Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology

ISSN No:-2456-2165

Analysis of the Effect of Macroeconomics and Firm

Value on Consumer Goods Stock Returns
Agustinus Hendi Priyambudi; Hakiman Thamrin
Faculty of Economics and Business, Mercu Buana University Indonesia

Abstract:- This study aimed to analyze the effect of

Macroeconomics and Firm Value on Consumer Goods
Stock Returns. The choice of shares in consumer goods
was taken because at this time of the pandemic, people
still need food, beverages and medicines or
pharmaceuticals. The quantitative method was carried
out using the Vector Error Correction Model (VECM)
analysis model approach. The results of this study were to
determine the effect of Macroeconomics (Inflation,
Interest Rates and Exchange Rates) on consumer goods
stock returns. To determine the effect of firm value (PER,
PBV) on consumer goods stock returns. Short-term and
long-term relationships could be seen from the results of
the VECM analysis and investing in consumer goods source: Yahoo/Finance (2021)
companies' stocks can be an option. Figure 1. Stock movements for the period January 2, 2015-
December 31, 2020
Keywords:- Inflation, Interest Rate, Exchange Rate, PER and
PBV. The decline in the JCI as a result of COVID-19 has
attracted investors' attention to analyze stocks that are
I. INTRODUCTION suitable for investment. Stock return or Stock Return is very
sensitive to changes in the business environment and the
At the beginning of 2020, the world was shocked by an
economy of a country. Therefore, investors need to be careful
infectious disease, namely 2019-nCoV or what we call
in investing in the capital market and need a lot of accurate
COVID-19. The first case was discovered in Wuhan, the
information as a consideration in making choices (Pratama,
capital of China's Hubei province in December 2019, and was
Azizah & Nurlaily, 2019).
identified by the WHO China State Office as pneumonia of
unknown etiology. The COVID-19 outbreak has not only
This kind of COVID-19 event creates uncertainty for
affected the health of the entire world, but also the world investors to predict future outcomes. Investors cannot predict
economy. many industries have had to stop production to when uptrends and downtrends will come and end, what the
comply with government regulations and protect their costs will be, or how companies will counter adverse market
employees. As a result, economic activity is hampered. And moves caused by the impact of COVID-19.
in the long term, the COVID-19 outbreak will lead to
business bankruptcy and layoffs on a large scale (Zhang et al.,
One of the stock markets that has a significant
2020). contribution to the JCI is Consumer Goods. This is because
all segments of society consume these goods every day in the
As we know, the world economy was impacted when form of fast food items, toiletries, beauty, medicines, snacks,
the COVID-19 outbreak occurred, and indirectly affected etc.
stock markets in the world. The development of the stock
market from January 2, 2015 to December 31, 2020 can be
The large intrinsic potential of the consumer goods
seen in Figure 1.1. From the figure, it can be seen that there
industry during the COVID-19 pandemic is inversely
has been a significant decline after the COVID-19 outbreak. proportional to the movement of shares in the consumer
Recent research has shown that there is a significant influence goods sector. This can be seen in Figure 1.2 which shows that
between the stock market and the COVID-19 outbreak. From
the performance is lower than the JCI. From Figure 1.2 we
a graphic taken from Yahoo finance, the stock market in the
can see that in the fourth quarter of 2020 when the JCI had
United States fell -20% as well as the Nikkei, the Tokyo positive growth, the movement of consumer goods stocks
Stock Exchange. The impact of COVID-19 also affected the decreased. This stock movement is certainly interesting to
Composite Stock Exchange Index (CSPI) in Indonesia which study if it is related to the intrinsic price of this sector and its
experienced a significant decline.
potential, in order to make it easier for investors to choose
suitable stocks during the COVID-19 pandemic.

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Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
BAP & Luh GSA (2014), Meri A (2014), Alfi AS & Indra W
(2018), Utama Am & Wiksuana IG (2018) and from Eka B &
Indra Sakti (2019) that inflation has an effect significant
positive on Stock Return.

