THE EFFECT OF INFLATION, INTEREST RATES, AND EXCHANGE RATES ON THE IHSG PRICE INDEX

Abstract

This study examines the influence of inflation, interest rates, and exchange
rates on the Composite Stock Price Index (JCI) during the 2015-2024 period. Using
multiple linear regression analysis with SPSS version 27, secondary data was collected
from Bank Indonesia and the Indonesia Stock Exchange. Classical assumption tests
including normality, multicollinearity, heteroscedasticity, and autocorrelation tests
are carried out to ensure the validity of the model. The results of the study show that
partially, only the exchange rate has a positive and significant effect on the JCI, while
inflation and interest rates do not show a significant influence. However,
simultaneous testing revealed that the three macroeconomic variables together have
a significant influence on the movement of the JCI. The coefficient of determination
(R²) shows that these variables explain 8.1% of the JCI variation, with the remaining
91.9% being influenced by other factors not included in the model. This research
contributes to the understanding of the sensitivity of the Indonesian stock market to
macroeconomic variables, especially emphasizing the dominant role of exchange rate
stability in determining stock market performance. These findings provide valuable
insights for investors in portfolio diversification strategies and for policymakers in
designing monetary policy to maintain capital market stability.