•  
  •  
 

Abstract

This study aims to analyze the effect of fiscal and monetary policies projected by variables of state revenue income, government spending, inflation rates, and interest rates on the projected rate of return on stocks in Indonesia through returns or returns on the JCI. The data used is secondary data taken from various source in the form of monthly data from 2015 to 2019. The analytical method used in this study is multiple regression analysis to see the effect of all the independent variables on the dependent variable. The results of the study show that the variables of fiscal policy in the form of state income, government spending, inflation, and interest rates together can explain the rate of return on stocks in Indonesia in the period from 2015 to 2019. Furthermore, in a partial effect test, state income and interest rates have a negative and significant effect on stock expenses. Another finding is that government spending and inflation partially have no significant effect on stock returns. Considering the limitations of this study, further research is needed to improve the method of analysis and explore other variables that can affect stock returns in Indonesia.

Bahasa Abstract

Penelitian ini bertujuan untuk menganalisis pengaruh kebijakan fiskal dan moneter yang diproyeksikan oleh variabel penerimaan/pendapatan negara, pengeluaran pemerintah/belanja negara, tingkat inflasi dan tingkat suku bunga terhadap tingkat pengembalian saham di Indonesia yang diproyeksikan melalui return atau pengembalian IHSG. Data yang digunakan merupakan data sekunder yang diambil dari berbagai sumber dalam bentuk data bulanan dalam kurun waktu 2015 s.d. 2019. Metode analisis yang digunakan dalam penelitian ini adalah regresi linear berganda untuk melihat pengaruh semua variabel independen terhadap variabel dependen. Hasil penelitian menunjukkan bahwa, variabel kebijakan fiskal berupa pendapatan negara, pengeluaran pemerintah, inflasi dan suku bunga secara bersama-sama dapat menjelaskan tingkat pengembalian saham di Indonesia periode 2015 s.d. 2019. Selanjutnya dalam uji pengaruh secara parsial, pendapatan negara dan suku bunga berpengaruh negatif dan signifikan terhadap tingkat pengembalian saham. Temuan lainnya adalah, bahwa pengeluaran pemerintah dan inflasi secara parsial tidak berpengaruh signifikan terhadap tingkat pengembalian saham. Mempertimbangkan keterbatasan dari penelitian ini, penelitian selanjutnya perlu menyempurnakan metode analisis dan mengeksplorasi variabel lain yang dapat mempengaruhi tingkat pengembalian saham di Indonesia.

References

Abdelbaki, H. H. (2013). Causality Relationship Between Macroeconomic Variables and Stock Market Development: Evidence From Bahrain. The International Journal of Business and Finance Research, 7(1), 69–84.

Abdullahi, I. B. (2020). The Effects of Unstable Macroeconomic Indicators on Stock Price Behavior of Banking Sector in the Nigerian Stock Market. Binus Business Review, 11(2). https://doi.org/10.21512/bbr.v11i2.6047

Acikalin, S., Aktas, R., & Unal, S. (2008). Relationships between stock markets and macroeconomic variables: An empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1).

Afonso, A., & Sousa, R. M. (2012). The macroeconomic effects of fiscal policy. Applied Economics, 44(34). https://doi.org/10.1080/00036846.2011.591732

Agnello, L., & Sousa, R. M. (2011). Can fiscal policy stimulus boost economic recovery In Revue Economique (Vol. 62, Issue 6). https://doi.org/10.3917/reco.626.1045

Aktan, C. C., Dileyici, D., & Vural, I. Y. (2006). Taxation Economics and Taxation Psychology. Ankara Seckin Publishing.

Alesina, A., Ardagna, S., Perotti, R., & Schiantarelli, F. (2002). Fiscal policy, profits, and investment. American Economic Review, 92(3). https://doi.org/10.1257/00028280260136255

Andrieş, A. M. (2009). the Importance of Capital Market in Economy. The Importance of Capital Market in Economy, 2, 69–75.

