Ga nia, E na; Riadi, Deden Rizal; T Tahma ; Nainggolan, Ida Ma ga e a
A icle
The impac o he las wo p esiden ial pe iods on he
pe o mance o he Indonesia s ock exchanges: An
app oach o a bi age p icing heo y
Con empo a y Economics
P o ided in Coope a ion wi h:
VIZJA Uni e si y, Wa saw
Sugges ed Ci a ion: Ga nia, E na; Riadi, Deden Rizal; T Tahma ; Nainggolan, Ida Ma ga e a (2024) :
The impac o he las wo p esiden ial pe iods on he pe o mance o he Indonesia s ock
exchanges: An app oach o a bi age p icing heo y, Con empo a y Economics, ISSN 2300-8814,
Uni e si y o Economics and Human Sciences in Wa saw, Wa saw, Vol. 18, Iss. 3, pp. 301-320,
h ps://doi.o g/10.5709/ce.1897-9254.539
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/312955
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
www.ce. izja.pl
301
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
This s udy aims o examine he in luence o economic and non-economic mac o ac o s on he pe o mance
o he Indonesia S ock Exchange (IDX) and he di e ences in hei e ec s on he las wo p esiden ial e ms
using he A bi age P icing Theo y (APT) app oach. The mac o ac o s s udied a e an agg ega e o 41 indica-
o s o s ock ma ke index e u ns, benchma k in e es a es, exchange a es, economic s abili y indica o s,
commodi y p ices, and co up ion pe cep ion index (CPI). Fo he p ocess o agg ega ion and iden i ica ion
o mac o ac o s, his s udy uses P incipal Componen Analysis (PCA). The popula ion s udied we e publicly
lis ed companies on he IDX since Oc obe 2004 (299 companies) wi h a sample size o 157 companies. The
obse a ion pe iod is 205 mon hs: 120 mon hs o he p esidency o Susilo Bambang Yudhoyono (SBY) and 85
mon hs o he p esidency o Joko Widodo (JKW). The esea ch design used he explana o y s udy me hod.
The esea ch model was analyzed using panel da a eg ession. The esul s iden i ied se en mac o ac o ag-
g ega es om 41 indica o s s udied: global index, mac o economy, wo ld oil p ices, China index, A abia index,
in la ion, and compe i i e esou ces. The e was a simul aneous e ec o mac o ac o s on s ock pe o mance
du ing he p esidency o SBY and JKW. Pa ially, s ock e u ns du ing he SBY e a we e posi i ely in luenced by
he global index, wo ld oil p ices, he China index, he A abian index, and in la ion and nega i ely in luenced
by he mac oeconomy. Meanwhile, du ing he JKW pe iod, e u ns we e posi i ely in luenced by he global,
China, and A abia indexes and in la ion.
1. In oduc ion1. In oduc ion
Technological ad ances in he Indus ial Re olu-
ion 4.0 posi i ely impac he p og ess o he Indo-
nesian capi al ma ke . The de elopmen o inancial
echnology ( in ech) se ices will p o ide e iciency
and con enience o hose who wan o in es in
he capi al ma ke . This condi ion has an impac on
inc easing public in e es in in es ing in he capi al
ma ke . In es men decisions a e closely ela ed o
e u ns and isks. Re u n and isk a e na u al condi-
ions aced by in es o s in making in es men deci-
sions. To educe in es men isk, in es o s need o
be amilia wi h a ious ypes o in es men isks.
One ype o in es men isk ha can a ec all s ocks
is sys ema ic isk o isk ha canno be di e si ied.
Some examples o sys ema ic isk included in mac-
oeconomic ac o s a e in la ion and in e es a es
(Nguyen e al., 2022).
One o he o he mac o ac o s ha in luence
s ock pe o mance is go e nmen policy (Samsul,
2015). Go e nmen policy decisions signi ican ly
The Impac o he Las Two P esiden ial Pe iods on
he Pe o mance o he Indonesia S ock Exchanges:
An App oach o A bi age P icing Theo y
ABSTRACT
C10, C38, G10.
KEY WORDS:
JEL Classi ica ion:
S ock Pe o mance, S ock Re u ns, Mac o Fac o s, P esiden 's Te m, A bi age P icing Theo y.
Sangga Buana Uni e si y, Indonesia
Co espondence conce ning his a icle should be add essed o:
E na Ga nia,
Jl. Khp Hasan Mus opa No.68, Ciku a, Kec. Cibeuny-
ing Kidul, Ko a Bandung, Jawa Ba a 40124, Indonesia.
E-mail: e na.ga [email protected]
E na Ga nia , Deden Rizal Riadi , T Tahma , and Ida Ma ga e a Nainggolan
P ima y submission: 10.01.2023 | Final accep ance: 05.11.2023
302
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
a ec he economy's s uc u e and impac inancial
ma ke s (Nasu ion, 2020). Risks ha occu in ce -
ain coun ies due o un o eseen e en s and policy
changes in ha coun y. Unce ain y abou he im-
pac o go e nmen policies has an e ec on uns a-
ble economic condi ions (Si ega & Diana, 2019).
This condi ion can be analyzed in Indonesia's las
wo p esiden ial pe iods, du ing he inancial c i-
sis o 2007-2010 (SBY's p esidency) and du ing he
Co id-19 pandemic (Jokowi's p esidency).
A bi age P icing Theo y (APT) is based on he
p inciple o he law o one p ice, o i can be con-
side ed ha secu i ies wi h he same cha ac e is ics
canno be alued a di e en p ices (Husnan, 2015).
A bi age P icing Theo y (APT) explains ha he e
a e ce ain ac o s ha a ec he e u n o a s ock.
The possibili y o in luencing ac o s is mo e han
one, bu his heo y does no explain wha ac-
o s a ec he o ma ion o secu i y p ices. The e
a e many speci ic ac o s ha a ec he e u n o a
s ock. This esea ch o igina ed om he phenom-
enon o p oblems due o he empi ical gap, whe e
he ac o s ha a ec s ock e u ns wi h di e en
economic condi ions a e no comple ely explained
and a e also in luenced by decision-making ela ed
o he economic policies unde lying he capi al
ma ke , especially in Indonesia. Va ious s udies
on he applica ion o APT show di e en esul s
in in luencing s ock pe o mance. Resea ch on he
in luence o mac o ac o s on s ock pe o mance is
shown in Table 1. The esul s show ha inconsis-
encies in mac o ac o s a ec s ock pe o mance.
