: Perusahaan dengan ESG baik punya kinerja keuangan lebih moncer. https://bisnis.tempo.co/read/1752879/kehati-perusahaan-dengan-esg-baik-punya-kinerja- keuangan-lebih-moncer.
World Health Organization. (2020). Coronavirus disease (COVID-19) pandemic. https://www.who.int.
Wibisono, B. S., & Octaviani, D. (2019). Analisa pengaruh variabel makroekonomi terhadap indeks harga saham properti dan keuangan di Indonesia. Media Ekonomi, 25(2), 100–115. https://doi.org/10.25105/me.v25i2.5000.
Yulianza, A., Lastari, A. W., & Agustian, E. (2021). Analisis reaksi pasar modal sebelum dan saat peristiwa pandemi COVID-19 (Studi pada perusahaan sub sektor restoran, hotel, dan pariwisata yang terdaftar di Bursa Efek Indonesia tahun 2020). Jurnal Manajemen Jaya, 3(1), 71–85. https://doi.org/10.35141/jmj.v3i1.71
Downloads
Published
Issue
Section
License
Copyright (c) 2025 Business, Economics, Law, Communication, and Social Sciences
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
