Macroeconomic Determinants of Stock Returns: Evidance from Indonesian Stated-Owned Banks

Wulan Badrahwati; Rika Dwi Ayu  Parmitasari; Rusdi Raprayogha

doi:10.63922/ijebir.v5i04.5056

Wulan Badrahwati Management, Alauddin State Islamic University Makassar
Rika Dwi Ayu Parmitasari Management, Alauddin State Islamic University Makassar
Rusdi Raprayogha Management, Alauddin State Islamic University Makassar

DOI: https://doi.org/10.63922/ijebir.v5i04.5056

Keywords: Keywords: Exchange Rate; Policy Interest Rate; Inflation; Stock Returns; State-Owned Banks.

Abstract

Macroeconomic conditions are widely recognized as important determinants of stock market performance; however, empirical evidence regarding the effects of the exchange rate, the policy interest rate, and inflation on stock returns remains inconclusive, particularly for state-owned commercial banks in emerging markets such as Indonesia. This study aims to examine the effects of the exchange rate, the policy interest rate, and inflation on the stock returns of Indonesian state-owned commercial banks listed on the Indonesia Stock Exchange. A quantitative approach was employed using monthly secondary data from January 2020 to December 2024. The data were analyzed using panel data regression analysis. The findings reveal that exchange rate fluctuations do not have a significant effect on stock returns, whereas the policy interest rate and inflation significantly influence stock returns. These findings provide new empirical evidence that domestic monetary variables play a more prominent role than exchange rate movements in explaining stock return behavior among Indonesian state-owned banks, thereby contributing to the literature on macroeconomic determinants of stock returns in emerging markets.

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IJEBIR, Volume 01 Issue 01, 2022