Resea ch conduc ed by Ok a ina (2016) ela ed
o he in luence o se e al global s ock indexes and
mac oeconomic indica o s on he mo emen o
he IHSG was d i en by he inancial c isis ha oc-
cu ed in he USA in 2007. A e he inancial c isis,
he Junio Chambe In e na ional (JCI) su e ed a
dec ease and also caused he collapse o he Dow
Jones index. This economic condi ion a ec ed all
coun ies, including Indonesia. The esul s showed
ha he global index a ec s he mo emen o he
JCI. This is in line wi h esea ch by Rian ani and
Tambunan (2013), which s a es ha he global in-
dex signi ican ly a ec s s ock e u ns. Howe e , in
he esea ch o Zik i e al. (2020), he e a e se e al
o eign s ock indexes (FTSE Index, Hang Seng In-
dex, S ai Times Index) ha ha e no e ec on he
JCI.
Acco ding o Fadah e al. (2018), oil p ices ha e
no e ec on s ock indexes in he mining sec o
and consume goods indus y sec o s. This could
be caused by o he unexamined ac o s, such as a
dec ease in coal expo s du ing he s udy pe iod o
he elec ion, and Wo ld Cup in 2014, which ga e
posi i e sen imen o he consume goods indus-
y sec o . This esea ch is in line wi h he esul s
o esea ch by Muba ok e al. (2014) ha wo ld oil
p ices ha e no signi ican e ec on s ock e u ns in
he plan a ion sub-sec o . Howe e , hese esul s
a e in e sely ela ed o esea ch on he basic and
chemical indus y sec o , miscellaneous indus y
sec o , p ope y and eal es a e sec o and in a-
s uc u e, u ili ies, and anspo a ion sec o .
Resea ch on he e ec o exchange a es on s ock
e u ns has been widely p ac iced on he IDX. Fa-
dah e al. (2018), Mus a a (2017), Djamaluddin and
Hosea (2021), Susan and Wina o (2021), and Sa-
pu i e al. (2020) conduc ed esea ch on di e en
sec o s bu wi h he same esea ch esul s by show-
ing ha exchange a es ha e a signi ican nega i e
e ec . These esul s align wi h esea ch by Habib
and Islam (2017) on he Islamic S ock Ma ke in
India, which showed ha he exchange a e (USD/
INR) a ec s s ock e u ns. This esul is in e sely
p opo ional o Ali's esea ch (2014). The esul s
o his s udy show ha he exchange a e posi i ely
a ec s he Jaka a Islamic Index (JII). This esul
can be caused because he upiah exchange a e has
inc eased. The e o e, in es o s will y o exchange
o eign cu ency o a upiah and in es i in s ocks.
This condi ion can inc ease s ock p ices and in-
c ease he s ock ma ke .
Resea ch ela ed o he e ec o in la ion on s ock
e u ns has been widely conduc ed on he IDX. Fa-
dah e al. (2018) and Mus a a (2017) s udied he
manu ac u ing sec o wi h di e en da a pe iods
bu wi h he same esea ch esul s, which showed
ha in la ion has a signi ican nega i e e ec . In la-
ion causes an inc ease in he p ice o goods and
se ices. The indus y ha uses aw ma e ials has
expe ienced a dec ease in p o i s due o an inc ease
in he p ice o aw ma e ials, and he indus y can-
no di ec ly inc ease he cos o goods. The decline
www.ce. izja.pl
303
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
in p o i s is esponded o by in es o s wi h changes
in s ock p ices. This esea ch is in con as o Ali's
esea ch (2014). The esul s showed ha he in la-
ion a e posi i ely a ec s he JII. This condi ion
will educe he eal alue o he upiah and a ec
he exchange a e agains he dolla , o he upiah
dep ecia es.
Acco ding o he Financial Se ices Au ho i y
(OJK), go e nmen policies can a ec s ock p ices
e en hough he policies a e s ill in he discou se
s age and ha e no been ealized. Many examples
o go e nmen policies cause s ock p ice ola ili y,
such as expo and impo policies, co po a e poli-
cies, deb policies, and o eign in es men policies.
In addi ion, s ock e u ns a e in luenced by mac o
and mic oeconomic ac o s (Samsul, 2015). This
is suppo ed by esea ch conduc ed by Wibowo
(2017), ha in es o s in he capi al ma ke e-
sponded o he Jokowi-JK Phase I economic policy
package as good news. This condi ion can be ep-
esen ed by a signi ican posi i e abno mal e u n
when he economic policy is published. In line wi h
his esea ch, he announcemen o Jokowi's cabi-
ne in 2014 was umo ed o a ec he Indonesian
capi al ma ke . Then, he phenomenon is called he
“Jokowi E ec ”. The esul s o his s udy indica e
ha he 2014 Jokowi Wo king Cabine announce-
men e en a ec s he JCI (Hidayah, 2018).
The u gency o his esea ch is he inconsis ency
o in o ma ion on ac o s ha a ec s ock e u ns
wi h di e en economic condi ions du ing he las
wo p esidencies. Resea ch on economic policy
decision-making ha can a ec s ock e u ns is s ill
ela i ely limi ed. Cu en ly, Masulili and Sinaga
(2017) s udied he in luence o economic and poli -
ical a iables on s ock e u ns in he elecommuni-
ca ions, eal es a e, and cons uc ion indus ies by
compa ing he SBY adminis a ion pe iod (2009-
Oc 2014) wi h he Jokowi adminis a ion pe iod
(No 2014 - Jun 2017).
Se e al s udies ha e examined he agg ega e ac-
o pe spec i e ega ding many ac o s ha a ec
s ock e u ns in empi ical s udies o A bi age P ic-
ing Theo y. Da ma (2020) examined he abili y o
he mul i- ac o APT model o desc ibe he ela-
ionship be ween he expec ed e u n o he LQ45
s ock po olio and sys ema ic isk in he Indone-
sian capi al ma ke . The s udy used 13 mac oeco-
nomic a iables ha we e educed wi h P incipal
Componen Analysis (PCA) o ob ain a iables o
USD exchange a e, in la ion, and ma ke isk us-
ing he LQ45 p oxy. Simila esea ch was also con-
duc ed by Ga nia (2021), ega ding he impac o
mac oeconomic ac o s on he pe o mance o he
Indonesian Islamic s ock ma ke using he APT
app oach. Ga nia (2021) simpli ied 8 (eigh ) mac-
oeconomic ac o s in o 2 ( wo) ac o s, namely
egional ac o s and global ac o s, using P incipal
Componen Analysis (PCA). Based on his back-
g ound, i is necessa y o in es iga e mo e speci i-
cally, he impac o go e nmen policies om wo
di e en p esiden ial leade ship pe iods on he
Islamic s ock ma ke in Indonesia using he APT
app oach.
