48 variable macroeconomics on stock return 25 ags 2019

48 variable macroeconomics on stock return 25 ags 2019

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  International Journal ofBusiness and Management; Vol. 14, No. 8; 2019 ISSN 1833-3850 E-ISSN 1833-8119 Published by Canadian Center of Science and Education 108 The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia Aminullah Assagaf1 , Etty Murwaningsari1 , Juniati Gunawan1 & Sekar Mayangsari1 1 Faculty of Economics and Business, Trisakti University, Indonesia Correspondent: Aminullah Assagaf, Sudirman Park Apartment, B/03/AD, KH Mas Mansyur Kav. 35 Jakarta Indonesia. E-mail: [email protected] Received: May 1, 2019 Accepted: June 10, 2019 Online Published: July 9, 2019 doi:10.5539/ijbm.v14n8p108 URL: https://doi.org/10.5539/ijbm.v14n8p108 ABSTRACT This study aims to analysis the effect of macroeconomic variables on the overall return of company shares which is a proxy with changes in the composite stock price index. This study uses secondary data in a period of 20 months from November 2016 to June 2018. While the analysis technique uses multiple linear regression This study found that macroeconomic variables consisting of inflation rates, interest rates, money supply, and foreign exchange rates, stock returns have a significant effect on companies on the Indonesia Stock Exchange. Keyword: macro economy, agency theory, financial management 1. Introduction Most research shows that inflation has a significant impact on stock returns. Whether the impact is positive or negative, however, is a matter of much debate. Chen et al (2005) concluded that inflation cannot predict stock returns. According to Tripathi and Kumar (2014), the relationship between inflation and stock returns in BRICS is contradictory, with Russia showing a significant negative relationship, while India and China show a significant positive relationship. Priyono, (2016, 2018, 2019), Priyono, Briyan Cadalora Putra Cisa Cadalora Putri, (2019), states that there are two traditional peak annual inflation in Indonesia. The December-January period always brings higher prices due to Christmas and New Year celebrations, while traditional flooding in January (in the middle of the rainy season) results in disruption of distribution channels in several regions and cities, resulting in higher logistical costs. The second peak of inflation occurred in the July-August period. Inflationary pressure in these two months came as a result of holidays, Muslim holy fasting month, Eid al-Fitr and the beginning of the new school year. Significant improvements can be detected in expenditures on food and other consumables (such as clothing, bags and shoes), along with retailers who adjust prices upwards. From the research results of Priyono, Briyan Cadalora Putra Cisa Cadalora Putri , (2016, 2018, 2019), it was stated that the social implications of policy makers could apply empirical evidence in the time series as a theoretical foundation while establishing fiscal, monetary or exchange rate policies to stabilize output and employment opportunities using interest rates, the amount money supply, and exchange rates in other cities. Abedallat and Shabib (2012) studied the impact of macroeconomic indicators such as changes in investment and gross domestic product (GDP) as independent variables and the movement of the Amman Stock Exchange index as the dependent variable for the 1990-2009 data period. They found the relationship between the two macroeconomic indicators (investment and GDP) and the Amman Stock Exchange index, and also between each separately and the stock index, which means that price movements on the Amman Stock Exchange are influenced by the movements of these two variables, and there are influences both of these variables towards the Amman Stock Exchange index movement. Furthermore, they found the impact of investment changes was greater than the impact of changes in GDP on the Amman Stock Exchange index. Gunsel and Cukur (2007) analysis the effect of macroeconomic factors on London stock returns for the period between 1980 and 1993. They developed seven predetermined macroeconomic variables. The term structure of
