The Jakarta Composite Stock Price Index (JCI) serves as a key indicator of stock market performance in Indonesia. This study investigates the influence of macroeconomic factors on JCI fluctuations. Utilizing monthly data from January 2022 to December 2024, the research employs multiple linear regression analysis to explore the relationships between interest rates, exchange rate fluctuations, money supply, and the JCI. The findings reveal that interest rates, exchange rate fluctuations, and the money supply have a significant impact on the JCI simultaneously. However, the results show nuanced effects partially. Interest rates have a negative and significant impact on the JCI, suggesting that an increase in interest rates leads to a decline in the index as investors may seek safer, higher-yield alternatives like bank savings. Conversely, the money supply demonstrates a positive and significant effect, implying that a greater money supply encourages investment in the stock market and boosts the JCI. Interestingly, exchange rate fluctuations are found to have a negative but insignificant effect on the JCI. This highlights that while exchange rate movements may be a factor, they are not a dominant driver of JCI performance during the observed period. The novelty of this study lies in its focus on the postCOVID-19 recovery period, which is marked by global monetary tightening, external shocks, and Indonesia’s political transition. By employing monthly data, this study captures short-term dynamics that previous research using annual data often overlooked. These results provide valuable insights for investors and policymakers in navigating Indonesia's dynamic stock market.
Ho et al. (2025) studied this question.