2. Li e a u e Re iew and Hypo hesis 2. Li e a u e Re iew and Hypo hesis
De elopmen De elopmen
2.1. Li e a u e Re iew
• A bi age P icing Theo y (APT)
Empi ical esea ch ela ed o s ock e u ns has
been ca ied ou wi h a ious app oaches. O hese
many s udies, A bi age P icing Theo y (APT) is an
app oach o en used o explain s ock e u ns (Ross
in Husnan, 2015). Howe e , his heo y has no
speci ically con i med wha mac o ac o s a ec s ock
e u ns. Many esea che s using he APT app oach
a e s ill conduc ing esea ch on mac o ac o s as a
de e minan o s ock e u ns.
• S ock Index Re u n (Y)
S ock index e u n is he esul ob ained om he
p o i o an in es men in a ce ain pe iod (Dewi
& Vijaya 2018). Capi al gain occu s i he cu en
in es men p ice is highe han he p e ious pe iod's
in es men p ice. O he wise, a capi al loss occu s
i he in es men p ice is lowe han he in es men
p ice o he p e ious pe iod.
• Go e nmen Leade ship Pe iod (D)
The go e nmen leade ship pe iod is he abili y o
skill o a leade o in luence o he people in o de o
achie e go e nmen goals a a speci ic ime (Muslim
& Ha iya i in Nas, 2015). The command leade ship
pe iod can a ec s ock pe o mance by making
go e nmen policy decisions ha signi ican ly a ec
304
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
he economy's s uc u e and impac inancial ma ke s
(Nasu ion, 2020).
• Ma ke Index Re u n (x1 o x23)
The ma ke e u n is he le el o p o i in he
ma ke . The e o e, o ge he maximum p o i , i
would be p e e able o know he condi ions in he
ma ke by using he ma ke index (Waski o and
Fi ia in Jamil, 2018). Fo companies ha ca y ou
in e na ional ade o impo -expo ac i i ies, he
economic condi ions o coun e pa y coun ies
(expo des ina ion coun ies o impo o igin
coun ies) signi ican ly a ec issue s' pe o mance in
he u u e.
• Exchange Ra e (x24 o x29)
The exchange a e is he p ice o cu ency owned
by a coun y assessed by ano he coun y. In his case,
he p ice is he amoun o money ha mus be spen .
The cu ency's alue can be cons an o change o be
mo e expensi e o cheape depending on he amoun
o demand and supply o he cu ency (Pujiwa i
e al in Sapu i e al., 2020). Fo o eign in es o s,
in es men oppo uni ies in in e na ional capi al
ma ke s need o pay a en ion o he ac o o changes
in o eign exchange a es. This ac o does no need o
be conside ed o domes ic in es o s.
• Re e ence In e es Ra e (x30 o x32)
The e e ence in e es a e is he p ice o using
in es men unds (loanable unds). The in e es a e
is one o he indica o s in de e mining an indi idual
o in es o sa e (Boediono in Sapu i e al., 2020).
A high-in e es a e will ce ainly a ec in es o s'
alloca ion o in es men unds. In es men in bank
p oduc s such as deposi s o sa ings is less isky han
in es ing in s ocks.
• C ude Oil P ice (x33)
Commodi ies as a means o in es men will a ec
p ices in he capi al ma ke . Oil p ice changes can
a ec he mac oeconomy and s ock p ices (Koh, 2017).
Pe oleum is a commodi y ha has an impo an ole
in he Indonesian economy. The ise in oil p ices led
o an inc ease in uel oil (BBM) p ices in Indonesia
(Kwanda e al in Fadah e al., 2018). In he economic
cycle, almos all aspec s o economic ac i i y equi e
ene gy o uel oil o ope a e p oduc ion machines,
p oduce elec ical ene gy, and anspo a ion ehicles
o alloca e goods and se ices.
• B en Oil Fu u es P ice (x34)
B en c ude oil u u es p ice is he main ading
classi ica ion p ice o c ude oil, which is he p ima y
benchma k o oil pu chase p ices wo ldwide (Kwanda
e al in Fadah e al., 2018). When he e a e luc ua ions
in wo ld c ude oil p ices, i will impac changes in uel
p ices in Indonesia because hey ollow wo ld c ude
oil p ices.
• Commodi y P ices (x35 o x36)
Commodi y p ices a e he p ices o goods o
ma e ials ha ha e economic alue o e ed o
p o ided by p oduce s o mee consume demand
(Al ed Pakasi in Ma ono, 2010). One impo an
commodi y ha is conside ed o in luence s ock p ices
is gold. Cu en ly, many in es o s choose o in es in
he mining sec o , especially gold (Hung, 2021; Na h
e al., 2019). Gold is a global cu ency wi h uni e sally
ecognized alue.
• G oss Domes ic P oduc (GDP) (x37)
G oss Domes ic P oduc (GDP) is he o al income
gene a ed by own ci izens and o eign ci izens om
all goods and se ices in a coun y (Hasyim in Sapu i
e al., 2020). The a e age income o a coun y's people
can be seen om he o al GDP. The e o e, GDP
is an indica o o de e mine he le el o economic
p ospe i y o a coun y (Kanjilal & Ghosh, 2021).
A highe GDP alue can a ec he p ospe i y o i s
ci izens. When people a e mo e p ospe -ous, he e
is mo e money ci cula ing in socie y which causes
he le el o con-sump ion o inc ease. Inc eased
consump ion will cause in es men o decline, leading
o a dec ease in he le el o in es men . This condi ion
will educe s ock p ices which in u n will educe
s ock e u ns.
• M1 (x38)
M1 is a mo e es ic i e meaning o JUB held by
he public and consis s o bankno es and cu ency
plus demand deposi s (Zunai in e al., 2017). The
money supply (M1) p o ides a measu e o he le el
o liquidi y o economic ac i i y and p o ides an
indica o ha any changes in he money supply will
a ec in es o s' in es men decisions.