Anghelache, G.-V., Jakova, S., & Oanea, D.-C. (2016). Fiscal Policy and Capital Market Performance: Evidence from EU Countries from Central and Eastern Europe. International Journal of Academic Research in Accounting, Finance and Management Sciences, 6(2). https://doi.org/10.6007/ijarafms/v6-i2/2037

Ang, R. (1997). Buku Pintar Pasar Modal Indonesia. Mediasoft.

Babatunde, S. A. (2018). Government spending on infrastructure and economic growth in Nigeria. Economic Research-Ekonomska Istrazivanja, 31(1), 997–1014. https://doi.org/10.1080/1331677X.2018.1436453

Boediono. (1999). Teori Pertumbuhan Ekonomi Seri Sinopsis (Edisi Pertama). BPFE.

Castelnuovo, E., & Lim, G. (2019). What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers. Australian Economic Review, 52(1). https://doi.org/10.1111/1467-8462.12313

Charpe, M., Flaschel, P., Hartmann, F., & Proaño, C. (2011). Stabilizing an unstable economy: Fiscal and monetary policy, stocks, and the term structure of interest rates. Economic Modelling, 28(5). https://doi.org/10.1016/j.econmod.2011.05.005

Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30(1), 754–769. https://doi.org/10.1016/j.econmod.2012.10.005

Chidiebere Ekwe, M., Ogbonnaya, A. K., & Omodero, C. O. (2017). Monetary Policy and Nigeria’s Economy: An Impact Investigation. International Journal of Economics and Finance, 9(11), 218. https://doi.org/10.5539/ijef.v9n11p218

Cinar, M., Eroglu, I., & Demirel, B. (2014). Examining the Role of Budget Deficit Policies in Economic Growth from A Keynesian Perspective. International Journal of Economics and Finance, 6(10). https://doi.org/10.5539/ijef.v6n10p191

Dedola, L., & Lippi, F. (2005). The monetary transmission mechanism: Evidence from the industries of five OECD countries. European Economic Review, 49(6). https://doi.org/10.1016/j.euroecorev.2003.11.006

Downes, J. (1995). Dictionary of Finance and Investment Terms (Fourth Edition). Barron’s . https://www.amazon.com/John-Downes-Dictionary-Investment-1995-08-16/dp/B001U32HVG

Edeme, R. K., Nkalu, C. N., & Edeh, G. (2022). Monetary policy impact on the informal economy and response to shocks in the formal economy. Journal of Public Affairs, 22(2). https://doi.org/10.1002/pa.2453

Fahmi, M. R. (2012). Analyzing the Relationship between Tax Holiday and Foreign Direct Investment in Indonesia. Ritsumeikan Asia Pacific University, Japan.

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2). https://doi.org/10.2307/2325486

Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary Economics, 32(3). https://doi.org/10.1016/0304-3932(93)90027-D

Geske, R., & Roll, R. (1983). The Fiscal and Monetary Linkage Between Stock Returns and Inflation. The Journal of Finance, 38(1), 1. https://doi.org/10.2307/2327635

Goldsmith, R.W. (1969) Financial Structure and Development. Yale University Press, New Haven. - References - Scientific Research Publishing. (n.d.). Retrieved December 22, 2022, from https://scirp.org/reference/referencespapers.aspx?referenceid=1952171

Göndör, M., & Bresfelean, V. P. (2012). REPTree and M5P for measuring fiscal policy influences on the Romanian capital market during 2003-2010. International Journal of Mathematics and Computers in Simulation, 6(4), 378–386.

Ha, J., Kose, M. A., & Ohnsorge, F. (2019). Understanding Inflation in Emerging and Developing Economies. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3348138

Handini, S., & Astawinetu, E. D. (2020). Teori Portofolio dan Pasar Modal Indonesia. Scopindo Media Pustaka.

