PENGARUH GROSS DOMESTIC PRODUCT, INFLASI DAN NILAI TUKAR TERHADAP INDEKS HARGA SAHAM GABUNGAN DENGAN NILAI TRANSAKSI SAHAM SEBAGAI VARIABLE INTERVENING (Studi Empiris Negara Indonesia & Australia Pada World Bank Tahun 2000 - 2023)

This study aims to analyze the impact of macroeconomic variables namely Gross Domestic Product (GDP), inflation, and exchange rate on stock market performance in Indonesia and Australia, as represented by the Indonesia Stock Exchange Composite Index (IHSG) and the ASX Index. In addition, this research considers stock trading value as an intervening variable in the relationship between macroeconomic variables and stock indices. The study uses annual data from 2000 to 2023, covering two countries with different economic characteristics Indonesia as a developing country and Australia as a developed country. The results of the analysis indicate that the influence of macroeconomic variables on stock indices is not always direct and linear, but can be mediated by market activity as reflected in stock trading value. GDP tends to have a positive impact on the stock market through increased investor optimism, while inflation and exchange rate exhibit varying effects depending on economic conditions and market participants’ responses. A comparison between the IHSG and ASX Index reveals differences in sensitivity to these factors, in line with the depth of the market and economic stability of each country. This study contributes to the existing literature on the relationship between macroeconomic variables and stock market performance, particularly by introducing stock trading value as an intervening variable. The findings are expected to serve as a reference for investors, policymakers, and market participants in formulating investment strategies and economic policies that are more responsive to global dynamics.
Keywords : IHSG, ASX Index, Gross Domestic Product, Inflation, Exchange Rate, Stock Trading Value, Intervening Variable, Stock Market, Developing Country, Developed Country.