Analysis of the Influence of Macro Economic Factors against JCI Return in Indonesia Stock Exchange

Abstract

The study aims to examine how the influence of macroeconomic factors by using the variable exchange rates, interest rates, foreign exchange reserves and the price of Indonesian crude oil to JCI return. Information on interest rates, exchange rates and foreign exchange reserves of Indonesia obtained from Bank Indonesia, while the price of Indonesian crude oil taken from
the Ministry of Energy and Mineral Resources. JCI data source comes from IDX Monthly Statistics report in the Indonesia Stock Exchange with a total sample of 96 data. Data analysis techniques in this study using multiple regression analysis. Based on the results of the study showed that the movement of the exchange rate, interest rate, foreign exchange reserves
and crude oil prices Indonesia jointly influence to JCI return. The results also showed that the movement of the exchange rate and interest rates significantly negative influence to JCI return while the growth of foreign exchange reserves and oil price movements Indonesia significant positive effect on JCI return.