Published date: Mar 22 2022

Journal Title: KnE Social Sciences

Issue title: The Second Economics, Law, Education and Humanities International Conference (ELEHIC-2021)

Pages: 59–68

DOI: 10.18502/kss.v7i6.10609

Erna Garniaerna.garnia@usbypkp.ac.idUniversitas Sangga Buana, Bandung, Indonesia

Deden RizalUniversitas Sangga Buana, Bandung, Indonesia

Tahmat TahmatUniversitas Sangga Buana, Bandung, Indonesia

Auliya Ayu Febianti LebehariaUniversitas Sangga Buana, Bandung, Indonesia

The objective of this research was to determine the impact of macroeconomic factors, namely the price of gold, the gross domestic product (GDP) and the money supply, on stock returns in the property sector listed on the Indonesian Stock Exchange. The data used were monthly data from 10 property stocks for the period 2013-2019. Panel data regression was used. The results indicated that the price of gold had a positive impact on returns, GDP had no impact on returns, and the money supply had a negative impact on returns. When considered together, the price of gold, GDP and money supply had an impact on stock returns in the property sector.

Keywords: stock returns, macroeconomics, arbitrage pricing theory

[1] Sunariyah Sunariyah. Introduction to capital market knowledge. 6th ed. Yogyakarta: UPP STIM YKPN; 2013.

[2] Iqbal D, Sarwat S, Sharif A, Jermsittiparsert K. How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks?? Empirical evidence from QARDL technique. Resources Policy 66. 2020;66( Jan):1-9.

[3] Naeem MA, Qureshi F, Arif M, Balli F. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. Resources Policy 66. 2021;72( Jan):1-15.

[4] Sukirno S. Macroeconomics theory introduction. 3rd ed. Jakarta: PT RajaGrafindo Persada; 2015.

[5] Alam QN. Impacts of macroeconomic variables on the stock market returns of South Asian region. Canadian Journal of Businees and Information Studies. 2020;2(2):24– 34.

[6] Laichena KE, Obwogi TN. Impacts of macroeconomic variables on stock return in the East African community stock exchange market. International Journal of Education and Research. 2015;3(10):305–20.

[7] Putong I. Macroeconomics: Introduction to macroeconomics. Yogyakarta: Buku & Artikel Karya Iskandar Putong; 2015.

[8] Choi K-H, Yoon S-M. The impact of money supply on the volatility of Korean stock market. Modern Economy. 2015;6(5):535–43.

[9] Sayedy B, Ghazali MZ. The impact of microeconomic variables on stock return by moderating of money supply. Asian Social Science. 2017;13(12):191.

[10] Gultom IH, Fachrudin KA. Risk analysis of shares of real estate and property companies on the Indonesian stock exchange. Sumatra Utara: Ekonomi dan Bisnis; 2018.

[11] Huy DTN, Nhan VK, Bich NTN, Hong NTPH, Chung NT, Huy PQ. Impacts of internal and external macroeconomic factors on firm stock price in an expansion econometric model—A case in Vietnam real estate industry. Data Science for Finance Econometrics. 2020;898:189–205.

[12] Karomah AI. The impact of macroeconomic factors on stock returns of property and real estate companies in BEI 2015-2017 [Thesis]. Universitas Negeri Yogyakarta. 2018.

[13] Ratnanto YB. The impact of macroeconomic variables and commodity prices on the stock price index of property and real estate companies on the Indonesian stock exchange. Unuversitas Negeri Yogyakarta. 2015

[14] Mudrajat K. Results methods for business & economics. How to results & write a thesis? 4th ed. Erlangga. Jakarta; 2013.

[15] Gujarati DN. Basic econometrics. 5th ed. New York?: The McGraw-Hill Companies, Inc; 2015.

[16] Kewal SS. The impact of inflation, interest rates, exchange rates, and GDP growth on the composite stock price index. Journal Economia. 2012;8(1):53–64.

[17] Wibisono BS, Reni DO. Analysis of the influence of macroeconomic variables on the property and financial stock price index in Indonesia. Media Ekonomi. 2019;25(2):133- 145.