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  ijbm.ccsenet.org International Journalof Business and Management Vol. 14, No. 8; 2019 109 interest rates, risk premiums, exchange rates, money supply, and unanticipated inflation, sectoral dividend yields and sectoral unexpected production are used as independent variables and returns on London shares as the dependent variable. The results show that macroeconomic factors have a significant influence on the UK stock market but; each factor can affect different industries in different ways. That is, macroeconomic factors can affect one industry positively, but negatively affect other industries Interest rates are defined as the price of money. This is the proportion of loan funds demanded by investors for the use of these funds. Many governments use interest rates as a monetary policy tool to control other macroeconomic variables such as investment, inflation and unemployment. Alam and Uddin (2009) found that interest rates have a significant negative relationship with stock prices for 15 developed and developing countries using data from 1988 to March 2003. According to Humpe and Macmillan (2007), stock prices are negatively correlated with the long term interest rates in the US and Japan. The stock market is very important in the economic development of an economy given its role as an intermediary between borrowers and lenders. The stock market is very important in Indonesia mobilizing long-term capital to listed companies by collecting funds from different investors to enable them to expand their business, and offering investors alternative investment paths to enter their surplus funds. In addition, the level of economic stock market development is the main factor in determining overall financial development and sustainability (Ashaolu & Ogunmuyiwa, 2010). A well-functioning stock market contributes to economic development through more efficient allocation of resources and increasing savings (Junkin, 2012). Previous studies concluded that changes in stock prices are related to macroeconomic factors. According to Liu and Shrestha (2008), a country's macroeconomic activity has an effect on stock market returns. Muradoglu et al (2000) show that changes in stock prices are related to macroeconomic behavior in developed countries. The Arbitrage Price Theory (APT) championed by Stephen Ross (1976) also provides a theoretical framework for the relationship between stock prices and macroeconomic fundamentals by modeling them into linear functions in which sensitivity to changes in each factor is represented by beta-specific factors. Stock prices, therefore stock returns are generally believed to be determined by some fundamental macroeconomic variables such as interest rates, inflation, exchange rates, and Gross Domestic Product (Kirui, Wawire and Ono, 2014). From some of the studies above the authors are interested in analyzing themed studies: The Effect Of Macro Economic Variables On Stock Return Of Companies That Listed In Stock Exchange : Empirical Evidence From Indonesia. Furthermore, this study can be formulated as the following hypothesis: 1. It is assumed that the inflation rate has an effect on Stock Return 2. It is assumed that the interest rate has an effect on Stock Return 3. Suspected money supply has an effect on Stock Return 4. Exchange rate is expected to have an effect on Stock Return 2. Research Methods 2.1 Data and Sample The study used macroeconomic data reported online by related institutions such as Indonesian banks, Indonesia Stock Exchange, Central Bureau of Statistics, and others. The macroeconomic data used consisted of the inflation rate, the average interest rate prevailing in the bank at the time of observation, the amount of money in circulation, the development of the foreign exchange or the US dollar against the value of the IDR, and the development of the overall stock return of listed companies in the Exchange Effect Indonesia. This study uses monthly time series data from November 2016 to June 2018 or 20 months of observation. The reason for using this timeframe is mainly to explain the current phenomenon which can be explained in the previous few months, since using long-term data several years earlier is less realistic than the short monthly period as conducted in this study. 2.2 Variable Measurement Variable used in this study consisted of the dependent variable of the overall return rate of firms in Indonesia Stock Exchange, and four independent variables consisting of inflation rate, interest rate, amount of money in circulation, and US dollar exchange rate against rupiah value, as stated below . (a) The dependent variable of the company's stock return rate (YRi) as a whole company listed on the Indonesia Stock Exchange, in proxy by using the composite stock price index or JCI between the time that is the growth rate