• M2 (x39)
M2 is he amoun o money in ci cula ion in he
b oad meaning o M1 and quasi-money (sa ings
and ime deposi s) in comme cial banks (Zunai in
e al., 2017). An inc ease in he demand o money
will cause in e es a es o inc ease. In es men in
www.ce. izja.pl
305
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
secu i ies when in e es a es inc ease will a ec he
loss o capi al gains which will also ha e an impac on
he decline in s ock e u ns.
• In la ion (x40)
In la ion is a condi ion o inc easing p ices in
gene al. In la ion is also a condi ion o con inuous
dec ease in he alue o money because he inc ease
in he amoun o money in ci cula ion is no balanced
by he inc ease in he amoun o goods o e ed
(Se yaning um and Muljono in Sapu i e al., 2020)
. The in la ion a e can ha e a posi i e o nega i e
impac depending on he in la ion a e i sel . Excessi e
in la ion can ha m he economy in gene al, which
means ha many companies will become bank up .
This means ha high in la ion will d op s ock p ices
in he ma ke . Ve y low in la ion will esul in e y
slow economic g ow h, which will cause s ock p ices
o mo e slowly as well (Pé u sson, 2022).
• Co up ion Pe cep ion Index (x41)
The co up ion pe cep ions index (CPI) is
calcula ed based on expe assessmen s and opinion
su eys. The co up ion pe cep ions index anks 180
coun ies wo ldwide based on hei pe cei ed le el
o public sec o co up ion in public and poli ical
posi ions. The Co up ion Pe cep ion Index uses a
scale o 0 (high co up ion) o 100 (low co up ion).
The e o e, a highe co up ion pe cep ion sco e o
a coun y can lead o lowe co up ion (Co up ion
Educa ion Cen e , 2022). Due o he ex en o
co up ion, in es o s ha e become a aid o in es and
sa e less in he capi al ma ke , which is indica ed by
he ine iciency o he capi al ma ke .
2.2. P e ious Resea ch
Va ious s udies on he applica ion o APT show
di e en esul s in in luencing s ock pe o mance.
Table 1 shows he esea ch esul s on he in luence
o mac o ac o s on s ock pe o mance. The esul s
o his s udy indica e ha he inconsis ency o
mac o ac o s ha a ec s ock pe o mance.
2.3. Hypo hesis De elopmen
Based on he amewo k and p e ious empi ical
s udies, he hypo heses p oposed in his s udy a e
as ollows:
Hypo hesis 1: Economic and non-economic
mac o ac o s a ec he pe o mance o he
Indonesia S ock Exchange du ing he las wo
p esiden ial pe iods using he A bi age P icing
Theo y app oach.
Hypo hesis 2: The e a e di e ences in he
in luence o economic and non-economic mac o
ac o s on he pe o mance o he Indonesia S ock
Exchange du ing he las wo p esiden ial pe iods.
2.4. Resea ch Model
Based on he heo y and p e ious empi ical
s udies, he e ec o each independen a iable
on he dependen a iable can be desc ibed in a
pa adigm model, as shown in Figu e 1.
3. Me hodology 3. Me hodology
3.1. Type o Resea ch
This esea ch design uses an explana o y s udy
me hod ha aims o explain and es hypo heses
abou he causal ela ionship be ween a iables
(Sugiyono, 2018).
3.2. Popula ion and Resea ch Sample
3.2.1. Popula ion
The a ge popula ion in his s udy a e all public
companies lis ed on he Indonesia S ock Exchange
since he Oc obe 2004 pe iod, consis ing o 299
companies ou o a o al o 753 companies lis ed on
he Indonesia S ock Exchange as o 2021.
3.2.2. Resea ch Sample
The esea ch sample is 157 public companies
lis ed on he Indonesia S ock Exchange du ing he
obse a ion pe iod ha ha e comple e da a. The ob-
se ed pe iod is Oc obe 2004 - Oc obe 2021 (205
mon hs), which is di ided in o he pe iod Oc obe
2004 - Sep embe 2014 (120 mon hs) o he Susilo
Bambang Yudhoyono (SBY) p esidency and he pe-
iod Oc obe 2014 - Oc obe 2021 (85 mon hs) o
he Joko Widodo (JKW) p esidency. The sampling
me hod used is con enience sampling by he a ail-
abili y o he equi ed esea ch da a. The da a used
in measu ing esea ch a iables is seconda y da a
in he o m o panel da a (pooled da a), which is
a combina ion o c oss-sec ional (be ween compa-
nies) and ime se ies (be ween mon hs).
306
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
3.2.3. Me hod o Collec ing Da a
The da a collec ion echnique used is seconda y
da a documen a ion (Sugiyono, 2018). Documen a-
ion o his s udies we e conduc ed on he Indonesia
S ock Exchange, he Cen al S a is ics Agency (BPS),
Bank Indonesia (BI), Web In es ing, and he Minis y
o T ade websi e.
3.2.3. Resea ch Me hod F amewo k
The amewo k me hod in his s udy can be seen
in Figu e 2. The ela ionship be ween he a iables is
as ollows:
• PC1 (Global Index) s S ock Index Re u n (Y)
Fo companies ha ca y ou in e na ional ade o
expo and impo ac i i ies, he economic condi ions
o coun e pa coun ies (expo des ina ion coun ies
o impo o igin coun ies) signi ican ly a ec issue s'
pe o mance in he u u e (Samsul, 2015). The ela-
ionship be ween ma ke index e u ns and s ock in-
dex e u n is posi i e.
• PC2 (Mac oeconomics) s S ock Index Re u n
(Y)
(a) Exchange Ra e s S ock Index Re u n
When he o eign exchange a e becomes highe
agains he domes ic cu ency, he alue o he do-
mes ic cu ency will dep ecia e o dec ease. This con-
di ion causes he o ex ma ke o be mo e p o i able
han he s ock ma ke . Fo in es o s, he o ex ma ke
will be mo e a ac i e and esul in a dec ease in s ock
e u ns. The e o e, i can be concluded ha he e is
an in luence be ween exchange a es on s ock e u ns
(Husnan, 2015). The ela ionship be ween exchange
a e and s ock index e u n is nega i e.
(b) Re e ence In e es Ra e s S ock Index Re-
u n
The inancial sec o in e es a e commonly used
as a guide o in es o s is he isk- ee in e es a e,
which includes he cen al bank in e es a e and he
deposi in e es a e. In addi ion, high-in e es a es
will impac he alloca ion o in es o s' in es men
unds. In es ing in bank p oduc s such as deposi s o
sa ings is less isky han in es ing in s ocks. The e-
o e, in es o s will sell hei sha es and deposi hei
unds in he bank. Simul aneous s ock sales will sig-
ni ican ly dec ease in p ices (Samsul, 2015). The e-
la ionship be ween e e ence in e es a e and s ock
index e u n is nega i e.
