The Influence of Macroeconomic Factors on The Stock Returns of Energy Sector in Indonesia Stock Exchange

Haris Dwi Laksono and Yosman Bustaman ()
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Haris Dwi Laksono: Swiss German University
Yosman Bustaman: Swiss German University

A chapter in Proceedings of the 5th International Conference on Global Innovation and Trends in Economy 2024 (INCOGITE 2024), 2024, pp 145-159 from Springer

Abstract: Abstract This research aims to analyze the influence of macroeconomic variables, which include inflation rates, interest rates, changes in exchange rates, and changes in commodity prices such as crude oil prices, coal prices, and gold prices, on energy sector stock returns as measured using the percentage change in stock prices. The analysis technique used is panel data regression with a random effect model. Partial research results show that the inflation rate and changes in commodity prices have a positive effect on stock returns in the energy sector. Meanwhile, interest rates and changes in exchange rates have a negative effect. In this study, dummy data was added because, throughout the research period, there was an economic slowdown due to the COVID-19 pandemic, which affected the decline in stock returns in the energy sector. Empirically, these findings confirm that macroeconomic conditions influence the stock market, and practically, these findings imply that investors must be more careful in managing their portfolios, and the government must always take strategic measures to maintain economic stability.

Keywords: Inflation; interest rate; exchange rate; oil price; coal price; gold price; and stock returns of energy sectors (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-585-0_11

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DOI: 10.2991/978-94-6463-585-0_11

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