Hardouvelis, G. A. (1987). Macroeconomic information and stock prices. Journal of Economics and Business, 39(2), 131–140. https://doi.org/10.1016/0148-6195(87)90012-9

Herrera, A. M., & Pesavento, E. (2009). Oil price shocks, systematic monetary policy, and the “great Moderation.” Macroeconomic Dynamics, 13(1), 107–137. https://doi.org/10.1017/S1365100508070454

Hidayat, R. (2021). Interest Rate Theory in Islamic Economic Perspective. Basic and Applied Accounting Research Journal, 1(1), 46–50. https://doi.org/10.11594/baarj.01.01.06

Hsing, Y. (2013). Effects of fiscal policy and monetary policy on the stock market in poland. Economies, 1(3), 19–25. https://doi.org/10.3390/economies1030019

Huynh, C. M., & Nguyen, T. L. (2020). Fiscal policy and shadow economy in Asian developing countries: does corruption matter? Empirical Economics, 59(4), 1745–1761. https://doi.org/10.1007/s00181-019-01700-w

Ioannidis, C., &, Kontonikas, A., Ioannidis &, C., & Kontonikas, A. (2006). Monetary Policy and the Stock Market: Some International Evidence. Department of Economics, …, 44(September 2006).

Isola Lawal, A., Olukayode Somoye, R., Ayoopo Babajide, A., & Ikechukwu Nwanji, T. (2018). The effect of fiscal and monetary policies interaction on stock market performance: Evidence from Nigeria. Future Business Journal, 4(1), 16–33. https://doi.org/10.1016/j.fbj.2017.11.004

Jiranyakul, K., & Brahmasrene, T. (2007). the Relationship Between Government Expenditures and Economic Growth in Thailand. Journal of Economics and Economic Education Research, 8(1).

Joshi, P., & Giri, A. K. (2015). Fiscal deficits and stock prices in india: Empirical evidence. International Journal of Financial Studies, 3(3). https://doi.org/10.3390/ijfs3030393

Keynes, J. M. (1936). The general theory of employment, interest, and money. In The General Theory of Employment, Interest, and Money. Springer International Publishing. https://doi.org/10.1007/978-3-319-70344-2

Kuncoro, H. (2017). Fiscal policy and stock market returns volatility: the case of Indonesia. International Journal of Economic Policy in Emerging Economies, 10(2), 153. https://doi.org/10.1504/ijepee.2017.10006012

Laopodis, N. T. (2009). Fiscal policy and stock market efficiency: Evidence for the United States. Quarterly Review of Economics and Finance, 49(2), 633–650. https://doi.org/10.1016/j.qref.2007.10.004

Levine, R. (1991). Stock Markets, Growth, and Tax Policy. The Journal of Finance, 46(4), 1445–1465. https://doi.org/10.1111/j.1540-6261.1991.tb04625.x

Li, L., Narayan, P. K., & Zheng, X. (2010). An analysis of inflation and stock returns for the UK. Journal of International Financial Markets, Institutions and Money, 20(5), 519–532. https://doi.org/10.1016/j.intfin.2010.07.002

Magazzino, C. (2012). Wagner versus Keynes: Public Spending and National Income in Italy at a Disaggregated Level. Journal of Policy Modeling, 890–905.

Mankiw, G. (2004). Principles of Economics (3rd ed.). Salemba Empat.

Mardiasmo. (2011). Perpajakan Indonesia. Cikal.

Mehrara, M., Gudarzi Farahani, Y., Faninam, F., & Karsalari, A. R. (2016). The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange. International Letters of Social and Humanistic Sciences, 71, 17–24. https://doi.org/10.18052/www.scipress.com/ilshs.71.17

Mishkin, F. (2008). Does Stabilizing Inflation Contribute to Stabilizing Economic Activity? NBER Working Paper 8617, December.

Mishra, P., Pandey, C. M., Singh, U., Gupta, A., Sahu, C., & Keshri, A. (2019). Descriptive statistics and normality tests for statistical data. Annals of Cardiac Anaesthesia, 22(1), 67–72. https://doi.org/10.4103/aca.ACA_157_18

Modigliani, F., & Miller, M. H. (1958). The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review, 48, no. 3, 261–297.

Muklis, F. (2016). Perkembangan dan Tantangan Pasar Modal Indonesia. Jurnal Lembaga Keuangan Dan Perbankan, 1(1), 65–76.

Muriithi, C. (2013). The Relationship between Government Revenue and Economic Growth in Kenya. International Journal Os Social Sciences and Project Planning Management, I(87–109).