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  ijbm.ccsen of the ind ofthe dep follows. (b) The in is calcula (c) The in banks and will reduc unemploy price of th (d) Variab Authority circulatio Exchange (e) The in foreign ex and socia performan stock pric Measurem and the U published 2.3 Mode Where: Y exchange 2.4 Analy The empi influence price of th each com in the Ind net.org dex from time pendent variab ndependent va ated based on t ndependent va d private bank ce the develop yed. The limit he company in ble independe y in the cont on will have a e. ndependent va xchange rates al economic d ance on the In ce index to be ment of indepe US dollar exc d online by Ba el Analysis YRi = stock re e rate, β0 = Con ytical Framew irical changes ed by macroec he company d mpany. The cor donesia Stock Int to time repre ble of overall ariable of infla the price deve ariable interes ks. Interest rate pment of inve ted capability o n general, so t ent money supp text of stabili an impact on ariable US do over time. Ch development in donesia Stock e depressed. endent variabl change rate ag ank Indonesia YRi = β0 + β eturn, X1INFi nstant, β1 ….. work s that occur on conomic variab depends on how rrelation betw Exchange is i ternational Jour senting the co company retu ation rate or X elopment of ce t rate or X2IN es affect the ec stment and im of the compan that the compo ply or X3MNS izing the nati n the economy ollar exchange hanges in the U n general. Wi k Exchange, th le inflation rat gainst the IDR through https β1 X1INFi + β2 = inflation ra β4 = Coeffici n the stock ret ble, so the cha w much the le een the macro illustrated belo Figure 1. Fi YRi = IH rnal of Business 110 ompany's liste urn rate listed X1INFi is the d ertain goods. NTi is the deve conomic deve mpact on job o ny's investmen osite stock pri Si is the amoun ional econom y of the peop e rate against t US dollar exc ith an increasi hus affecting te or X1INFii , R or X4EXCi s://www.bi.go 2 X2INTi + β3 ate, X2INTi = ient regression turn of the co anges that occ evel of sensitiv oeconomic var ow. igure framewo HSG (t) − IHSG IHSG (t − s and Managem ed on the Indo on the Indone development o elopment of in elopment of so pportunities o nt in Indonesia ice index will nt of money ci my, because th ple and comp the IDR or X4 change rate ag ing exchange stock prices i interest rate o was measure o.id/ X3MNSi + β4 interest rate, n, ei = error. ompany in gen cur macroecon vity influence riables and the ork concepts G (t − 1) − 1) ment nesia Stock E esia Stock Exc of the price of nterest rates pr ociety because or trigger the g a Stock Exchan decrease. rculating in a he excess or panies listed o 4EXCi is the l ainst the IDR rate impacts t in general and or X2INTi , mo ed by using th X4EXCi + ei X3MNSi = mo neral in Indon nomic conditio of these varia e overall stock Vol. 14, N Exchange. Me change is form f goods in gene revailing in go e with high int growth of the n ange will affec society contro shortage of on the Indone level of devel R will affect th the company's d causing the oney supply or he data as rep oney supply, nesia Stock Ex ons will affect ables on stock k returns of the No. 8; 2019 asurement mulated as eral which overnment terest rates number of ct the stock olled by an money in esia Stock opment of e business s financial composite r X3MNSi , ported and X4EXCi = xchange is t the stock k returns of e company
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  ijbm.ccsen Overall c the level inflation playsan i impact on investmen bank will price inde because t companie circulatio on the Sto purchase thus affec The exch shares as exchange of the ret investors 3. Result 3.1 Descr The struc namely: (a) The de maximum (b) The in maximum (c) The in value of 1 (d) Indep of 5.46 w (e) Indepe with an a Table 1. D 3.2 Corre The calcu net.org ompanies liste of changes i that affects th important role n investment nt if the intere l have an imp ex. Macroecon the money su es on the Ind on and the goo ock Exchange contracts tend cting the stock hange rate of t s a whole, be e rate variable turn of shares but also forei t and Discuss riptive Statisti cture of the res ependent varia m value of 6.6 ndependent va m value of 4.3 ndependent va 11.21 with an endent variab with an average endent variab average value Descriptive st elations ulation results Int ed on the Indo in macroecon he price of go e in influencin and this mea est rate increa pact on the com nomic variabl upply that exc donesia Stock ods available. e due to uncert d to harm the k price on the the dollar agai cause such co against the va on the Indon ign investors w ics search data suc able from the 1 with an ave ariable of the 7 with an ave ariable interest average value le money supp e value of 5.2 les of currency of 13.66 and a tatistics of the correla ternational Jour onesia Stock E nomic conditio ods in genera ng the growth ans that the c ases. Therefore mpany's overa les from the m ceeds national Exchange, b causing scarc tainty. Operati seller both fro Indonesia Sto inst the unstab onditions will alue