Based on the description above, this research is

important because it can provide one of the fundamental
indicators to see the company's prospects before the COVID-
19 pandemic and during the pandemic until the end of 2020
in the consumer goods sector, especially the food and
beverage and pharmaceutical sub-sectors by looking at the
inflation rate and company value obtained from the
company's financial performance report for the 2015–2020
period.
Source: Yahoo/Finance (2021)
Figure 2. JCI vs Consumer Goods in the period 2 Jan 2015- II. LITERATURE REVIEW
31 Dec 2020
A. Macroeconomics
In this economic crisis situation, it is important to Macroeconomics is a basic concept that can explain the
analyze the stock movement of the consumer goods sector. In following:
the stock analysis approach, there are two methodologies that a) Factors causing unemployment in the economy and ways
are commonly used to analyze stock returns, namely technical to overcome them.
analysis and fundamental analysis. According to Halim A b) Factors affecting the rate of product growth/national
(2005) states that technical analysis is based on data on income.
changes in stock prices in the past as an effort to estimate c) Factors causing inflation and ways to overcome it.
stock prices in the future. d) Factors causing the rise and fall of interest rates.
e) Factors causing imbalance (deficit or surplus) in a
In developing an investment strategy, it is important to country's balance of payments.
consider macroeconomic factors, while the most important f) Factors affecting fluctuations in the domestic currency
economic factor to consider is the market interest rate that exchange rate against foreign currencies.
will occur because interest rates have a significant
relationship with capital market performance. The other 2) Inflation
factor is inflation, especially for long term investment. Inflation is the tendency of prices to rise in general and
(Hartono J, 2017). continuously (Boediono, 2014).

The company value that will be used is Price to Earning 3) Interest Rate (BI-Rate)
Ratio (PER), Price Book Value (PBV), as a ratio to see its Interest for banks as financial intermediaries is the price
effect on stock returns of consumer goods companies listed of money in buying and selling transactions. The interest
on the Indonesia Stock Exchange from 2015 to 2020 in the charged by the bank represents administrative costs, rental
food and beverage subsector. and bevarages) and fees, reserves in case of bad loans, and inflation reserves
pharmaceuticals (pharmaceuticals). (Huda et al, 2008).

Many previous studies have been conducted to see how 4) Rupiah Exchange Rate (Exchange Rate)
investment generates a company's stock return which can be According to Musdholifah & Tony (2007), the exchange
explained based on the influence of fundamental factors. rate is the comparison between the price of a country's
Some researchers show interesting results because of the currency with the currency of another country. For example,
diversity of their research results. Anggun ABP & Joko the rupiah exchange rate against the US dollar shows how
(2012) which states that profitability and firm value affect many rupiahs are needed to be exchanged for one US dollar.
Stock Return and PBV can provide an overview of the
potential for stock movements and have a significant positive The use of foreign exchange or foreign currency as a
effect, Giovanni B (2013) which is combined with research means of payment in international trade is required because
from Anggun ABP & Joko (2012) and Utama AM & generally countries that carry out trading (trade) only want
Wiksuana IG (2018) and Eka B & Indra S (2019) and the payment for the goods given to other countries using their
findings of Meiliana J & Baby AF (2015) and also Dedy NB country's currency, or the currency of other countries
(2020) which state that PBV does not have a significant deemed necessary. which has been determined as a
negative effect on stock returns. standard for example Yen, USD and so on, (Iskandar
Putong I 2013:366).
Risdiyanto (2016) and Yusril & Ervin M (2018) found
PER has a significant positive effect on Stock Return, while
according to Dedy N B (2020) found PER has a non-
significantly negative effect. Research from Made A, Ida

