JURNAL MANAJEMEN MOTIVASI
Vol 22 No 2 (2026): Jurnal Manajemen Motivasi

Analysis of the Impact of Economic Shocks on Indonesian Stock Market Returns

MOH. SAIFULLAH ADAM (Unknown)
Mohammad Nofal (Unknown)
Munawarah (Unknown)
Erwan Sastrawan Farid (Unknown)

Article Info

Publish Date
10 Jul 2026

Abstract

This study analyzes the return movements of the IHSG and eleven IDX sectoral indices during sequential external and domestic shocks from January 2025 to April 2026 using the 5-day EMA, skewness, kurtosis, and Sharpe Ratio. Based on 293 trading days, the results show nonlinear and highly responsive Composite EMA movements, with all sectors recording negative skewness and leptokurtic distributions. Industrials achieved the highest Sharpe Ratio (0.135), followed by Transportation (0.097) and Basic Materials (0.094), while Finance, Composite, and Non-Cyclical recorded negative values. These findings support higher-moment risk management in Indonesian sectoral portfolio analysis. Keywords: Economic Shocks; Stock Returns; Moving Average; Skewness; Kurtosis; Sharpe Ratio

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Journal Info
JURNAL MANAJEMEN MOTIVASI
Website

Abbrev

jm_motivasi

Publisher

Universitas Muhammadiyah Pontianak

Subject

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

Description

Jurnal Manajemen Motivasi (JMM) adalah Jurnal Ilmiah Fakultas Ekonomi dan Bisnis Universitas Muhammadiyah Pontianak yang diterbitkan secara berkala 2 (dua) kali dalam satu tahun (Juni dan Oktober) sebagai sarana untuk menyebarluaskan hasil penelitian dan ilmu pengetahuan di bidang ilmu manajemen ...