of the IDR esia Stock Ex who have stro ch as Table 1 D market return rage value of inflation rate rage value of t rate or X2_ I e of 10.37 and ply or X3_ Mo 1 and a deviat y exchange ra a level of devi ation coefficie rnal of Business 111 Exchange with ons. An impo al in society. T h of company company on t e, changes in all stock price money supply h l economic n because there city of produc ional decision om the sale of ock Exchange ble value of th l be used by R is one of the xchange, becau ong capital pot Descriptive St n or YRi,_Stoc 5.86 and a lev or X1_ inflat 3.59 and a lev Interest rate va d a level of de oney Supply v tion rate or sta ates vary from iation or stand ent between va s and Managem h a joint stock ortant variabl The interest ra performance, the Stock Ex the benchmar e which is rep have an impac needs will hav is an balance ts and will aff ns tend to be sh f the final pro . he IDR tends speculators t e macroeconom use investors tential. tatistics show ck Return vari vel of deviatio tion rate varie vel of deviatio aries from a m eviation or stan varies from a m andard deviati m a minimum v dard deviation ariables as Ta ment price index th e in macroec ate as a macro because the i change will e rk interest rate plicated by ch ct on the natio ve an impact e between the fect the develo hort-term, bec duct or the su to exacerbate o reap profits mic variables who transact s the variation es from a min on or standard s from a mini on or standard minimum value ndard deviatio minimum valu ion of 0.188. value of 13.38 n of 0.405. ble 2 Correlat Vol. 14, N hat changes ac conomics is th oeconomic var interest rate h experience ob e decided by t hanges in the j onal economic on the perfor e amount of opment of the cause long-term upplier of raw e the return of s. Therefore, that affects th are not only f n between each nimum value o d deviation of imum value o d deviation of ue of 8.40 to a on of 0.756. ue of 4.87 to a to a maximum tion: No. 8; 2019 cording to he rate of riable also as a direct bstacles in the central joint stock c situation, rmance of money in e company m sale and materials, f company the dollar he stability from local h variable, of 5.15 to a 0.398. f 3.02 to a 0.385. maximum maximum m of 14.95
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  ijbm.ccsen (a) the in Returno relatively (b) the in Return o relatively (c) the in YRi_Stoc greater th (d) the in YRi_Stoc relatively Table 2. C 3.3 Class Normality Based on data used Multicoll The resul tolerance indication Autocorr By using larger dU there are Heteroske Using Gle 0.05 so it approach Inflation Supply = 4. Hypot Hypothes stated: net.org dependent var f 0.197, whic y small or less nterest rate in f 0.866, whic y strong or gre ndependent va ck Return of 0 han 0.50. ndependent va ck Return of 0 y small or less Correlations sic Assumption ty n the calculatio d in this regres linearity lt of multicolli e value > 0,01 n of multicolli relation the Durbin-W U = 1,8282 and no symptoms edastic ejser method a t is stated that h, the significa rate or X1_In 0,054, and fo thesis Testing sis test with th Int riable inflation ch means that than 0.50. dependent va ch means that eater than 0.50 ariable of the 0.827, which ariable of the 0.217, which m than 0.50. n Test on of SPSS, th ssion calculati inearity test as , and varianc inearity. Watson test as t d smaller than s of autocorrel as the result o in the regress ance level of th flation Rate = oreign exchang g he result of cal ternational Jour n rate (X1_ In t the level of riable (X2_In t the level of 0. money suppl means that th exchange rat means the leve he value of As ion is normal d s in Table 3 sh e inflation fac the result of ca 4-dL = 3,1057 lation. f SPSS calcul ion there are n he relationship = 0,413, Interes ge rate or X4_ culation as Ta rnal of Business 112 nflation Rate) f closeness of nterest Rate) c f closeness of ly (Supply X he relationship te (X4_Excha el of closeness symp Sig (2-ta distribution. hows collinear ctor or VIF < alculation on T 7 (α = 5%, n = lation obtained no symptoms p between ind st rate or X2_ _Exchange Ra able 3 shows S s and Managem correlates wi f the relations correlates with f the relations 3_Money) co p between the ange Rate) co s of the relatio ailed) is 0, 153 rity statistics o 10, so it is sta Table 3 obtain = 20, and k = 4 d Sig value. ea of heterosked ependent vari Interest Rate = ate = 0.065. Sig value. whic ment th the depend ship between h the depende ship between rrelates with e two variable rrelates with onship betwee 3 > 0,05 or 5% on each indepe ated that in thi ned the value o 4), so it is state ach independe dastic. From th able and resid = 0,779, mone ch is less than Vol. 14, N dent variable Y these two va ent variable Y these two va the dependen es is relatively the dependen en these two v % , so it is state endent variabl is regression t of DW statisti ed that in this r ent variable gr he calculation dual is greater ey supply or X n 0.01 or 1%, s No. 8; 2019 YRi_Stock ariables is YRi_Stock ariables is nt variable y strong or nt variable variables is ed that the e obtained there is no cs = 2,645 regression reater than of Glejser than 0.05: X3_Money so it can be