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Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
B. Company Value C. Stocks
One of the main goals of a company is to maximize the The definition of shares according to Sunariyah (2011)
value of the company, the value of the company is used as a what is meant by shares are as follows: "Securities issued by
measure of the company's success because increasing a company in the form of a limited liability company (PT) or
company value means increasing the prosperity of company commonly called issuers. Shares state that the owner of the
owners or shareholders. The value of the company can be share is also a partial owner of the company."
seen from the value of the shares of the company concerned,
Harjito A and Martono (2010). A share has a value or price and can be divided into 3
(three), namely:
According to Husnan S and Enny Pudjiastuti (2012) the 1). Nominal Price
value of the company is as follows: "The value of the The price reflected in the share certificate determined by the
company is the price that prospective buyers are willing to issuer to value each share issued, the amount of the nominal
pay if the company is sold. The higher the value of the price gives the stock importance because the minimum
company, the greater the prosperity received by the owner of dividend is usually determined based on the nominal value.
the company.
2). Prime Price
The Purpose of Maximizing Company Value According This price is at the time the share price is listed on the
to Made I Sudana (2011) theories in the financial sector have stock exchange. The stock price in the primary market is
one focus, namely maximizing the prosperity of shareholders usually determined by the underwriter (under writer) and the
or company owners (wealth of the shareholders). This issuer, thus it will be known how much the issuer's stock
normative objective can be realized by maximizing the price will be sold to the public in order to determine the initial
market value of the firm. For companies that have gone price.
public, maximizing the value of the company is the same as
maximizing the stock market price. 3). Market price
If the initial price is the selling price of the issuance
The Concept of Corporate Value According to agreement to investors, then the market price is the selling
Christawan and Tarigan (2007) several value concepts that price from one investor to another, this price occurs after the
explain the value of the company include the following: shares are listed on the stock exchange, the transaction here
a). The nominal value, which is the value that is formally no longer involves the issuer of the underwriter. referred to as
listed in the company's articles of association, is explicitly the price in the secondary market
stated in the company's balance sheet, and is also clearly
written in the collective share certificate. 4). Stocks return
b). Market value or often called the exchange rate is the price Stock returns in general can be defined as the results
that occurs from the bargaining process in the stock market. obtained by investors from the investments made and can be
This value can only be determined if the company's shares are seen as a value addition (gain) or even a reduction in value
sold on the stock market. (loss) where these two concepts are based on the condition of
c). Intrinsic value is a value that refers to the estimated real the ups and downs of the value of the investments made by
value of a company. The value of the company in the concept investors. the. So that investors often have to make predictions
of intrinsic value is not just the price of a set of assets, but the and monitor the possibility of the return to be obtained.
value of the company as a business entity that has the ability
to generate profits in the future. D. Signaling theory
d). Book value is the value of the company which is Signal theory explains the reasons for companies to
calculated on the basis of accounting concepts. provide financial statement information to external parties
e). Liquidation value is the selling value of all company related to the existence of information asymmetry between
assets that must be met the company's management and outside parties. The company
f). The residual value is the share of the shareholders. The management has more information and knows the company's
liquidation value can be calculated based on the performance prospects in the future. The information can be in the form of
balance prepared when a company will be liquidated. financial reports, company policy information or other
information that is carried out voluntarily by the company's
The Company Values that will be used are: management. Signal theory suggests how a company should
a). Price Earning Ratio (PER) provide signals to users of financial statements. This signal is
Price To Earning Ratio, or abbreviated P/E Ratio is the in the form of information about what has been done by
main tool for calculating the stock price of a company management to realize the owner's wishes. Signals can be in
compared to the company's income. PER is a function of the form of promotions or other information stating that the
changes in expected future earnings capabilities. company is better than other companies (Meythi and Hartono,
2012).
b). Price to Book Value (PBV)
Price to Book Value (PBV) or in Indonesian called the E. Agency throty
Price to Book Value Ratio is an investment valuation ratio Agency Theory (Agency Theory) Jensen and Meckling
that is often used by investors to compare the market value of (1976) state that agency theory describes shareholders as
a company's stock with its book value. principals and management as agents. Management is a party

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Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
contracted by shareholders to work in the interests of B. Research Design
shareholders. For this reason, management is given some The type of research used in this research was
power to make decisions in the best interests of shareholders. quantitative research.
Therefore, management is obliged to account for all its efforts
to shareholders. Because the unit of analysis in agency theory C. Definition and Operational Variables
is the contract that underlies the relationship between the Dependent Variable In this study, the dependent
principal and the agent, the determination of the most variable is stock return.
efficient contract that underlies the relationship between the
principal and agent. Independent Variables In this study, there are five
independent variables, namely Inflation (X1), Interest Rates
F. Conceptual framework (X2), Exchange Rates (X3), Price To Earning Ratio (PER)
(X4), Price Book Value (PBV) (X5).

