THE IMPACT OF MACROECONOMIC INDICATORS TO STOCK MARKET PERFORMANCE. THE CASE OF INDONESIA AND MALAYSIA STOCK MARKET

摘要

The purpose of this researh is to examine the impact of macroeconomic indicators to stock market performance in case of Indonesia and Malaysia period of January 2006 to December 2015. Macroeconomic indicators that used are gross domestic product growth rate, inflation rate, and interest rate. The proxies of stock market performance are stock market liquidity, market capitalization, and stock market return. Indonesia stock market represented by JKSE and Malaysia represented by KLSE. This research employs Multiple Regression analysis by using backward elimination method. By using classical assumption for least squre, all the data are free from heteroscedasticity, autocorrelation, and multicollinearity. Regression result showed that Gross domestic product growth rate have no impact to all proxy of stock market performance. Inflation rate have negative impact to several proxies of stock market performance, which are market capitalization and market return in Indonesia and market capitalization in Malaysia. While interest rate have no impact to all proxy of stock market performance.