Impact of Inflation and the Rupiah Exchange Rate on Stock Returns in Indonesia: Evidence from Monthly Data (2020–2024)
DOI:
https://doi.org/10.37638/bima.7.1.677-684Keywords:
Inflation, Rupiah exchange rate, Stock returns, Capital marketAbstract
Purpose: This study examines the effect of inflation and the rupiah exchange rate on stock returns in the Indonesian stock market during the period January 2020 to December 2024. Methodology: This study employed a quantitative explanatory design using monthly secondary data obtained from Bank Indonesia (BI) and the Central Statistics Agency (BPS). The data were analysed using multiple linear regression with SPSS version 26. Results: The results indicate that inflation and the rupiah exchange rate do not have a significant effect on stock returns, either partially or simultaneously. The coefficient of determination (R²) of 0.055 shows that inflation and the exchange rate explain only 5.5% of the variation in stock returns, while the remaining 94.5% is explained by other factors outside the model. Findings: These findings suggest that stock return movements in Indonesia during the post-COVID-19 period are driven primarily by variables beyond inflation and exchange rate dynamics. Novelty & Originality: This study offers novelty by examining the post-pandemic period (2020–2024), a unique economic recovery phase rarely explored in prior research on macroeconomic determinants of stock returns in Indonesia. Conclusions: The study concludes that investors should consider other macroeconomic and firm-specific factors beyond inflation and exchange rates. Type of Paper: This paper is an empirical research paper.
References
Algifari, A., & Rohman, I. Z. (2022). Dampak Tingkat Bunga Dan Laju Inflasi Terhadap Kurs: Bukti Dari Indonesia. CAPITAL: Jurnal Ekonomi Dan Manajemen, 6(1), 187. https://doi.org/10.25273/capital.v6i1.13693 DOI: https://doi.org/10.25273/capital.v6i1.13693
Fellicia, N., & Widjaja, I. (2023). Pengaruh Inflasi, Nilai Tukar dan Suku Bunga terhadap Harga Saham Perusahaan Perbankan. Jurnal Manajerial Dan Kewirausahaan, 5(2), 429–437. https://doi.org/10.24912/jmk.v5i2.23413 DOI: https://doi.org/10.24912/jmk.v5i2.23413
Ghani, E. K., Hye, Q. M. A., & Rehan, R. (2023). Exploring Capital Structure Determinants for OECD Energy Firms. International Journal of Energy Economics and Policy, 13(4), 338–347. https://doi.org/10.32479/ijeep.14559 DOI: https://doi.org/10.32479/ijeep.14559
Manurung. (2021). Cadangan Devisa dan Kurs Valuta Asing.
Permaysinta, E., & Sawitri, A. P. (2021). Pengaruh Inflasi, Suku Bunga Dan Nilai Tukar Rupiah Terhadap Return Saham. Jurnal Neraca: Jurnal Pendidikan Dan Ilmu Ekonomi Akuntansi, 5(1), 41. https://doi.org/10.31851/neraca.v5i1.5630 DOI: https://doi.org/10.31851/neraca.v5i1.5630
Silaban, R. P. (2020). Analisis Pengaruh Inflasi, Nilai Tukar Rupiah, Dan Suku Bunga Terhadap Return Saham Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia. https://doi.org/http://dx.doi.org/10.20527/es.v16i2 DOI: https://doi.org/10.20527/es.v16i2
Suharyanto, S., & Zaki, A. (2021). The Effect Of Inflation, Interest Rate, And Exchange Rate On Stock Returns In Food; Beverages Companies. Jurnal Aplikasi Manajemen, 19(3), 616–622. https://doi.org/http://dx.doi.org/10.21776/ub.jam.2021.019.03.14 DOI: https://doi.org/10.21776/ub.jam.2021.019.03.14
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Aurel Dafina Rezka Firdaus, Suhono Suhono, Liya Megawati (Author)
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
An author who publishes in the BIMA JOURNAL: Business, Management, and Accounting Journal agrees to the following terms:
Author retains the copyright and grants the journal the right of first publication of the work simultaneously licensed under the Creative Commons Attribution-ShareAlike 4.0 License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal
Submission of a manuscript implies that the submitted work has not been published before (except as part of a thesis or report, or abstract); that it is not under consideration for publication elsewhere; that its publication has been approved by all co-authors. If and when the manuscript is accepted for publication, the author(s) still hold the copyright and retain publishing rights without restrictions. For the new invention, authors are suggested to manage its patent before published. The license type is CC-BY-SA 4.0.
BIMA JOURNAL: Business, Management and Accounting is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
You are free to:
Share — copy and redistribute the material in any medium or format
Adapt — remix, transform, and build upon the material
for any purpose, even commercially.
The licensor cannot revoke these freedoms as long as you follow the license terms.
Under the following terms:
Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
ShareAlike — If you remix, transform, or build upon the material, you must distribute your contributions under the same license as the original.
- No additional restrictions — You may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.
Notices:
- You do not have to comply with the license for elements of the material in the public domain or where your use is permitted by an applicable exception or limitation.
- No warranties are given. The license may not give you all of the permissions necessary for your intended use. For example, other rights such as publicity, privacy, or moral rights may limit how you use the material.
How to Cite