(c) G oss Domes ic P oduc (GDP) s S ock
Index Re u n
The inc easing alue o GDP indica es ha people
a e inc easingly p ospe ous. When people a e mo e
p ospe ous, he e ends o be mo e money in he dis-
ibu ion o socie y, leading o an inc ease in consump-
ion. Inc eased consump ion will cause in es men o
dec ease, which will educe s ock p ices and educe
s ock e u ns (Chasanah, 2018). The ela ionship be-
ween GDP and s ock index e u n is nega i e.
(d) M1 s S ock Index Re u n
The a iable money supply (M1) p o ides a mea-
su e o he le el o economic ac i i y liquidi y. Money
supply indica es ha any change in he money supply
will a ec in es o s' in es men decisions (He iyan o &
Chen, 2014). The ela ionship be ween M1 and s ock
index e u n is nega i e.
(e) M2 s S ock Index Re u n
Inc eased demand o money will inc ease in e es
a es. When in e es a es inc ease, in es men in secu-
i ies causes capi al gain losses and lowe s ock e u ns
(Awaludin & Khai unnisa, 2020). The ela ionship be-
ween M2 and s ock index e u ns is nega i e.
( ) Co up ion Pe cep ion Index s S ock In-
dex Re u n
The go e nmen , ci il socie y, and business people
wo k oge he o p e en and e adica e co up ion and
inc ease in es o con idence wi h exis ing company
da a. This coope a ion is suppo ed by he esea ch
o Budiman (2015). In his s udy, he illiquidi y o he
s ock ma ke in Nige ia caused by he amoun o co -
up ion makes in es o s a aid o in es and sa e li le
in he s ock ma ke , which is shown h ough capi al
ma ke ine iciency (Budiman, 2015). The ela ionship
be ween CPI and s ock index e u n is nega i e.
g) Commodi y P ices s S ock Index Re u n
The mos impo an commodi y ha is widely
conside ed o in luence s ock p ices. Many in es o s
choose o in es in he mining sec o , especially gold.
Gold is a global cu ency wi h uni e sally ecognized
alue. Gold has a s able and s anda dized in in-
sic alue, which allows i o be pu chased and lique-
ied anywhe e. Gold is no a ec ed by in la ion (ze o
in la ion). The e o e, he p ice o gold always ollows
he mo emen o in la ion. The inc ease in gold p ices
will cause in es o s o be mo e in e es ed in in es ing
in gold a he han s ocks. This si ua ion makes he
www.ce. izja.pl
307
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
JCI dec ease because in es o s will sell hei sha es
and swi ch o gold in es men s (Sa ika, 2017). The e-
o e, he p ice o gold will nega i ely a ec he s ock
p ice index (Mahend a e al., 2022). The ela ionship
be ween commodi y p ices and s ock index e u n is
nega i e.
• PC3 (Wo ld Oil P ices) s S ock Index Re u n (Y)
(a) C ude Oil P ices s S ock Index Re u n
When c ude oil p oduc ion becomes excessi e while
he oil demand educes, his leads o a p ice decline.
This condi ion is explained by he la ge a ailabili y o
oil supplies in he ma ke and con e sely (Tinambu-
nan, 2019). The ela ionship be ween c ude oil p ice
and s ock index e u n is posi i e.
(b) B en Oil Fu u es P ices s S ock Index Re-
u n
Gene ally, an inc ease in oil p ices will lead o an
inc ease in he sha e p ice o he mining sec o . This
condi ion caused by he inc ease in oil p ices will en-
cou age he inc ease o mining ma e ials in gene al.
The e o e, i could lead o an inc ease in he p o i s
o mining sec o companies. An inc ease in he sha e
p ice o hese mining companies would ha e a di ec
impac on he JCI. The ela ionship be ween b en oil
u u es p ice and s ock index e u n is posi i e.
• PC4 (China Index) s S ock Index Re u n (Y)
China is he second de eloping coun y wi h excel-
len capi al ma ke p og ess. The economic sys em ha
has changed om a closed (communis economic sys-
em) o an open economic sys em (F ee Ma ke ) has
b ough China o he golden ga e o p ospe i y. The
combina ion o he communis poli ical and ma ke
economy sys ems has made China a e y low-p ice
p oduce . China is eady o compe e in in e na ional
ade in he e a o globaliza ion. The p og ess o China
is also in luenced by poli ical s abili y, he implemen-
a ion o egional au onomy, and he implemen a ion
o he na ional ading sys em on i s s ock exchange
(Samsul, 2015). The ela ionship be ween he China
Index and he s ock index e u n is posi i e.
• PC5 (A abia Index) s S ock Index Re u n (Y)
Se e al coun ies wi h majo i y muslim popula ions
ha e been using capi al ma ke s o de elop hei econo-
mies o a long ime. The implemen a ion o ading in
se e al Islamic coun ies is egula ed in di e en ways.
I an o ganizes ading hou s only be ween 09:00 and
12:00 on Sa u days h ough Wednesdays. Kuwai o ga-
nizes ading om 07:00 o 14:30 on Sa u day, Wednes-
day, Thu sday, and F iday. T ading hou s and days a e
egula ed o educe in es o ension in he ace o p ice
luc ua ions. In addi ion, his egula ion also educes
he isk aced by in es o s, which is common in coun-
ies ha do no ollow Islamic ules. Examples o se -
e al Islamic coun ies a e Bah ain, Bangladesh, Egyp ,
Indonesia, I an, Malaysia, Pakis an, Saudi A abia, Ku-
wai , Oman, Lebanon and Tu key (Samsul, 2015). The
ela ionship be ween he A abia index and s ock index
e u n is posi i e.
• PC6 (In la ion) s S ock Index Re u n (Y)
The in la ion a e can ha e a posi i e o nega i e e -
ec depending on he ac ual in la ion a e. Excessi e
in la ion can damage he en i e economy because many
companies will go bank up . This means ha high in-
la ion will b ing down s ock p ices in he ma ke . Mea-
ge in la ion will esul in p olonged economic g ow h,
which causes s ock p ices o mo e slowly (Samsul,
2015). The ela ionship be ween in la ion and s ock in-
dex e u n is posi i e o nega i e.