D. Population and sample

The population of this study are all companies listed on
the Indonesia Stock Exchange (IDX) which are the Consumer
Goods sector.
Sampling in this study using purposive sampling
method. The criteria for taking the sample of this research
are:
a). A consumer goods company listed on the Indonesia Stock
Exchange
b). Food and beverage and pharmaceutical sub-sector
Figure 3. Conceptual Framework companies.
c). Companies that publish financial statements for the 2015-
The arrow image in the research model connects one 2020 period
variable to another, explaining the conceptual hypothesis d). Companies that have IPOs for more than 10 years.
formed and proving that each component in the
Macroeconomic and Firm Value categories has an influence E. Data Collection Method
on stock returns on the Indonesia Stock Exchange for the Impuls Response Function, Analisis Variance
2015-2020 period. Decomposition. In this study, the researcher collected data
using secondary data obtained through literature studies
The relationship between each of the variables formed which were obtained through articles, journals, books and
(Inflation, Interest Rates, Exchange Rates, PER, PBV) and published Annual Financial Reports.
Stock Returns are both components for calculating the results
of software eviews versions 11 seen the results of the The data is collected by documentation, namely by
independent variables that affect Stock Return in In the short collecting the company's annual financial report documents
term and long term, the company's shares can be selected as from the IDX website (https://www.idx.co.id) and Yahoo
investment options. Finance (https://finance.yahoo.com).
G. Hypothesis As for testing the data that has been obtained, the data is
H1 : There is an effect of Inflation on Consumer Goods Stock processed by Testing and analyzing the description of the
Return in 2015 – 2020. panel data. Data Stationarity Test, Optimal Lag Length Test,
H2 : There is an effect of interest rates on consumer goods VAR Model Stability, Granger Causality Analysis,
stock returns in 2015 – 2020. Cointegration Test, VECM Empirical Model, Impulse
H3 : There is an effect of Exchange Rate on the Stock Return Response Function Analysis, Analysis Variance
of consumer goods in 2015 – 2020. Decomposition.
H4 : There is an effect of Price Earning Ratio (PER) on the
Stock Return of consumer goods in 2015 – 2020. IV. RESULT AND DISCUSSION
H5 : There is an effect of Price to Book Value (PBV) on the
Stock Return of consumer goods in 2015 – 2020. A. OVERVIEW OF THE RESEARCH OBJECT
This study used the shares of companies listed on the
III. RESEARCH METHODOLOGY Indonesia Stock Exchange as the object of research. Where the
stocks that were used as the population in this study are stocks
A. Location and Research Design that are included in the Consumer Goods group and listed on
This research took the object of research on companies the Indonesia Stock Exchange during the 2015-2020 period.
that were permanently listed in the index in the stock index in The number of companies collected was 57 companies. The
the period January 1, 2015-December 31, 2020. sampling technique used in this research was purposive
sampling. So that companies which had criteria from sampling
as many as 18 companies are:

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Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
Table 1. List of Consumer Goods Companies Conducted
Research From the data from the stationary test, the data are all
NO PERUSAHAAN SECTOR CONSUMER GOODS KODE SAHAM stationary because the value is below 0.05
VAR Lag Order Selection Criteria
1 PT. FKS Food Sejahtera, Tbk AISA Endogenous
C. Optimal variables: CRS INF KURS
Lag Length TestNTK PBV PER
2 PT. Bumi Tekno KulturaUnggul. Tbk BUDI Exogenous variables: C of the optimal lag in this study is based
Determination
Date:the
on 07/25/21
criteriaTime: 17:07
of sequential modified LR test statistics (LR).
3 PT. Wilmar Cahaya Indonesia, Tbk CEKA
Sample: 1 72
4 PT. Delta Djakarta, Tbk DLTA Included observations:
Table71 3. Optimal Lag Length Test
5 PT. Indofood CBP Sukses Makmur, Tbk ICBP
Lag LogL LR FPE AIC SC HQ
6 PT. Indofood Sukses Makmur, Tbk INDF
7 PT. Multi Bintang Indonesia, Tbk MLBI 0 -860.9147 NA 1624.378 24.42013 24.61134 24.49617
8 PT. Mayora Indah, Tbk MYOR 1 -478.8052 688.8734* 0.095099* 14.67057* 16.00906* 15.20284*

