Determinants of Indonesian Capital Market Reaction
YANI RIYANI1, KARTAWATI MARDIAH1, MAHYUS MAHYUS1, ENDANG KUSMANA1,
SUSAN ANDRIANA1, NENGZIH NENGZIH2, IRZAN SOEPRIYADI3, ENDRI ENDRI2
1Accounting Department, Politeknik Negeri Pontianak,
Jl. Jenderal Ahmad Yani, Bansir Laut, Kota Pontianak, Kalimantan Barat 78124,
INDONESIA
2Faculty of Economics and Business, Universitas Mercu Buana,
Jl. Meruya Selatan No.1, Kembangan, Jakarta Barat 11650,
INDONESIA
3Institut Bisnis Dan Informatika Kosgoro 1957,
Jl. Moch. Kahfi II No.33, Srengseng Sawah, Jakarta Selatan 13550,
INDONESIA
Abstract: - Several research results in the Indonesian Capital Market have found a market anomaly phenomenon
caused by the market reacting to internal and external information. This study aims to examine whether company-
specific factors (company size, growth, and risk), national macroeconomic factors (Inflation, interest rates, and
exchange rates on a national scale), and world macroeconomic factors (market returns, Inflation, interest rates, and
world-scale exchange rates) ) may cause the Indonesian Capital Market to react. The form of this research is
associative descriptive with a population of all companies indexed by LQ45, totaling 45 companies. According to
purposive sampling, the sample used is 22 companies, and data analysis using panel data regression with the help
of software Eviews 12. The study's results found that only national interest rates and world inflation could cause
the Indonesian Capital Market to react. In contrast, size, growth, risk, national Inflation, world returns, world
interest rates, and world exchange rates did not cause the Indonesian Capital Market to react.
Key-Words: - determinants, market reactions, anomalies, Indonesia.
Received: July 9, 2022. Revised: March 3, 2023. Accepted: March 17, 2023. Published: March 24, 2023.
1 Introduction
Testing of the efficient market hypothesis (EMH) and
market anomalies (MA) has been carried out by
several previous researchers, which prove that the
Indonesian capital market is included in semi-strong
market efficiency, [1], [2], [3], [4]. Fama, [5], states
that the semi-strong form of efficiency reflects all
information internally and externally to the public.
Internal information comes from the company
itself, for example, earnings announcements,
dividend payments, IPOs, stock dividends, and stock
splits, as well as company-specific factors such as
company size, growth, and risk. Meanwhile, external
information comes from outside the company,
domestically and globally, including Inflation,
interest rates, exchange rates, world oil prices, and
global stock market movements, [6].
The market reaction can be measured through
changes in security prices, either in the form of stock
returns or abnormal returns, [7]. For example,
Prombutr and Phengpis, [8], who researched the
NYSE, AMEX, and NASDAQ Markets, found that
company-specific factors consisting of investment
growth, size, and value caused the market to react.
On the other hand, dash and Mahakud, [9], who
researched the Indian Market (NSE), found that
market risk, firm size, and book value did not cause
the market to react, but liquidity caused the need to
respond.
The results of research on the reaction of the
Indonesian Capital Market (ICM) also found
inconsistent results. Assagaf et al., [10], find that
earnings management and company size do not cause
the market to react, but leverage which is the
company's risk, drives the need to respond. Suteja
and Seram, [11], found that ROE, Inflation, exchange
rates, and interest rates can cause market reactions,
but leverage does not cause the market to react.
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Yani Riyani, Kartawati Mardiah,
Mahyus Mahyus, Endang Kusmana,
Susan Andriana, Nengzih Nengzih,
Irzan Soepriyadi, Endri Endri
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Based on the phenomenon of the gap in the
results of the research above and to enrich research
on the reaction of the ICM. Research aims to
examine whether company-specific factors (company
size, growth, and risk), national macroeconomic
factors (Inflation, interest rates, and exchange rates
on a national scale), and world macroeconomic
factors (market returns, Inflation, interest rates, and
world-scale exchange rates) can cause the ICM to
react.