• .PC7 (Compe i i e Resou ces) s S ock Index Re-
u n (Y)
Nickel is one o he mos impo an mining ma e i-
als because i is necessa y o many indus ies, such as
he s ainless-s eel indus y, ba e ies, alloys, and me al
pla ing. Indonesia is he wo ld's la ges p oduce o
nickel. Acco ding o da a om he Uni ed S a es Geo-
logical Su ey (USGS), Indonesia's nickel p oduc ion
eached 1 million me ic ons in 2021, o 37.04% o he
wo ld's nickel is in Indonesia. The ela ionship be ween
compe i i e esou ces and s ock index e u n is posi-
i e.
4. Resul s4. Resul s
4.1. P inciple Componen Analysis (PCA)
Based on he P incipal Componen Analysis
(PCA) esul s, he 41 mac o ac o s ha will be in-
es iga ed o hei in luence on S ock Re u ns as a
p oxy o IDX pe o mance a e educed o 7 p in-
cipal componen s (as an agg ega e o mac o ac-
o s). Re e ing o he Ro a ed Componen Ma ix
esul s, he se en p incipal componen s we e iden-
i ied as Global Re u n Index (PC1 as X1), Mac o-
economics (PC2 as X2), Wo ld Oil P ice (PC3 as
X3), China Re u n Index (PC4 as X4), Saudi Re-
308
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
u n Index (PC5 as X5), In la ion (PC6 as X6), and
Compe i i eness (PC7 as X7). The cha ac e is ics o
each main componen on which he iden i ica ion
is based can be seen in Table 2.
4.2. Da a Reg ession Selec ion Panel
Based on he esul s o he eg ession analysis, he
eg ession coe icien s o he model o he in luence
o mac o ac o s on s ock e u ns in he SBY pe i-
od, as well as in he JKW pe iod (bo h in he an-
dom e ec model), can be seen in Table 3 pa s (a)
and (b). In SBY's model, he di ec ion o in luence
o he global index, wo ld oil p ices, China's index,
A ab index, in la ion, and compe i i e esou ces
a e posi i e; whe eas in mac oeconomics i is nega-
i e. S ock e u ns inc eased in line wi h inc eases in
global indices, wo ld oil p ices, China indexes, A ab
indices, in la ion, and compe i i e esou ces; and in
line wi h he mac oeconomic down u n. Meanwhile,
in he JKW model, he di ec ion o in luence o he
global index, China index, A ab index, in la ion, and
compe i i eness is posi i e; while mac oeconomi-
cally and wo ld oil p ices a e nega i e. S ock e u ns
inc eased in line wi h he inc ease in global indices,
Chinese index, A ab index, in la ion, and compe i-
i eness; and in line wi h he decline in he mac o-
economic and wo ld oil p ices.
The magni ude o he in luence o mac o ac o s
simul aneously on s ock e u ns o he SBY pe iod
is 6.51% (Adjus ed R2) wi h an F-s a is ic alue =
188.52 (p < 0.001), while o he JKW pe iod i is
3.92% wi h F = 78.83 (p < 0.001). Re e ing o he
mul iple co ela ion coe icien s, namely R = 0.255
and 0.200 o each model (ob ained om he oo o
Adjus ed R2), i shows ha he simul aneous e ec
o all he ac o s s udied is ela i ely weak, while R
is be ween 0.20 - 0.40 (Machali, 2018), bo h o he
SBY and JKW pe iods. The p < 0.001 o each model
shows ha he global index, mac oeconomics, wo ld
oil p ices, China index, A ab index, in la ion, and
compe i i eness simul aneously ha e a signi ican
e ec on s ock e u ns, bo h o he SBY and JKW
pe iods.
In he SBY model, Table 3 pa (a) shows ha
he global index (X1), mac o economy (X2), wo ld
oil p ices (X3), China index (X4), A ab index (X5),
and in la ion (X6) pa ially signi ican e ec on s ock
e u ns (Y1); bu esou ce compe i i eness (X7) has
no signi ican e ec . While in he JKW model, Table
3 pa (b) shows ha he global index (X1), China
index (X4), A ab index (X5) and in la ion (X6) pa -
ially ha e a signi ican e ec on s ock e u ns (Y2);
while mac oeconomics (X2), wo ld oil p ices (X3),
and compe i i e esou ces (X7) ha e no signi ican
e ec .
The esul s o he eg ession analysis on he di e -
en e ec s o mac o ac o s on s ock pe o mance in
he las wo p esidencies (in he andom e ec s mod-
el) can be seen in Table 3 pa (c). The magni ude o
he e ec o mac o ac o s simul aneously on s ock
e u ns du ing he SBY and JKW pe iods was 5.84%
(Adjus ed R2) wi h F = 134.01 (p < 0.001). Re e ing
o he alue o R = 0.242, i shows ha he simul ane-
ous e ec o all he ac o s s udied is ela i ely weak.
I was ound ha mac o ac o s had a signi ican si-
mul aneous e ec on s ock e u ns.
I was ound ha he e was no pa ial signi ican
di e ence be ween he JKW and SBY pe iods (D.X1).
O e all, he able shows ha he e is no di e ence in
he e ec o he global index (D.X1), mac o economy
(D.X2), China index (D.X4), A ab index (D.X5), and
compe i i eness (D.X4), (D.X7); howe e , he e is a
signi ican di e ence in he e ec o wo ld oil p ices
(D.X3) and in la ion (D.X6). The di e ence in he e -
ec o wo ld oil p ices in he SBY and JKW pe iods,
he inc ease in wo ld oil p ices in he JKW pe iod
ends no o a ec changes in s ock e u ns, in con-
as o he SBY pe iod, which is ollowed by an in-
c ease in s ock e u ns. While he di e ence in he
e ec o in la ion in he SBY and JKW pe iods, he
inc ease in in la ion in he JKW pe iod ends o be
ollowed by an inc ease in s ock e u ns, bu wi h a
smalle inc ease in s ock e u ns compa ed o he
SBY pe iod.
5. Discussion5. Discussion
5.1. The E ec o Mac o Fac o s on S ock Re-
u ns in he Las Two P esidencies
The indings o his s udy p o e ha he A bi-
age P icing Theo y app oach can be used o ex-
plain di e ences in s ock pe o mance based on
di e ences in he ac o s ha in luence i , as also
s a ed by Samuel (2015). The esea ch indings also
www.ce. izja.pl
315
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
Sya i , M. M., & Asandimi a, N. (2015). The in lu-
ence o mac oeconomic indica o s and global
ac o s on he composi e s ock p ice index (JCI).
