Jurnal Ekonomi dan Bisnis Digital (MINISTAL)
Vol. 4 No. 4 (2025): December 2025

Analysis of the Impact of Macroeconomic Variable Volatility on Equity Mutual Fund Net Asset Value in Indonesia

Dewi, Kemala (Unknown)
Rejekiningsih, Tri Wahyu (Unknown)

Article Info

Publish Date
28 Dec 2025

Abstract

This research investigates the effect of interest rate volatility, exchange rate volatility, and competitor stock price volatility on the performance of equity mutual funds in Indonesia. Monthly data from January 2013 to December 2023 were analyzed using ARCH–GARCH models to measure volatility and the ARDL approach to assess relationships. The results reveal that interest rate and competitor stock price volatility significantly reduce NAV, while exchange rate volatility show no immediate effect, suggesting a delayed adjustment. These findings contribute to understanding how macroeconomic and market factors influence mutual fund performance and provide insights for fund managers and investors in developing strategies to navigate volatile market conditions.

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Journal Info
Jurnal Ekonomi dan Bisnis Digital (MINISTAL)
Website

Abbrev

ministal

Publisher

PT FORMOSA CENDEKIA GLOBAL

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Jurnal Ekonomi dan Bisnis Digital (MINISTAL) is a peer-reviewed journal providing a space for both practitioners and academics for disseminating research results that work in Economic, finance, management, information technology and related fields. MINISTAL provides an outlet for the increasing flow ...