This research has both practical and theoretical
contributions. Practically contribute to company
management and investors making investment
decisions as study material in enriching knowledge
and references regarding capital market reactions and
empirical findings related to efficient market theory.
2 Literature Review
State of the Art in this study uses the results of
research on several capital markets. Prombutr and
Phengpis, [8], who examined industrial companies
listed on the NYSE, AMEX, and NASDAQ for the
period July 1975 to June 2006, found that company-
specific factors, including investment growth,
company size, and value had an influence on stock
returns or caused the market to react. Dash and
Mahakud, [9], who examined non-financial
companies listed on the National Stock Exchange
(NSE) in India, found that market risk, company size,
and book value did not cause the market to react, but
liquidity caused the market to respond. Suteja and
Seram, [11], who researched the automotive and
component industry companies on the IDX from
2009 to 2013, found that ROE, national Inflation,
national exchange rates, and national interest rates
can cause market reactions. Still, leverage does not
cause the market to react. Meanwhile, Adiwibowo,
[12], who researched manufacturing companies on
the IDX from 2010 to 2012, found that earnings
management and company size did not cause the
market to react. Still, leverage, the company's risk,
caused the market to respond.
The four studies above examine the capital
market's reaction in Indonesia and the world. The
similarity is that they both look at the capital market's
response using company-specific and national
macroeconomic factors. However, what makes the
difference here is that apart from the object, sample,
and period, as a novelty, the researcher adds world-
scale macro variables and uses abnormal return
proxies for market reactions. In contrast, the results
of previous studies use stock returns.
The market is called efficient because the
prices of securities fully reflect the available
information, [13]. For this reason, an efficient market
is a market whose security prices fully reflect past,
present, and future data. But in reality, a genuinely
efficient market does not exist because there are
market anomalies due to events that contain
information that can cause the market to react.
Market reaction to news depends on the efficiency of
the market itself.
The market reacts to announcements, events,
and company-specific factors such as company size,
growth, and risk; national macroeconomic factors
such as Inflation, interest rates, and exchange rates
on a national scale; and world macroeconomic
factors such as market returns interest rate inflation
and world-scale exchange rates. It contains
information. Market reaction is proxied by return or
abnormal return. Abnormal return is expected return
minus average return, [14]. An announcement,
events, and specific factors, national and world
macroeconomics are said to have information if an
abnormal return can cause the market to react.
In addition to announcements, events, and
actions that cause the market to react, the researcher
also wants to examine some company-specific
factors that can explain how the market reacts, such
as size, growth, and risk. Size is the scale of the
company which is proxied by asset value, growth is
the company's cash flow due to an increase or
decrease in the volume of business activities which is
proxied by the growth of profit, while company risk
is a condition of uncertainty that is proxied by the
leverage which is total equity divided by total debt.
It is suspected that macroeconomic factors on
a national scale can cause the capital market to react.
For example, Lestari and Nugroho, [15], found that
economic factors had an effect of 36% where the
exchange rate variable was responded to negatively
by the market. In contrast, the market reacted
positively to the BI rate, Inflation, and money supply.
Therefore, the national macroeconomic variables the
researcher uses are Inflation, interest rates, and
national currency exchange rates.
World-scale macroeconomic factors are also
suspected of having caused the ICM to react. For
example, Silim, [16], who examined the effect of
macroeconomic variables of gold prices and world-
scale oil prices on the JCI, found that gold prices and
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Yani Riyani, Kartawati Mardiah,
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Susan Andriana, Nengzih Nengzih,
Irzan Soepriyadi, Endri Endri
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world-scale oil prices positively influenced the JCI.
In this research, the world macroeconomic factors
that the researcher uses are market returns, Inflation,
interest rates, and world-scale exchange rates.