Compe ence: Jou nal o Managemen S udies, 9(2),
142–156.
Tinambunan, T. A. (2019). The e ec o wo ld gold
p ice, wo ld c ude oil p ice, SSEC index and TASI
index on JCI o he pe iod 2012-2016. h ps:// e-
posi o i.usu.ac.id/handle/123456789/24224
U ama, I. W. A. B., & A ini, L. G. S. (2015). The e ec
o he wo ld s ock exchange index on he Indo-
nesia s ock exchange composi e s ock p ice index.
Jou nal o Managemen , Business S a egy And En-
ep eneu ship, 9(1), 65–73.
Wibowo, A. (2017). The Reac ion o Indonesian Ca-
pi al Ma ke In es o s o he Jokowi-JK Phase I
Economic Policy Package (S udy on LQ 45 S ocks
o he Pe iod Augus 2015 – Feb ua y 2016). Me-
dia Economics And Managemen , 32(1), 58–70.
h ps://doi.o g/10.24856/mem. 32i1.452
Wicaksono, I. S., & Yasa, G. W. (2017). E ec o ed
a e, dow jones index, Nikkei 225, Hang Seng on
he Composi e S ock P ice Index. E-Jou nal o Ac-
coun ing, 18(1), 358–385.
Wijayaningsih, R., Rahayu, S. M., & Sai i, M. (2016).
E ec o BI a e, FED a e, and Rupiah exchan-
ge a e on he composi e s ock p ice index (JCI)
(S udy on he Indonesia S ock Exchange Pe iod
2008-2015). Jou nal o Business Adminis a ion S1
Uni e si as B awijaya, 33(2), 69–75.
Wi adha ma, M. S., & Sudja ni, L. K. (2016). The e ec
o in e es a es, in la ion a es, Rupiah exchange
a es and GDP on s ock e u ns. E- Jou nal o Ma-
nagemen UNUD, 5(6), 3392–3420.
Zik i, M., De iawan, & Salim, F. (2020). The in luen-
ce o se e al global s ock indices and he dolla
exchange a e (USD) on he JCI on he IDX and
hei impac on he e u n on sha es o companies
in he consume goods indus y sec o . Ecobisman
Jou nal, 4(3), 210–228.
Zunai in, E., W, R. N., & P, F. W. (2017). The e ec
o e-money on in la ion in Indonesia. Jou nal o
Equilib ium, II(1), 18–23.
316
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
Table 1
Compa ison o Resea ch Resul s Rela ed o S ock Pe o mance
Resea che O he Ma ke Indices
s
JCI
Resea che O he Ma ke Indices
Vs
Re u nsha e
Anwa e al. (2018) Inconsis en Rian ani & Tambunan (2013) inconsis en
Mie & Agus ina (2014) No signi ican
U ama & A i (2015) Inconsis en
Suna o (2020) Inconsis en
Mu aki & Nu wulanda i
(2014)
Posi i e
Ha an io & Yusba dini
(2020)
Inconsis en
He iyan o & Chen
(2014)
Posi i e
As u i e al. (2013) Posi i e
Nangoi e al. (2022) Inconsis en
Adi ya e al. (2018) Inconsis en
Wicaksono & Yasa (2017) Inconsis en
Budiman (2015) Posi i e
Ok a ina (2016) Inconsis en
Zik i e al. (2020) Inconsis en
Resea che Re e ence In e es Ra e
s
JCI
Resea che Re e ence In e es Ra e
Vs
Re u nsha e
Sya i & Asandimi a (2015 No signi ican Rian ani & Tambunan (2013) Nega i e
Poe a & Cahyono Nega i e Desi ania (2021) Posi i e
As u i e al. (2013) Nega i e Wi adha ma & Sudja ni (2016) Posi i e
Adi ya e al. (2018) Nega i e Miyan i & Wiagus ini, (2018) Posi i e
Gojali e al. (2021) No signi ican Ma iningsih e al. (2019) Nega i e
Wicaksono & Yasa (2017) No signi ican Chasanah (2018) Nega i e
Wijayaningsih e al. (2016) Inconsis en Jaba & Cahyadi (2020) Nega i e
Mawa ni & Widiasma a
(2018)
No signi ican Awaludin & Khai unnisa (2020) No signi ican
Kalengkongan & Ra e
(2016)
No signi ican Augus ina (2020) No signi ican
Mahend a e al. (2022) No signi ican Hani ah & Wijaya (2018) Nega i e
Ok a ina (2016) No signi ican Lubis e al. (2020) Posi i e
Mus a a (2017) Nega i e Muba ok e al. (2014) Nega i e
Ali (2014) Nega i e Djamaluddin & Hosea (2021) Nega i e
Hidayah (2018) No signi ican Susan & Wina o (2021) Nega i e
Sapu i e al. (2020) No signi ican
Habib & Islam (2017) Nega i e
Appendix
www.ce. izja.pl
317
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
Table 1
Compa ison o Resea ch Resul s Rela ed o S ock Pe o mance (Con inued)
Resea che Exchange Ra e
s
JCI
Resea che Exchange Ra e
Vs
Re u nsha e
Sya i & Asandimi a (2015) Nega i e Rian ani & Tambunan (2013) Nega i e
Hidayah (2018) No signi ican Hu apea e al.(2014) Nega i e
Poe a & Cahyono (2016) No signi ican Desi ania (2021) Nega i e
Mu aki & Nu wulanda i
(2014)
Nega i e Wi adha ma & Sudja ni (2016) No signi ican
He iyan o & Chen (2014) Nega i e Chasanah (2018) Nega i e
As u i e al. (2013) Nega i e Awaludin & Khai unni (2020) No signi ican
Nangoi e al. (2022) No signi ican Augus ina (2020) Nega i e
Adi ya e al. (2018) Nega i e Jaba & Cahyadi (2020) Nega i e
Gojali e al. (2021) Nega i e Lubis e al. (2020) Nega i e
Mawa ni & Widiasma a
(2018)
Nega i e Muba ok e al. (2014) No signi ican
Wijayaningsih e al. (2016) Nega i e Djamaluddin & Hosea (2021) Nega i e
