The Impact of Inflation, Interest Rates, and Exchange Rates on The Property and Real Estate Sector Stock Price Index for The Period 2021–2024

Geraldo Apta Andhika; Rosmita Rasyid

doi:10.59141/jiss.v7i6.2401

Authors

Geraldo Apta Andhika Universitas Tarumanagara
Rosmita Rasyid Universitas Tarumanagara

DOI:

https://doi.org/10.59141/jiss.v7i6.2401

Keywords:

Inflation, Interest Rate, Exchange Rate, IDXPROPERT

Abstract

The property sector plays a crucial role in Indonesia's economy, yet its stock market performance often exhibits anomalies that cannot be fully explained by conventional macroeconomic theory. This research aims to analyze the effect of inflation, interest rates, and exchange rates on the Property and Real Estate Sector Stock Price Index (IDXPROPERT) at the Indonesia Stock Exchange for the period 2021–2024. Monthly time series data of 48 observations were analyzed using multiple linear regression after passing classical assumption tests, with data transformation through the first difference method to address autocorrelation issues. The partial test results show that inflation (t = −0.8557, p = 0.3969) and interest rates (t = −0.1946, p = 0.8466) have no significant effect on IDXPROPERT, while exchange rates have a negative and significant effect (t = −2.6222, p = 0.0120). Simultaneously, all three macroeconomic variables significantly affect IDXPROPERT (F = 2.9940, p = 0.0411), with an adjusted R² of 11.51%. In conclusion, among the three variables examined, only the exchange rate consistently serves as a significant predictor of IDXPROPERT performance, reflecting the sensitivity of the property sector to rupiah depreciation through increased import costs and foreign debt burdens. The findings suggest that investors should closely monitor rupiah exchange rate movements in property sector investment decisions. Companies are advised to strengthen exchange rate risk management through hedging instruments.

References

Bandawaty, E., & Nurfitria, I. P. (2022). The effect of profitability on stock prices (Empirical study: Companies in the primary goods retail trading sub-sector listed on the Indonesia Stock Exchange 2016–2021). KINERJA: Jurnal Ekonomi dan Bisnis, 5(2), 286–299. https://doi.org/10.34005/kinerja.v5i02.2416

Boimau, D. B. H., Amtiran, P. Y., Makatita, R. F., & de Rozari, P. E. (2023). The effect of inflation, rupiah exchange rate, and world oil prices on sectoral stock price indexes in the property and real estate sector listed on the Indonesia Stock Exchange. Glory: Jurnal Ekonomi & Ilmu Sosial, 4(1), 25–33. https://doi.org/10.35508/glory.v5i1.13181

Brilian, A. P. (2024, September 20). BI interest rates have dropped, when will mortgages follow? Detik Properti. Retrieved from https://www.detik.com/properti/berita/d-7548284/suku-bunga-bi-sudah-turun-kapan-kpr-ikutan

Budiman, M., Premana, V., & Maryadi, A. (2023). The effect of interest rates, inflation, and exchange rates on stock returns. Margin: Lentera Jurnal Manajemen Keuangan, 1(1).

CNBC Indonesia. (2024, August 29). Rupiah strongest since December 2023, but IDXPROPERT doesn’t respond proportionally. https://www.cnbcindonesia.com/market/20240829150516-17-567503/rupiah-terkuat-sejak-desember-2023-dolar-turun-ke-rp-15410

Damayanti, A. (2024, December 30). At the end of trading in 2024, the JCI closed at 7,079. detikFinance. Retrieved from https://finance.detik.com/bursa-dan-valas/d-7709869/akhir-perdagangan-2024-ihsg-ditutup-di-level-7-079

Enders, W. (2015). Applied econometric time series (4th ed.). John Wiley & Sons.

Galuh, Y., Abdullah, & Anggraeni, S. (2026). Analysis of the effect of inflation, interest rates, exchange rates, and recessionary sentiment on property stock performance in Indonesia. Student Journal, 8(1), 12–24. https://doi.org/10.51903/jippm.v8i1.1554

Ghozali, I. (2016). Aplikasi analisis multivariate dengan program IBM SPSS 25. Badan Penerbit Universitas Diponegoro.