Based on the description above, the
hypothetical formulas in this study are: company size
can cause the ICM to react, company growth can
cause the ICM to react, company risk can cause the
ICM to react, national Inflation can cause the ICM to
react, federal interest rates can cause the ICM to
respond, The exchange rate of the national currency
can cause the ICM to react, world capital market
returns can cause the ICM to react, world inflation
can cause the ICM to react, world interest rates can
cause the ICM to respond, and The exchange rate of
world currencies caused the ICM to react.
3 Research Method
The form of this research is associative descriptive
research which involves data collection, data
processing, and data analysis to determine whether
there is an association between two or more
variables. Then the association between these
variables will be interpreted by researchers to answer
the research objectives, namely to determine the
determinants of the cause of the ICM reaction.
There are two variables in this study, namely
the dependent and independent variables. The
abnormal return (Y) as the dependent variable . At
the same time, Size (X1), Growth (X2), Risk (X3),
National Inflation (X4), National Interest Rate (X5),
National Exchange Rate (X6), World Stock Return
(X7), World Inflation (X8), World Interest Rate
(X9), World Exchange Rate (X10) as the
independent variables
The operational definitions of variables and
their measurements are explained below:
1. Abnormal Return (Y).
Abnormal return is the realized return minus the
expected return, which is measured using the
formula, [17]:
ARi,t = Ri, t – E(Ri, t)
2. Size (X1)
Size is the scale of a company which is
calculated by the formula, [18]:
Size = Ln (Total assets)
3. Growth (X2)
Growth is the result of cash flow which is an
increase or decrease in the volume of activities
measured using the formula, [19]:
Growth =
4. Risk (X3)
Risk is a condition of uncertainty measured by
the leverage, which is calculated using the
formula, [20]:
Equity
Debt
Leverage
5. National Inflation (X4)
National Inflation is an increase in the price of
domestic goods over a long period proxied by
the Indonesian Consumer Price Index.
6. National Interest Rate (X5)
The national interest rate is the Bank Indonesia
proxied by SBI.
7. National Exchange Rate (X6)
The national exchange rate is between the rupiah
and the US dollar.
8. World Stock Returns (X7)
World Stock Return is the rate of return on the
New York Stock Exchange Index (Dow Jones
Index)
9. World Inflation (X8)
The increase in world-scale goods prices is
proxied by the United States inflation rate.
10. World Interest Rates (X9)
World interest rates are proxied by the LIBOR
interest rate
11. World exchange rates (X10).
The World Exchange Rate is the world currency
exchange rate proxied by the Japanese yen with
the United States dollar.
The population in this study are all
companies that are members of the LQ 45 index,
totaling 45 companies; the research period is from
2015 - 2021. By using purposive sampling with the
criteria of the number of companies that are
continuously included in LQ45 during the study
period and which report their financial statements in
the LQ45 index. Rupiah (IDR), the number of
samples processed was 22 companies with a total
data of 154 (22 companies x 7 years).
Data analysis used panel data regression
method. Before testing the hypothesis, the selection
of the correct regression model was tested, namely:
first, the Chow test was carried out to determine
between CEM or FEM; second, the LM test was
carried out to determine between CEM or REM;
third, Hausman test is conducted to examine between
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Yani Riyani, Kartawati Mardiah,
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Susan Andriana, Nengzih Nengzih,
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FEM or REM. After getting the correct regression
model, then hypothesis testing is carried out. The role
of the Thumb to conclude the hypothesis is that the
hypothesis is accepted if the sign value is 5%, but the
hypothesis is rejected if the sign value is 5%.
4 Results and Discussion
This study was conducted to determine the
determinants of the reaction of the ICM, namely
whether company-specific factors (company size,
growth, and risk), national macroeconomic factors
(Inflation, interest rates, and national-scale exchange
rates), and world macroeconomic factors (market
returns, Inflation, interest rates, and world-scale
exchange rates) can cause the ICM to react.