Kalengkongan & Ra e (2016) No signi ican Susan & Wina o (2021) Nega i e
Ok a ina (2016) Nega i e Sapu i e al. (2020) Nega i e
Zik i e al. (2020) Nega i e Habib & Islam (2017) Nega i e
Mus a a (2017) Nega i e
Ali (2014) Posi i e
Hidayah (2018) Nega i e
Resea che Commodi y P ice
s
JCI
Resea che Commodi y P ice
Vs
Re u nsha e
Nug aha & Pu e a (2021) Inconsis en Hu apea e al. (2014) Inconsis en
P as yo & Se ia i i (2018) Inconsis en Desi ania (2021) No signi ican
Sya i & Asandimi a (2015) Inconsis en Miyan i & Wiagus ini (2018)
Alian y (2016) No signi ican Augus ina (2020) No signi ican
Poe a & Cahyono (2016) No signi ican Muba ok e al. (2014)
Adi ya e al. (2018) No e ec
Mawa ni & Widiasma a
(2018)
No signi ican
Kalengkongan & Ra e (2016) Posi i e
Ok a ina (2016) Inconsis en
Budiman (2015) Posi i e
Mahend a e al. (2022) Posi i e
Fadah e al. (2018) Inconsis en
P as yo & Se ia i i (2018) Inconsis en
318
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
Table 1
Compa ison o Resea ch Resul s Rela ed o S ock Pe o mance (Con inued)
Resea che JUB
s
JCI
Resea che JUB
Vs
Re u nsha e
He iyan o & Chen(2014) No signi ican Awaludin & Khai unnisa (2020) Nega i e
Gojali e al. (2021) Posi i e Augus ina (2020) Posi i e
Habib & Islam (2017) No signi ican
Resea che In la ion
s
JCI
Resea che In la ion
Vs
Re u nsha e
Ok a ina (2016) No signi ican Muba ok e al. (2014) Nega i e
Mus a a (2017) Nega i e Djamaluddin & Hosea (2021) Nega i e
Ali (2014) Posi i e Susan & Wina o (2021) Nega i e
Hidayah (2018) No signi ican Sapu i e al. (2020) Nega i e
Habib & Islam (2017) No signi ican
Resea che Non-Economy
s
JCI
Resea che Non-Economy
Vs
Re u nsha e
Budiman (2015) No signi ican Masulili & Sinaga (2017) N/A
Hidayah (2018) Posi i e Muba ok e al. (2014) Nega i e
Wibowo (2017) Posi i e
E nawa i e al. (2019) Inconsis en
No e: *Junio Chambe In e na ional (JCI)
Sou ce: Da a p ocessed
Figu e 1
Resea ch Model
www.ce. izja.pl
319
The Impac o he Las Two P esiden ial Pe iods on he Pe o mance o he Indonesia S ock Exchanges: An App oach o A bi age P icing Theo y
This wo k is licensed unde a C ea i e Commons A ibu ion 4.0 In e na ional License.
Figu e 2
F amewo k Me hod
Table 2
Main Componen s o Mac o Agg ega e Fac o s A ec ing S ock Re u ns
Ag ega e Mac o Fac o s Fac o s
PCI: Global Index (17 ac o s) Dow Jones, S&P 500, Nasdaq, Nasdaq 100, NYSE, Composi e (US Index); Hang-
seng (Hongkong Index); Kospi 50, Kospi (Ko ean Index); FTSE Malaysia KLCI
(Malaysia Index); FTSE Singapo e, MSCI Singapo e (Singapo e Index); SET
(Thailand Index); Nikkei 225 (Japan Index); DAX, Eu o S oxx 50 (Ge many In-
dex); CAC 40 (F ance Index); FTSE England 100 (England Index)
PC2: Mac oeconomics (14 ac o s) Bank Indonesia (BI) Ra e, FED Ra e,Indonesia’s G oss Domes ic P oduc (GDP),
MI, M2, Co up ion Pe cep ion Index (CPI), Bond Yield, Gold P ices, US Ex-
change Ra e (US XR), Hongkong XR, Singapo e XR, Japan XR, China XR, Ma-
laysia XR
PC3: Wo ld Oil P ices (2 ac o s) C ude Oil P ices, B en Oil Fu u es
PC4: China Index (3 ac o s) SZSE Composi e, Shanghai, Composi e, FTSE China 50 (China Index)
PC5: A abia Index (3 ac o s) UAE ADX, AUE DFM (Uni ed A ab Emi a es Index); Tasi (Saudi A abia Index)
PC6: In la ion (1 ac o s) In la ion
PC7: Compe i e Resou ces (1
ac o s)
Nickel P ices
320
E na Ga nia , Deden Rizal Riadi , T Tahma , Ida Ma ga e a Nainggolan
10.5709/ce.1897-9254.539DOI: CONTEMPORARY ECONOMICS
Vol. 18 Issue 3 301-3202024
Table 3
The E ec o Mac o Fac o s on S ock Re u ns Du ing he SBY and JKW Pe iods
Coe icien
SBY p esidency JKW p esidency SBY_ JKW p esidency
Va iable (a) (b) (c)
C 0.0107(3.27)** 0.0184 (2.58)** 0.0107(3.48)***
Global Index - X1 0.0315(26.12)*** 0.0287(20.67)*** 0.0315(27.75)***
Mac o Economics - X2 -0.0144(-4.18)*** -0.0105(-1.34) -0.0144(-4.44)***
Wo ld Oil P ices - X3 0.0067(3.22)** -0.0040(-0.99) 0.0067(3.42)***
China Index - X4 0.0122(10.23)*** 0.0128(7.14)*** 0.0122(10.87)***
A abia Index - X5 0.0102(9.66)*** 0.0078(3.72)*** 0.0102(10.26)***
In la ion - X6 0.0202(18.30)*** 0.0130(5.78)*** 0.0202(19.45)***
Compe i i e Resou ces - X7 0.0025(1.75) 0.0059(1.61) 0.0025(1.86)
P esiden ial Te m – D 0.0077(0.91)
D.X1 -0.0028(-1.49)
D.X2 0.0040(0.43)
D.X3 -0.0106(-2.20)*
D.X4 0.0006(0.28)
D.X5 -0.0024(-0.93)
D.X6 -0.0071(-2.65)**
D.X7 0.0034(0.80)
Adjus ed R2 6.51%[188.52]*** 3.92%[78.83]*** 5.84%[134.01]***
( ) : T- alue; [ ] : F- alue; * p < 0.05; ** p < 0.01; *** p < 0.001
