The Influence of Macroeconomic Fundamentals and Investor Sentiment on the Indonesian Stock Exchange

Fitriana Dewi Sumaryana (), Nugraha Nugraha, Maya Sari and Toni Heryawan
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Fitriana Dewi Sumaryana: Universitas Pendidikan Indonesia
Nugraha Nugraha: Universitas Pendidikan Indonesia
Maya Sari: Universitas Pendidikan Indonesia
Toni Heryawan: Universitas Pendidikan Indonesia

A chapter in Proceedings of the 8th Global Conference on Business, Management, and Entrepreneurship (GCBME 2023), 2024, pp 7-13 from Springer

Abstract: Abstract This study employs an empirical approach to analyse the factors influencing the Composite Stock Price Index (IHSG) in Indonesia, which reflects capital market activities, indicating bullish or bearish market conditions. The research seeks to understand these factors more deeply, providing valuable insights for investors in managing investment risks. Historical data from the Indonesian stock market considers macroeconomic factors (inflation, interest rates, and the S&P 500) and investor sentiment (measured by trading volume). Statistical techniques and regression models are applied to identify relationships between these factors and stock market volatility in Indonesia. Additionally, the research aims to investigate factors influencing stock market volatility in Indonesia through empirical means. Volatility reflects rapid fluctuations in stock prices and trading activities. The primary goal is to develop a deeper understanding of contributors to market returns in Indonesia, offering insights into risk management. The study utilises historical data, including macroeconomic factors and investor sentiment proxies (trading volume and Consumer Confidence Index). Statistical techniques and regression models are used to establish connections with market returns. Based on daily data from 2022, these findings are expected to enhance comprehension of stock market volatility factors in Indonesia. They will serve as a valuable reference for investors and market participants, aiding them in making informed investment decisions and proactively managing risks.

Keywords: market return; interest rate; exchange rate; inflation; investor sentiment (search for similar items in EconPapers)
Date: 2024
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DOI: 10.2991/978-94-6463-443-3_2

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