The initial stage in panel data regression analysis
is model selection. There are three-panel data
regression models used in this study, namely
Common Effect Model (CEM), Fixed Effect Model
(FEM), and Random Effect Model (REM). A paired
test will be carried out for each model to choose
which model is the best regression estimation model.
By the results of the selection of the panel data
regression estimation model, the appropriate
estimation model used is the common effect model.
The results of panel data regression using CEM are
as follows:
Table 1. Common Effects Model Output
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Based on the output of the common effect model in
table 1, the probability values of the influence of size,
growth, risk, national Inflation, world stock returns,
national interest rates, and national exchange rates on
abnormal returns appear to be 0.4870, and 0.9413,
respectively. 0.6007, 0.6454, 0.3422, 0.2372, and
0.1888, which are more significant than = 0.05, it can
be concluded that size, growth, risk, national
Inflation, world stock returns, national interest rates,
and the National Exchange Rate did not cause the
Indonesian capital market to react. While the
National Interest Rate and World Inflation have
probability values of 0.0109 and 0.0328, which are
smaller than = 0.05, it can be concluded that the
National Interest Rate and World Inflation caused the
Indonesian Capital Market to react.
The size proxied by the natural logarithm of
the company's total assets does not cause the
Indonesian capital market to react. The results of this
study are consistent with the results of research
conducted by Dash and Mahakad, [9], Adiwibowo,
[12], Nadiyah and Suryono, [21], and Chandra et al.,
[22]. This means that the company's size does not
influence investors' interest in buying shares, so that
size does not cause the Indonesian capital market to
react. In other words, information about company
size needs to contain data for investors.
The company's growth, as proxied by profit
growth, did not cause the Indonesian capital market
to react. The results of this study are consistent with
the results of Chandra et al., [22]. The results of this
study indicate that information about growth needs to
contain information on how investors will react to
markets.
The company's risk, proxied by the debt-to-
equity ratio, does not cause the Indonesian capital
market to react. The results of this study are
consistent with the results of research conducted by
Dash and Mahakud, [9], Suteja and Seran, [11],
Nurmasari, [23], Haanurat, [24], and Legiman et al.,
[25]. The results of this study explain that investors
are not too concerned with the condition of the
company's capital structure so that the capital
structure does not cause the capital market to react.
National Inflation did not cause the ICM to
react. The results of this study are consistent with the
results of Maharditya et al., [26], Wahyudi and Sani,
[27], and Setiawan, [28]. The results of this study
indicate that national Inflation needs to contain the
information investors need in buying and selling
shares in the ICM.
The national interest rate proxied by the SBI
caused the Indonesian capital market to react. The
results of this study are consistent with the results of
research by Suteja and Seran, [11], Wahyudi and
Sani, [27], and Utama and Utama, [29]. Therefore,
the national interest rate can cause the Indonesian
capital market to react; this indicates that the national
interest rate contains information used by investors in
buying and selling shares.
World stock returns, as proxied by returns on
the Dow Jones index, did not cause the Indonesian
capital market to react. This means that investors
buying shares in the Indonesian capital market are
not influenced by world stock returns, so world stock
returns do not cause the Indonesian capital market to
react.
World inflation caused the Indonesian capital
market to react. The results of this study are
consistent with the results of research conducted by
Ibrahim and Agbaje, [30]. The results of this study
indicate that world inflation contains information
investors need in buying and selling shares, causing
the Indonesian capital market to react.
World interest rates did not cause the
Indonesian capital market to react. The results of this
study are consistent with the results of research
conducted by Maharditya et al., [26], Mishra and
Mishra, [31], and Nurhayati et al., [32]. The results
of this study indicate that world interest rates do not
contain the information investors need to buy and sell
shares on the Indonesian capital market. Some
relevant study exists in [33].
The world exchange rate proxied by the
Japanese yen exchange rate with the United States
dollar did not cause the Indonesian capital market to
react. The study's results explain that the world
exchange rate does not influence investors in buying
shares in the Indonesian capital market, so the world
exchange rate does not cause the Indonesian capital
market to react.