Nkoro, E., & Uko, A. K. (2013). A Generalized Autoregressive Conditional Heteroskedasticity Model of the Impact of Macroeconomic Factors on Stock Returns: Empirical Evidence from the Nigerian Stock Market. International Journal of Financial Research, 4(4). https://doi.org/10.5430/ijfr.v4n4p38

Pagano, M. (1993). Financial markets and growth. An overview. European Economic Review, 37(2–3). https://doi.org/10.1016/0014-2921(93)90051-B

Parcoyo, A., & Kunawangih, T. (2004). Aspek Dasar Ekonomi Makro di Indonesia. Cikal Sakti.

Perry, G. L. (2011). demand-pull inflation. In The New Palgrave Dictionary of Economics (p. 1). Nature Publishing Group. https://doi.org/10.1057/9780230226203.2352

Perveen, S., & Rahman, M.-. (2018). Impact of Fiscal and Monetary Policies on Stock Market Performance: An Empirical Study of Pakistan Stock Exchange. Journal of Finance & Economics Research, 3(2), 2–23. https://doi.org/10.20547/jfer1803201

Rigobon, R., & Sack, B. (2003). Measuring the reaction of monetary policy to the stock market. Quarterly Journal of Economics, 118(2). https://doi.org/10.1162/003355303321675473

Ritter, J. R., & Warr, R. S. (2002). The Decline of Inflation and the Bull Market of 1982-1999. The Journal of Financial and Quantitative Analysis, 37(1). https://doi.org/10.2307/3594994

Romer, C. D., & Romer, D. H. (2010). The macroeconomic effects of tax changes: Estimates based on a new measure of fiscal shocks. American Economic Review, 100(3), 763–801. https://doi.org/10.1257/aer.100.3.763

Sathyanarayana, S., & Gargesa, S. (2018). An Analytical Study of the Effect of Inflation on Stock Market Returns. IRA-International Journal of Management & Social Sciences (ISSN 2455-2267), 13(2), 48. https://doi.org/10.21013/jmss.v13.n2.p3

Setiawan, S., & Handoko, R. (2000). Pertumbuhan Ekonomi 2006 : Suatu Estimasi dan Arah Pencapaian Pertumbuhan yang Merata dan Berkualitas.

Smith, A. (1776). An Inquiry into the Nature and Causes of the Wealth of Nations: Vol. Vol. I & II. J.M. Dent & Sons.

Sudirman, I. W. (2011). Kebijakan Fiskal dan Moneter: Teori dan Empirikal. Kencana.

Sugiyono. (2019). Metode penelitian kuantitatif kualitatif dan R&D (Research dan Development). Alfabeta.

Sullivan, A., & Sheffrin, S. M. (2003). Economics: Principles in Action. Pearson Prentice Hall.

Taunay, E. G. P. (2013). Pasar Modal Indonesia. Jurnal Universitas Pandanaran, 59–77.

Tavares, J., & Valkanov, R. (2003). The neglected effect of fiscal policy on stock and bond returns. EFA 2003 Annual Conference, 201(UCLA).

Tejvan Pettinger. (2016). Cost-Push Inflation | Economics Help. In Economic Help.

Tobi, H., & Kampen, J. K. (2018). Research design: the methodology for interdisciplinary research framework. Quality and Quantity, 52(3), 1209–1225. https://doi.org/10.1007/s11135-017-0513-8

Tobin, J. (1969). A General Equilibrium Approach To Monetary Theory. Journal of Money, Credit and Banking, 1(1). https://doi.org/10.2307/1991374

Uwubanmwen, A., & Eghosa, I. L. (2015). Inflation Rate and Stock Returns : Evidence from the Nigerian Stock Market . International Journal of Business and Social Science, 6(11), 155–167.

Warjiyo, P., & Solikin. (2003). Kebijakan Moneter di Indonesia.

Watson, R. (2015). Quantitative research. Nursing Standard (Royal College of Nursing (Great Britain) : 1987), 29(31), 44–48. https://doi.org/10.7748/ns.29.31.44.e8681

Yamarik, S. (2000). Can tax policy help explain state-level macroeconomic growth? Economics Letters, 68(2). https://doi.org/10.1016/s0165-1765(00)00242-1

Share

COinS