The Influence of Macroeconomic Fundamentals and Investor Sentiment on Indonesia Stock Exchange Fitriana Dewi Sumaryana, Nugraha, Maya Sari, Toni Heryana
Universitas Pendidikan Indonesia
Universitas Pendidikan Indonesia
Universitas Pendidikan Indonesia
Universitas Pendidikan Indonesia
Abstract
This research aims to analyse the factors influencing stock market volatility in Indonesia using an empirical approach. Stock market volatility reflects high fluctuations in stock prices and rapid changes in stock trading activities. The purpose of this study is to gain a deeper understanding of the factors contributing to market return in Indonesia, providing valuable insights for market participants and investors in managing investment risks. The research employs an empirical approach involving the analysis of historical data from the Indonesian stock market. The analysed factors in this study include macroeconomic factors such as inflation, interest rates, and the S&P 500 index, which influence the market. Additionally, investor sentiment factors are considered, with trading volume used as a proxy for measuring investor sentiment. Statistical techniques and regression models are employed to identify the relationships between these factors and market return in Indonesia. Historical stock market data and used daily data during 2022 with a total of 244 data according to the number of trading days in 2022 for analysis to test the research hypotheses. The findings of this study are expected to provide a better understanding of the factors influencing stock market volatility in Indonesia. The research findings can serve as a reference for investors and market participants in making better investment decisions and effectively managing risks.