9 PT. Nippon Indosari Corpindo, Tbk ROTI

10 PT. Sekar Laut, Tbk SKLT * indicates lag order selected by the criterion
LR: sequential modified LR test statistic (each test at 5% level)
11 PT. Tunas BaruLampung, Tbk TBLA
FPE: Final prediction error
12 PT. Kimia Farma, Tbk KAEF AIC: Akaike information criterion
13 PT. Kalbe Farma, Tbk KLBF SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion
14 PT. Merck, Tbk MERK
15 PT. Pyridam Farma, Tbk PYFA D.Roots
VARof Characteristic
. Stability Test Polynomial
Endogenous variables: CRS INF KURS
ANTK
VARPBVsystem
PER
is said to be stable if all its roots have a
16 PT.Industri Jamu dan Farmasi Sido Muncul, Tbk SIDO
modulus < 1. variables: C
Exogenous
17 PT. Tempo Scan Pacific, Tbk TSPC Lag specification: 1 1
18 PT. Sekar Bumi, TBK SKBM Table
Date: 4. RootsTime:
07/25/21 of Characteristic
10:04 Polynomial Result
Root Modulus
After obtaining the research sample, then proceed with
the process of compiling data by entering all research samples 0.946619 - 0.019927i 0.946829
and inputting data for each variable of Stock Return, Inflation, 0.946619 + 0.019927i 0.946829
0.879568 - 0.091879i 0.884354
Interest Rates, Exchange Rates, PER, PBV during the period
0.879568 + 0.091879i 0.884354
2017-2020 by using software eviews versions 11 . 0.501066 0.501066
0.346086 0.346086
B. Stationary Test Data
Stationarity data is needed to influence the results of the No root lies outside the unit circle.
VECM estimation test. According to Winarno (2015) in VAR satisfies the stability condition.
Afandi (2015), the regression equation with non-stationary
variables will produce something called spurious regression. Based on the VAR stability test shown in Table 4. It can
In this study, to be able to detect whether or not each variable be concluded that the estimated stability of the VAR that will
is stationary, the ADF (Augmented Dickey Fuller) test is be used for the IRF and FEVD analysis has been stable
carried out. because the modulus range < 1 satisfies the stability
condition.
GroupBased
unit rooton
test:
theSummary
results of the stationarity test that has been
Series: DRS, INF, DSB, KURS, PER, PBV Figure 4. AR Roots Graph Result
carried out in Table
Date: 07/25/21 Time: 22:42
2. it can be seen that all variables are
stationary at the 1st Deferent level, namely the variables of Inverse Roots of AR Characteristic Polynomial
Sample: 1 72
Inflation, Interest Individual
Exogenous variables: Rates, Exchange
effects Rates, PER, PBV and 1.5
Automatic
Stock selection of maximum lags
Returns.
Automatic lag length selection based on SIC: 0
Newey-West automatic bandwidth selection and Bartlett kernel
1.0
Table 2. for
Balanced observations Data
eachStationarity
test Test Results
0.5
Cross-
Method Statistic Prob.** sections Obs 0.0
Null: Unit root (assumes common unit root process)
Levin, Lin & Chu t* -21.4649 0.0000 6 420
-0.5
Null: Unit root (assumes individual unit root process)
Im, Pesaran and Shin W-stat -19.3126 0.0000 6 420 -1.0
ADF - Fisher Chi-square 148.027 0.0000 6 420
PP - Fisher Chi-square 145.058 0.0000 6 420 -1.5
-1 0 1
** Probabilities for Fisher tests are computed using an asymptotic Chi
-square distribution. All other tests assume asymptotic normality.