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  ijbm.ccsen (a) H1 hy inflation withinde (b) H2 hy interest ra projected (c) H3 hy has a sign with a co (d) H4 hy namely th Indonesia Table 3. T From the below. The coeff result in decrease market re return by 4.1 Coeff The resul regression into acco explained exchange Statistic F The simu result of inflation r whole com Statistics Partial Te interest ra variable t net.org ypothesis prov rate have a si ex of joint pric ypothesis pro ate has a signi d with the pric ypothesis prov nificant effect mposite price ypothesis prov he value of f a Stock Excha The effect of m calculation re YRi = fficient of each an increase in in market retu eturn increase y 0.269%. ficient Determ lt of coefficie n is table to ex unt in this res d by changes e rate with a tr F ultaneous test o the calculatio rate, interest r mpany in Indo t est performed ates, and the n total stock re Int ven or result ignificant effe ce of share, wi oven or calcul ificant effect o e index of join ved or calculat t on the overa e index, with in ved or the res foreign exchan ange is project macroeconom esults as Table = 4.693 + 0.12 h of these var n return mark urn of 0.300 ( e , and (d) the minant (R2 ) ent determinan xplain the phen search. This m in the indep rust rate of 96% of the overall e n on Table 3 rate, money su onesia Stock E d through stat number of out eturn of comp ternational Jour of calculation ect to stock re ith indigo Sig lation results on the overall nt stocks, with ed in accordan ll stock return ndigo Sig. = 0 sult of calcula nge rates sign ted with the in mic variable on e 3 and based 27 X1INFi – 0 riables can be ket by 0.127% (d) the increas increase of th nt (R2 ) as Tab nomenon of 9 means that cha endent variab %. effect of the in shows the Sig upply, and for Exchange. istical tests as tstanding fore panies on the rnal of Business 113 n in accordanc eturn of whole . = 0.032. in accordanc stock return o h indigo Sig. = nce with the h n of the comp 0,000. ation in accor nificantly affe ndex of joint s n stock return on the analys 0.300 X2INTi + explained tha %, (b) an incr se of the mone he foreign exch ble 3 shows A 6% and the re anges in the st bles of inflatio ndependent va g value. = 0.0 reign exchang s in Table 3, eign exchange e Stock Exch s and Managem ce with hypot e company in e with the hy of the company = 0,000. hypothesis prop pany on the In rdance with th ect the stock stock prices, w is model used + 1.436 X3MN at: (a) an incre rease in inter ey supply (X3 hange rate (X4 Adjusted R S maining 4 % i tock return of on rate, intere ariable on the s 000, so it is st ge value have which is the rates, partiall ange Indones ment thesis propose Indonesia Sto ypothesis prop y on the Indon posed in this s donesia Stock he hypothesis return of the with indigo Sig d, the regressio NSi – 0.269 X4 ease of inflati est rate (X2IN 3MNS) by 1% 4EXC) by 1% quare = 0.96, is explained by f firms on the est rate, mon stock depende ated that the i a significant e independent v ly significant sia. Level of Vol. 14, N ed in this rese ock Exchange posed in this nesia Stock Ex study, the mon k Exchange is proposed in t entire compa g. = 0,000. on equation is X4EXCi ion (X1INF) o NT) of 1% w % will affect th % will reduce t , which mean y other factors Stock Exchan ney supply, an ent return varia independent v effect on stock variable infla effect on the significant re No. 8; 2019 earch, that e projected study, the xchange is ney supply s projected this study, any in the presented of 1% will will have a he 1.436% the market ns that this s not taken nge can be nd foreign able as the variable of k return of ation rates, dependent elationship
