Do Geopolitical Risks Matter? Moderating Effects on Macroeconomic Determinants of Stock Prices in Indonesia
DOI:
https://doi.org/10.47747/snfmi.v3i1.3212Abstract
The recent surge in geopolitical tensions has brought notable effects on Indonesia’s stock market. This study seeks to explore how geopolitical risk plays a moderating role in the relationship between key macroeconomic indicators—exchange rate, interest rate, and money supply—and stock price in Indonesia. A quantitative approach is applied using monthly time series data spanning 10 years, from 2014 to 2023. Data were sourced from the official websites of Badan Pusat Statistik, Bank Indonesia, Investing.com, and Matteo Iacoviello. The analysis reveals that exchange rate and money supply both have negative and significant effects on stock prices, with the latter contrary to expectations. Interest rate shows a significant but inconsistent effect, being positive only in one model. Geopolitical risk significantly moderates the relationship between interest rate and stock price, but not the other variables. These findings suggest that geopolitical factors heighten market sensitivity, particularly toward monetary policy, and should be considered by both investors and policymakers.
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