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Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology

Date: 07/25/21 Time: 22:46 ISSN No:-2456-2165

SampleModulus
(adjusted): 3value
72 < 1, and nothing outside the circle, the Table 6. Granger Causity Test Results
Included
data observations:
is stable for the 70 after
longadjustments
term.
Trend assumption: Linear deterministic trend Pairwise Granger Causality Tests
Series: DRS DSB INF KURS PBV PER Date: 07/25/21 Time: 22:49
E. Cointegration Result Sample: 1 72
Lags interval (in first differences): 1 to 1 Lags: 1
Table 5. Cointegration Result Null Hypothesis: Obs F-Statistic Prob.

Unrestricted Cointegration Rank Test (Trace) INF does not Granger Cause DRS 71 2.31447 0.1328
DRS does not Granger Cause INF 2.49690 0.1187
Hypothesized Trace 0.05
DSB does not Granger Cause DRS 71 0.16040 0.6900
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** DRS does not Granger Cause DSB 6.80477 0.0112

KURS does not Granger Cause DRS 71 3.48363 0.0663

None * 0.561324 121.2427 95.75366 0.0003 DRS does not Granger Cause KURS 6.34821 0.0141
At most 1 0.359100 63.56310 69.81889 0.1425
At most 2 0.218183 32.42138 47.85613 0.5889 PER does not Granger Cause DRS 71 0.49662 0.4834
DRS does not Granger Cause PER 5.85587 0.0182
At most 3 0.124145 15.19200 29.79707 0.7675
At most 4 0.064794 5.913151 15.49471 0.7058 PBV does not Granger Cause DRS 71 1.16824 0.2836
At most 5 0.017334 1.223995 3.841465 0.2686 DRS does not Granger Cause PBV 0.50339 0.4804

DSB does not Granger Cause INF 71 0.00368 0.9518

Trace test indicates 1 cointegrating eqn(s) at the 0.05 level INF does not Granger Cause DSB 4.63875 0.0348
* denotes rejection of the hypothesis at the 0.05 level
KURS does not Granger Cause INF 71 3.35605 0.0713
**MacKinnon-Haug-Michelis (1999) p-values INF does not Granger Cause KURS 0.48401 0.4890

Unrestricted Cointegration Rank Test (Maximum Eigenvalue) PER does not Granger Cause INF 71 1.00173 0.3204
INF does not Granger Cause PER 3.79736 0.0555

Hypothesized Max-Eigen 0.05 PBV does not Granger Cause INF 71 1.54712 0.2178
No. of CE(s) Eigenvalue Statistic Critical Value Prob.** INF does not Granger Cause PBV 0.01490 0.9032

