Macroeconomic variables and stock market interactions: Indonesia evidence / Vidiyanna Rizal Putri, Nelmida and Husnizam Hosin

The existence of semi strong-form pricing efficiency on the LQ 45 Index in the Indonesia Stock Exchanges from 2004 to 2014 for using monthly closing prices was investigated. This study
provides evidence on the Indonesia Stock Exchanges (IDX) using semi strong-form efficiency test. This paper employs the integration test, which is widely used to distinguish the impact of macroeconomic factors (The consumer price index, exchange rate, gross domestic product, and interest rate) to market returns (Lq45 Index). The findings indicate that in Indonesia Stock Exchanges show mixed evidence of Semi strong form pricing efficiency characteristics for monthly return series. The results implied that the new information have impacted on the Indonesia Stock Exchanges by making exchanges becoming more price efficient.