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  ijbm.ccsenet.org International Journalof Business and Management Vol. 14, No. 8; 2019 114 between variables is smaller than 1%, which means that the hypothesis proposed in this study has been appropriate and supported by the calculation of statistical test t. 5. Discussion Based on hypothesis as it is evidenced on the results calculation statistic and pay attention results research earlier as put forward before, then need discussed some p Relevant principal with the role of macro variables economy in influence stock return whole companies in Indonesia Stock Exchange, namely : (a) Hypothesis about the effect of macroeconomic variables made from inflation rate, interest rate , amount money outstanding, and currency foreign proven take effect significant to stock return whole companies in the Indonesian Stock Exchange. It is in line with hypothesis above and relevant with results research earlier as it is findings reported at Chen et al (2005), Gunsel & Cukur (2007), Abedallat & Shabib (2012). (b) Research this find that in period short and medium, it turns out level inflation take effect positive against stock return company. It is happen because support of government as it is done moment this to development industry and business world, have an impact to enhancement chance work or push number poverty. Because of unemployment decreased, then as it is Philips theory proves that inflation negative compared with unemployment, because happen enhancement spending consumption home stairs and triggers enhancement inflation, so otherwise when unemployment increased then inflation decrease because community experience difficulty finance and demand decrease although price tend more cheap. The implication, which is inflation is relatively controlled push increase in stock return, so required ethers money policy of the Central Bank and fiscal policies by the government for inflation located position control. The results of this study support the research results of Priyono, (2016, 2018, 2019), Priyono, Briyan Cadalora Putra Cisa Cadalora Putri, (2019) (c) Implications of interest policy is authority monetary have the role of macroeconomic variable this no impact bad to development of a marked business world with declining stock returns company. Variable interest rate have a negative effect on stock return because with increased interest will push amount investment of industry and business sector, and this means also will improve amount unemployment and pushing growth number poverty. This is where role authority monetary for on wise in use interest rate reference that can influence the bank interest overall. The results of the study this in line with theory investment, which states that interest rate negatively correlated with investment, or investment is function from interest rate and have a slope or a negative curve, which means that on the interest rate high will cause decline amount investment, otherwise of low interest will push growth investment. If investment experience increase, then the business world increasingly growing, the amount unemployment down, numbers poverty increasingly low, and stock returns company tend experience improvement. this is in line with the opinion: Priyono, Briyan Cadalora Putra Cisa Cadalora Putri, (2019) (d) amount money outstanding impact positive against stock return, inside period short and long term medium happen growth opportunities business because banking push enhancement funding investment industry and business world, so performance finance company increasingly increase. Enhancement profitability or performance finance industry and business world, and convenience earn funding banking push increase of stock return companies in the Stock Exchange. Implications policy of banking , that is push interest community in optimizing use its revenue, through various policy amenities credit so transaction business increased because community chance use future income for used this moment. (e) The exchange rate currency foreign have a negative and significant effect against stock return companies in the Securities Exchange are meaningful that point a weakening exchange will cause loss company certain such as : the company that owns debt overseas or debt with value currency foreign, using ingredients default from abroad, imports capital goods, and others. The implication, that investors in the Stock Exchange respond value exchange currency foreign because in general increase value currency foreign, will pressing stock return company on overall characterized with decline index price stock Composite Indonesia Stock Exchange. 6. Conclusion and Suggestion The results of the study this concluded: (a) In period short and medium, inflation rate take effect positive and significant to stock return of companies on the Indonesia Stock Exchange, which means that increase inflation push increase price stock company. Suggested for monetary policy by central banks and fiscal policies by the government control inflation, because level of inflation the give signal positive for investors in the capital market, so push taking investor decisions within determine its investment portfolio in the Capital Market.