KURS does not Granger Cause DSB 71 2.02080 0.1597

None * 0.561324 57.67956 40.07757 0.0002 DSB does not Granger Cause KURS 0.56034 0.4567
At most 1 0.359100 31.14172 33.87687 0.1025 PER does not Granger Cause DSB 71 1.20255 0.2767
At most 2 0.218183 17.22938 27.58434 0.5603 DSB does not Granger Cause PER 0.55009 0.4608
At most 3 0.124145 9.278847 21.13162 0.8093
PBV does not Granger Cause DSB 71 2.09082 0.1528
At most 4 0.064794 4.689157 14.26460 0.7804 DSB does not Granger Cause PBV 0.16865 0.6826
At most 5 0.017334 1.223995 3.841465 0.2686
PER does not Granger Cause KURS 71 0.00114 0.9732
KURS does not Granger Cause PER 4.11468 0.0464
Max-eigenvalue test indicates 1 cointegrating eqn(s) at the 0.05 level
F.* denotes
Granger Causality
rejection Test at the 0.05 level
of the hypothesis PBV does not Granger Cause KURS 71 3.25113 0.0758
From the results
**MacKinnon-Haug-Michelis (1999)at Table
p-values6, those who have a causal KURS does not Granger Cause PBV 2.60614 0.1111
relationship are those who have a probability value that is
PBV does not Granger Cause PER 71 1.32482 0.2538
smaller than
Unrestricted alpha 0.05.
Cointegrating so that
Coefficients later byHo
(normalized will be rejected,
b'*S11*b=I): PER does not Granger Cause PBV 0.02168 0.8834
which means one variable will affect other variables.
Reciprocity
DRS or causality
DSB is explained
INF in the discussion.PBV
KURS PER
845.0195 -0.146586 0.201673 0.000513 0.045556 0.012370 Table 7. Short Term Relationship
G. 38.58275
VCEM Model 0.232987 -0.271868 -0.002606 -0.314721 -0.024051
In the pre-estimation
-216.4071 0.773537 stage the Vector
-1.336514 Error Correction
0.000306 0.342121 VARIABLE COEFICIENT
0.055968 t REMAKS
Model (VECM)0.621164
-71.78709 has been passed,
-0.552852namely the data stationarity
-7.45E-05 -0.178598 -0.070161 STATISTIC
test,50.41403
determination of lag length,
0.810561 0.067899cointegration
0.000291 test -0.093810
and VAR 0.011278 CointEq1 -0.811626 [-4.01306] Significant
stability,
20.21778where0.495022
the data -0.248379
used in this-0.000128
study is stable,
0.176790the -0.024860 (-)
modulus range with an average value < 1 and VECM is used. D(DRS(-1)) 0.010638 [0.07464] Significant
(+)
Unrestricted Adjustment Coefficients (alpha): D(DSB(-1)) -0.001355 [-1.13712] Significant
(-)
D(DRS) -0.000960 -0.000565 3.63E-05 0.000429 8.16E-05 -7.75E-05 -0.000175
D(INF(-1)) [-0.27597] Significant
D(DSB) -0.016890 -0.071971 -0.019326 -0.020690 -0.033826 0.000607 (-)
D(INF) -0.051582 0.070379 0.141919 -0.011910 -0.035353 -0.004631 0.0000000711
D(KURS(- [0.011590] Significant
D(KURS) -150.1496 153.6544 -65.05802 -5.252675 -23.70109 1)) 18.85873 (+)
D(PBV) -0.083957 0.153901 -0.088188 0.019029 -0.040312 -0.134338
D(PBV(-1)) 0.000158 [0.55894] Significant
D(PER) 1.603762 -0.886197 0.267708 1.481144 -0.333259 0.375643 (+)
D(PER(-1)) 0.0000655 [1.18140] Significant
(+)
C -0.000269 [-0.10473] Significant
(-)

