Analisis Determinan Indeks Harga Saham Gabungan melalui Volume Transaksi Saham di Bursa Efek Indonesia

Abstract

This research aim to examine how macroeconomic variables affect the movement of the Composite Stock Price Index (IHSG) through stock transaction volume on the Indonesia Stock Exchange (IDX) during the 2017–2023 period. The independent variables used in the research are the BI interest rate, the US dollar exchange rate, and inflation; transaction volume acts an intervening variable, while IHSG serves as dependent variable. The research uses a quantitative method with a causal and explanatory approach. The analytical model used is the Error Correction Model (ECM) to identify both short-them and long-term relationships between variables. The result show that in the short them, inflation has a positive and significant effect on stock transaction volume, while the BI interest rate and exchange rate do not have significant effects. In the long term, BI interest rate and exchange rate have significant impacts on transaction volume. Regarding the IHSG, both the BI interest rate and exchange rate have significant long term effect, while transaction volume is only significant in the long term. The Sobel test indicates that transaction volume significantly mediates the impact of the BI interest rate and exchange rate on the IHSG in the long-term, but not in the short term. These findings show the importance of macroeconomic stability and market liquidity in affecting the performance of Indonesia's capital market. This research contributes theoretically to the development of literature on the role of macroeconomic variables in capital markets and provides practical implications for investors, regulators, and issuers in formulating investment strategies and economic policies that support stock market growth.