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All Journal Jurnal Bisnis dan Manajemen Jurnal Administrasi Bisnis EKOMBIS REVIEW: Jurnal Ilmiah Ekonomi dan Bisnis Jurnal Kajian Akuntansi Journal of Economic, Bussines and Accounting (COSTING) JURNAL LENTERA BISNIS Jurnal Inovasi Masyarakat Jurnal Inspirasi Binsis dan Manajemen Inkubis: Jurnal Ekonomi dan Bisnis PERMANA : Jurnal Perpajakan, Manajemen, dan Akuntansi
Esi Fitriani Komara
Universitas Jenderal Achmad Yani
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Industrial & Manufacturing Engineering Social Sciences Other

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Market Reaction to Information Signals: Evidence from the Indonesian Stock Market Esi Fitriani Komara; Intan Permata Dewi
Inkubis : Jurnal Ekonomi dan Bisnis Vol. 8 No. 2 (2026): INKUBIS Jurnal Ekonomi Dan Bisnis
Publisher : Politeknik Siber Cerdika Internasional

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59261/inkubis.v8i2.212

Abstract

Background: The capital market is involved in the allocation of funds and the reflection of economic information. However, in emerging markets such as Indonesia, responses to macroeconomic signals are not consistently observed due to information asymmetry, investor heterogeneity, and high economic uncertainty. Objective: This study aims to analyze the impact of interest rates, inflation, and exchange rates on market returns and to describe the response to macroeconomic signals in the Indonesian stock market. Methods: This study uses monthly time-series data from the Indonesia Stock Exchange, Bank Indonesia, and the Central Statistics Agency from 2016 to 2025. Multiple linear regression analysis is used to examine the relationships among the variables. Results: Results show that exchange rates have a negative and significant impact on market returns, while interest rates and inflation have no significant impact on market returns. These findings suggest that external macroeconomic factors, especially currency fluctuations, have a greater impact on stock market reactions than domestic financial variables. Conclusion: This study concludes that among the three macroeconomic information signals analyzed, exchange rates have the most dominant and statistically significant impact on market returns in Indonesia. These findings highlight that market responses in emerging markets are context-dependent and shaped by prevailing macroeconomic conditions and investor risk perceptions.
Co-Authors Alfitaria Alfath Nuur Andri Irawan Eka Yulianti Ferikawita M. Sembiring Hariyadi Triwahyu Putra Ifan Wicaksana Siregar Intan Permata Dewi Jihan Nibras Salamah Muhammad Hanif Muhsinin Muhammad Hanif Muhsinin Rahardianto Rahardianto Risma Yulia Citra Rosmini Ramli