PENGARUH GDP, NILAI TUKAR DAN INFLASI TERHADAP INDEKS HARGA SAHAM GABUNGAN (IHSG) DI INDONESIA DAN FILIPHINA DENGAN FOREIGN DIRECT INVESTMENT (FDI) SEBAGAI VARIABEL MODERASI

This study was conducted to examine in depth how macroeconomic indicators such as Gross Domestic Product (GDP), inflation rate, and exchange rate affect the movement of the Composite Stock Price Index (IHSG) in two developing countries in Southeast Asia, namely Indonesia and the Philippines, in the period from 2003 to 2023. Additionally, this study incorporates Foreign Direct Investment (FDI) as a moderating variable to analyze the extent to which foreign direct investment flows can strengthen or weaken the influence of macroeconomic indicators on the IHSG. Using a quantitative approach through panel data regression and Fixed Effect model testing, this study found that GDP and inflation did not show a significant influence on the IHSG, as indicated by probability values exceeding the 0.05 threshold. This suggests that in the short term, economic growth and inflationary pressures are not yet strong enough to directly influence stock market dynamics. Conversely, the exchange rate was found to have a significant influence on the IHSG, indicating that fluctuations in the rupiah and peso exchange rates against the US dollar play an important role in shaping investor expectations in the capital market. Furthermore, the study also revealed that FDI significantly moderates the relationship between the exchange rate and the IHSG, meaning that the presence of foreign direct investment can strengthen the impact of exchange rate stability on stock market performance. However, FDI does not play a significant role in moderating the influence of GDP or inflation on the IHSG. This finding underscores the importance of creating a conducive investment climate and maintaining exchange rate stability as key strategies for strengthening capital markets in developing countries. This study is expected to contribute both theoretically and practically to investors, academics, and policymakers in understanding the interplay between macroeconomic indicators, foreign investment flows, and stock market performance.
Keywords: GDP, inflation, exchange rate, IHSG, Foreign Direct Investment