Pengaruh Faktor Makroekonomi Global dan Domestik Terhadap Kinerja Pasar Modal di Indonesia

Abstract

This study aims to analyze the effect of macroeconomic factors—namely the rupiah exchange rate, interest rate, world gold price, world oil price, and inflation—on the Jakarta Composite Index (JCI) in Indonesia during the 2019– 2023 period. The data used are monthly time series secondary data obtained from Investing.com and Bank Indonesia. The analytical method applied is the Autoregressive Distributed Lag (ARDL) model to examine both short-run and long-run relationships among the variables. The results show that the interest rate has a positive and significant effect on the JCI in both the short and long run, while the world oil price has a negative and significant effect on the JCI in both the short and long run. Meanwhile, the exchange rate has a negative and significant effect on the JCI in the short run, whereas the rupiah exchange rate, world gold price, and inflation have no significant influence in the long run. These findings indicate that the movement of the JCI is more sensitive to monetary policy and global energy price dynamics than to other macroeconomic variables. The implications of this study suggest that the government and monetary authorities should pay greater attention to the stability of interest rates and world oil prices in maintaining the performance of the capital market.