The impact of the last two presidential periods on the performance of the Indonesia stock exchanges: An approach of arbitrage pricing theory

This study aims to examine the influence of economic and non-economic macro factors on the performance of the Indonesia Stock Exchange (IDX) and the differences in their effects on the last two presidential terms using the Arbitrage Pricing Theory (APT) approach. The macro factors studied are an aggregate of 41 indicators of stock market index returns, benchmark interest rates, exchange rates, economic stability indicators, commodity prices, and corruption perception index (CPI). For the process of aggregation and identification of macro factors, this study uses Principal Component Analysis (PCA). The population studied were publicly listed companies on the IDX since October 2004 (299 companies) with a sample size of 157 companies. The observation period is 205 months: 120 months of the presidency of Susilo Bambang Yudhoyono (SBY) and 85 months of the presidency of Joko Widodo (JKW). The research design used the explanatory study method. The research model was analyzed using panel data regression. The results identified seven macro factor aggregates from 41 indicators studied: global index, macro economy, world oil prices, China index, Arabia index, inflation, and competitive resources. There was a simultaneous effect of macro factors on stock performance during the presidency of SBY and JKW. Partially, stock returns during the SBY era were positively influenced by the global index, world oil prices, the China index, the Arabian index, and inflation and negatively influenced by the macroeconomy. Meanwhile, during the JKW period, returns were positively influenced by the global, China, and Arabia indexes and inflation.