The RELATIONSHIP BETWEEN INTEREST RATES, RUPIAH EXCHANGE RATES, AND FINANCIAL SECTOR STOCK PRICE INDEXES ON THE INDONESIA STOCK EXCHANGE IN 2018-2023

Abstract

Interest rates, the exchange rate of the rupiah, and the stock price index of the financial sector interact with each other in influencing economic stability. Understanding this relationship is important for investment analysis and decision-making in the financial market. This study aims to determine the effect of interest rates and the exchange rate of the rupiah on the stock price index of the financial sector listed on the Indonesia Stock Exchange from 2018 to 2023, both partially and simultaneously. The sample used in this study consists of 72 samples listed on the Indonesia Stock Exchange during the period of 2018 to 2023. The method used for sample selection is purposive sampling. The type of data in this study is quantitative. The data sources used are secondary data obtained from monthly data on interest rates, the exchange rate of the rupiah, and the stock price index of the financial sector over a period of six years. The data analysis technique used is multiple linear regression analysis, the coefficient of determination (R²) test, and hypothesis testing. The multiple linear regression analysis yields the equation Y = 480.522 – 52.433 X1 + 0.074 X2 + e. From the t-test conducted, the results show that interest rates have a significant effect on the stock price index of the financial sector with t-count 2.509 > t-table 1.994 or a significance value of 0.014 < 0.05. Thus, H1 is accepted and H0 is rejected. Meanwhile, the exchange rate of the rupiah does not have a significant effect on the stock price index of the financial sector with t-count 1.966 < t-table 1.994 or a significance value of 0.053 > 0.05. Therefore, H0 is accepted and H2 is rejected. From the F-test, the results indicate that simultaneously, interest rates and the exchange rate of the rupiah have a significant effect on the stock price index of the financial sector with F-count 3.942 > F-table 3.13 or a significance value of 0.024 < 0.05. Therefore, H3 is accepted and H0 is rejected. From the coefficient of determination test, an R-squared value of 0.103 is obtained, meaning that the variables of interest rates and the exchange rate of the rupiah can only explain 10.3% of the stock price index of the financial sector, indicating a weak relationship between the dependent and independent variables. The remaining 89.7% is influenced by other variables outside the model that have not been studied in this research, such as inflation, Gross Domestic Product (GDP), profitability, liquidity, and the money supply.