5 Conclusion
Based on research that has been carried out on ten
independent variables that can cause the capital
market to react, it is found that there is one variable
that is excluded from the model because it has perfect
multicollinearity with another independent variable,
namely the national exchange rate variable so that the
dependent variable that is processed is nine variables.
Therefore, the research results on nine variables
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Yani Riyani, Kartawati Mardiah,
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Susan Andriana, Nengzih Nengzih,
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show that Size, Growth, Risk, National Inflation,
World Stock Returns, World Interest Rates, and
World Exchange Rates do not cause the Indonesian
Capital Market to react. In contrast, National Interest
Rates and World Inflation can cause the Indonesian
Capital Market to react.
Based on the limitations of the study, several
suggestions can be recommendations for further
researchers: first, considering the value of R2 (R-
Square) in this study is relatively low, which is only
about 17.79%, then further research can be developed
by adding several independent variables. as
determinants that can cause the Indonesian capital
market to react, among others, cash flow, liquidity,
and profitability. Second, this research can also be
developed using other samples, such as a sample of
companies listed on sharia indices such as the Jakarta
Islamic Index (JII) and the Indonesian Sharia Stock
Index (ISSI).
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Susan Andriana, Nengzih Nengzih,
Irzan Soepriyadi, Endri Endri
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WSEAS TRANSACTIONS on SYSTEMS
DOI: 10.37394/23202.2023.22.39
Yani Riyani, Kartawati Mardiah,
Mahyus Mahyus, Endang Kusmana,
Susan Andriana, Nengzih Nengzih,
Irzan Soepriyadi, Endri Endri
E-ISSN: 2224-2678
366
Volume 22, 2023
[33] Ali Abid Abojassim, Ali Saeed Jassim,
Howaida Mansour Ahmed, Hayder Hamza
Hussian, Assessment of Radon, Radium, and
Uranium Concentrations in Decorative
Materials (Used to walls) Samples in Iraqi
Markets, WSEAS Transactions on Environment
and Development, vol. 17, pp. 1210-1218, 2021
Contribution of Individual Authors to the
Creation of a Scientific Article (Ghostwriting
Policy)
Conceptualization: Yani Riyani, Kartawati Mardiah.
Data curation: Mahyus Mahyus, Endang Kusmana.
Formal analysis: Endri Endri, Susan Andriana.
Funding acquisition: Nengzih Nengzih, Irzan
Soepriyadi. Investigation: Endri Endri, Kartawati
Mardiah. Methodology: Endri Endri, Yani Riyani,
Nengzih Nengzih. Project administration:
Kartawati Mardiah, Endang Kusmana. Resources:
Mahyus Mahyus, Irzan Soepriyadi. Software: Endri
Endri, Susan Andriana. Supervision: Endri Endri,
Yani Riyani. Validation: Susan Andriana., Nengzih
Nengzih. Visualization: Endang Kusmana, Irzan
Soepriyadi. Writing – original draft: Yani Riyani,
Kartawati Mardiah, Endang Kusmana. Writing –
review & editing: Endri Endri, Susan Andriana,
Susan Andriana.
Sources of Funding for Research Presented in a
Scientific Article or Scientific Article Itself
No funding was received for conducting this study.
Conflict of Interest
The authors have no conflict of interest to declare
that is relevant to the content of this article.
Creative Commons Attribution License 4.0
(Attribution 4.0 International, CC BY 4.0)
This article is published under the terms of the
Creative Commons Attribution License 4.0
https://creativecommons.org/licenses/by/4.0/deed.en_
US
WSEAS TRANSACTIONS on SYSTEMS
DOI: 10.37394/23202.2023.22.39
Yani Riyani, Kartawati Mardiah,
Mahyus Mahyus, Endang Kusmana,
Susan Andriana, Nengzih Nengzih,
Irzan Soepriyadi, Endri Endri
E-ISSN: 2224-2678
367
Volume 22, 2023