Gujarati, D. N., & Porter, D. C. (2009). Basic econometrics (5th ed.). McGraw-Hill.

Handayani, H., & Nuswandari, N. (2025). The effect of inflation, BI interest rate, exchange rate, and gross domestic product on the stock price index of the property and real estate sector on the Indonesia Stock Exchange in 2020–2024. JEMSI (Jurnal Ekonomi, Manajemen, dan Akuntansi), 11(5), 4680–4690. https://doi.org/10.35870/jemsi.v11i5.5059

Hasanah, L. U., Haryadi, & Emilia. (2021). A study of macroeconomic variables and their influence on the stock price index of the property and real estate sector on the Indonesia Stock Exchange. Jurnal Ekonomi Aktual, 1(2), 85–98. https://doi.org/10.53867/JEA.v1i2.21

Indonesia Stock Exchange. (2024, December). IDX index fact sheet: IDX sector properties & real estate (IDXPROPERT)—December 2024. Research Division.

Indonesia Stock Exchange. (2025, July 4). Press release: Number of capital market investors exceeds 17 million, new investors exceed 2 million. Retrieved from https://www.idx.co.id/id/berita/siaran-pers/2409

Indonesia Stock Exchange. (n.d.). Index. Retrieved from https://www.idx.co.id/id/produk/indeks/

Nisak, Z., & Budiman, A. (2023). The effect of inflation, exchange rates, and the BI rate on stock prices in the property sector on the Indonesia Stock Exchange 2017–2021. Jurnal Ekonomika45, 10(2), 79–86. https://doi.org/10.30640/ekonomika45.v10i2.874

Nityakanti, P. (2023, July 5). Inflation declines, property sector still under pressure from high interest rates. Industri Kontan. Retrieved from https://industri.kontan.co.id/news/suku-bunga-belum-turun-sektor-properti-diprediksi-masih-terdekan

Nityakanti, P. (2024, April 25). IDXPROPERT drops 13.25% year-to-date after BI rate hike to 6.25%. Investasi Kontan. Retrieved from https://investasi.kontan.co.id/news/bi-kerek-suku-bunga-begini-dampaknya-ke-emiten-properti

Financial Services Authority. (2024). Fact book on capital markets, derivative finance, and carbon exchanges (PMDK) 2024.

Pratiwi, R. W., & Dwiridhotjahjono, J. (2023). The effect of inflation, rupiah exchange rate, and BI interest rate on stock prices of property and real estate sub-sector companies listed on the IDX for the 2016–2020 period. Reslaj: Religion Education Social Laa Roiba Journal, 5(2), 391–406. https://doi.org/10.47467/reslaj.v5i2.1517

Sekaran, U., & Bougie, R. (2010). Research methods for business: A skill-building approach (5th ed.). John Wiley & Sons.

Setiawati, S. (2024, February 7). The world may be in chaos, but the Indonesian property sector is predicted to thrive. CNBC Indonesia. Retrieved from https://www.cnbcindonesia.com/research/20240207065706-128-512466/dunia-boleh-amburadul-sektor-properti-ri-malah-diramal-melaju

Sidik, S. (2023, December 7). The effect of high interest rates, the property sector is predicted to remain sluggish in early 2024. Katadata Finansial. Retrieved from https://katadata.co.id/finansial/bursa/6571b1b6aac35/efek-suku-bunga-tinggi-sektor-properti-diramal-masih-lesu-awal-2024

Sugiyono. (2013). Metode penelitian kuantitatif, kualitatif, dan R&D. Alfabeta.

Tandelilin, E. (2017). Pasar modal: Manajemen portofolio dan investasi (3rd ed.). Kanisius.

Tomar, K. S., & Kesharwani, S. (2022). Asymmetric effect of monetary policy on Indian stock market sectors: Do monetary policy stimulus transpire the same effect on all sectors? Cogent Economics & Finance, 10(1), 1999058.