Analysis of the Influence of Macroeconomic Variables on the Stock Price Index of the Property, Real Estate and Building Construction Sector Year 2018 – 2023

Abstract

This study aims to examine the influence of macroeconomic variables—namely GDP growth rate, BI Rate, inflation, and exchange rate—on the stock price index of the Property, Real Estate, and Building Construction Sector in Indonesia from 2018 to 2023. Using quarterly data and employing the Vector Error Correction Model (VECM), the research identifies both long-term and short-term relationships between the selected macroeconomic indicators and sectoral stock index. The results show that in the long run, GDP growth rate and exchange rate have a positive and significant influence, while inflation has a negative and significant effect. The BI Rate does not significantly influence the sectoral index in the long term. In the short term, the exchange rate and BI Rate exhibit both positive and negative effects at various lags, while inflation negatively affects the index. Impulse Response Function (IRF) analysis reveals fluctuating responses of the index to macroeconomic shocks, and Forecast Error Variance Decomposition (FEVD) indicates that GDP growth and BI Rate contribute most to explaining the variability of the index. These findings provide insight for investors and policymakers regarding the dynamic interaction between macroeconomic conditions and stock market performance in the property and construction sector