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  ijbm.ccsenet.org International Journalof Business and Management Vol. 14, No. 8; 2019 115 (b) interest rate have a negative and significant effect to stock return of companies on the Indonesia Stock Exchange, which means that increase interest rate push price stock companies in the Stock Exchange. Suggested for monetary policy to interest rate reference do with take into account the impact to macroeconomic, because that policy very sensitive to investor decisions in the capital market, even in form information about plan increase interest rate reference will trigger movement price shares in the Stock Exchange. (c) Numbers money outstanding take effect positive and significant to stock return of companies on the Indonesia Stock Exchange, which means that increase amount money outstanding will push increase price stock companies in the Stock Exchange. It is suggested that the central bank control amount money outstanding, due to macroeconomic variables this significant influence against stock return of company on the Stock Exchange, and if this ignored, then impact multiplier will happen on systemic in resonance national level. (d) Exchange currency foreign have a negative and significant effect to stock return of companies on the Indonesia Stock Exchange, which means that increase value exchange currency foreign will impact to decline price shares in the Stock Exchange. It is suggested that the government control balance sheet transaction walk through share policy such as: push enhancement export, limit import goods consumptive, supervising and controlling debt outside undertaken by the government, state-owned and private cause deficit balance sheet transaction walking . 6.1 Implication Implications for research next is could do research similar with expand period range time for example 5 to 10 years, and use additional macroeconomic variables others that have not used in this study, so could complete this research. References Al-Abedallat, A. Z., & Al-Shabib, D.K. (2012). Impact of the investment and gross domestic product on the Amman Stock Exchange index. Investment Management and Financial Innovations, 9(3), 130-136 Alam, M. M., & Uddin, M. G. (2009). Relationship between interest rates and stock prices: empirical evidence from developed and developing countries. International Journal of Business and Management, 4(3), 43-50. Amin, M. Z., Herawati, T. D. (2012). Pengaruh Tingkat Inflasi, Suku Bunga Sbi, Nilai Kurs Dollar Dan Indeks Dow Jones Terhadap Pergerakan Indeks Harga Saham Gabungan Di Bursa Efek Indonesia (Bei) (Periode 2008-2011). Jurnal Skripsi, 1-17. Ashaolu, T. O., & Ogunmuyiwa, M. S. (2011). An Econometric Analysis of the Impact of Macro EconomicVariables on Stock market movement in Nigeria. Journal of Business Management, 3(1), 72-78. Chen, M. H., Kim, W. G., & Kim, H. J. (2005). The impact of macroeconomic and non macroeconomic forces on hotel stock returns. Hospitality Management, 24, 243-258. Gunsel, N., & Cukur, S. (2007). The effects of macroeconomic factors on the London Stock returns: a sectoral approach. International Research Journal of Finance and Economics, 10, 140-152. Humpe, A., & Macmillan, P. (2007). Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan, Centre for Dynamic Macroeconomic Analysis Working Paper Series. Retrieved 13, February 2016 from http://www.st-andrews.ac.uk/economics/CDMA/papers/wp0720. Jensen, M. C., Meckling, W. H. (1976). Theory of The Firm: Man Age Rial Behavi Or, Agency Costs And Ownership Structure. Journal of Financial Economics, 3(4), 305-360. Junkin, K. (2012). Macroeconomic determinants of stock market behaviour in South Africa. Rhodes University. Retrieved from http://eprints.ru.ac.za/3658/ Kirui, E., Wawire, H. W., & Onono, P. O. (2014). Macroeconomic Variables, Volatility and Stock Returns: A Case of Nairobi Securities Exchange, Kenya. International of Economics and Finance, 6(8). Liu, M., & Shrestha, K. (2008). Analysis of the long term relationship between Macro-economic variables and the Chinese stock market using heteroscedastic cointegration. Journal of Managerial Finance, 34(11), 744-755. Muradoglu, G., Metin, K., & Argac, R. (2001). Is There a Long-Run Relationship between Stock Returns and Monetary Variables: Evidence from an Emerging Market. Applied Financial Economics, 11, 641-649. https://doi.org/10.1080/09603100110094411 Priyono. (2016). Esensi ekonomi makro. Zifatama publisher
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