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 Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
Table 8. Long Term Relationship J. Discussion
VARIABLE COEFICIENT t REMAKS From the results of this study indicate:
STATISTIC 1. Stationarity test of stationary data at the 1st Difference
DRS(-1) 1.000000 level.
DSB(-1) -0.000173 [-0.95653] Significant 2. Test The lag length is 1.
(-) 3. Stability test VAR model is stable because the range of
INF(-1) 0.000239 [1.28154] Significant modulus <1 and AR Root Graph results, all data are in the
(+) inverse Roots characteristic Polynomial and concluded that
KURS(-1) 0.000000607 [1.70968] Significant the VAR model is in a stable condition.
(+)
PBV(-1) 0.0000539 [0.75552] Significant 4. Cointegration Test
(+) The purpose of the cointegration test in this study is to
PER(-1) 0.0000146 [1.12902] Significant determine whether the group of non-stationary variables at
(+) the 1st Difference level meets the requirements of the
integration process, namely where all variables are stationary
H. . Impuls Response Function (IRF) at the same degree, namely degree 1.
IRF results can be seen at:
5. Granger Causality Test
Response to Cholesky One S.D. (d.f. adjusted) Innovations The results of this test are to see whether two variables
Figure 5. IRF
have a reciprocal relationship or not. In other words, does one
Response of DRS to Innovations variable have a significant causal relationship with other
.0025 variables.
.0020
6. VECM Test Results
.0015
VECM test results obtained short and long-term
.0010 relationship between the variables used.
.0005
7. Impulse Response Function (IRF) Test Results
.0000 Impulse Response Function (IRF) analysis will explain
-.0005 the impact of shock on one variable on another variable,
1 2 3 4 5 6 7 8 9 10
which in this analysis is not only in the short term but can be
DRS DSB INF
analyzed for several future horizons as long term information.
KURS PBV PER
Graph of Combined IRF Stock Return data (figure 3)
The IRF analysis here is used to show the response of a). From the combined graph for each independent variable
Inflation, Interest Rates, Exchange Rates, PER, PBV to Stock and dependent variable, it can be seen as a whole that from
Return shocks. the beginning of the 1st year to the 2nd year, stock returns
(DRS) experienced a sharp decline from 0.0020 to 0.005 and
period 3 fell again to 0.0004 then headed to the 4th and 5th
I.Variance Decomposition
Variance Decompotition aims to measure the periods fell to 0.0003 and then gradually decreased until the
contribution or composition of the influence of each 10th year period.
independent variable on the dependent variable. Results can b). The PER variable from period 1 to 2 increased by 0.00005
be seen in the table: then a shock fell to period 3 to 0.0000 and then sloping
down to period 10.
Variance Decomposition using Cholesky (d.f. adjusted) Factors c). For the variable Interest Rate (DSB) and PBV for the 1st
Figure 6. Variance Decomposition
to 2nd period, it decreased below 0 and in the 3rd year it
Variance Decomposition of DRS started to increase to 0.000001 and sloped down to 10th
100 period.
d). For Variables Exchange Rate (EXCHANGE) and Inflation
80
(INF) from the beginning of the period 1 to 10 the value
60 is below 0.0000.
40
8. Variance Decomposition (VD)
20 The amount of contribution or composition of the
influence of each independent variable on the dependent
0 variable can be measured using VD. Variance Variance
1 2 3 4 5 6 7 8 9 10
Decompotition of each independent variable is described as
DRS DSB INF its contribution to the dependent variable:
KURS PBV PER a). The Dependent Stock Return (DRS) variable from period
1 (0.002002) to 10 (0.002309) experienced a slight slight
decrease

IJISRT21AUG631 www.ijisrt.com 762

Volume 6, Issue 8, August – 2021 International Journal of Innovative Science and Research Technology
ISSN No:-2456-2165
b). For Interest Rate Variables (DSB), Inflation (INF), PBV [5]. Righam., Eugne, F., & Joel, F.H. 2011. Fundamentals of
contributions are not significant Financial Management. Second Book, Edition 11
c). For the Exchange Rate Variable (Exchange Rate), translated by Ali Akbar. Jakarta: Salemba Empat.
Inflation (INF), PBV has a significant contribution (+) from [6]. Ghozali., Imam., & Ratmono, D. 2013. Application of
periods 1 to 4 and then increases slightly to period 10. Multivariate Analysis and Econometrics, Theory,
d). The combined graph as in Variance Decompotition of Concepts and Applications with Eviews 8. Semarang:
Stock Returns can be used to compare the contribution of Diponegoro University Publishing Agency.
each variable to stock returns. [7]. Hanafi., Mamduh, M., & Halim, A. 2012. Analysis of
Financial Statements, Fourth Edition. Yogyakarta: UPP
V. CONCLUSION AND SUGGESTION STIM YKPN.
[8]. Jaunanda, M. & Amelia, B.F. 2015. analysis of the
A. Conclusion effect of liquidity ratios, profitability ratios, solvency
From the results of the discussion of this study it can be ratios and market ratios on stock returns. Ultima
concluded that: Accounting Vol 7. No.1. June.
1. There is an Inflation Effect on Consumer Goods Stock [9]. Kostov., Philip., & John,L. 2000. Regime Switching
Returns in 2015 – 2020. Vector Error Corection Model (VECM), Analysis of
2. There is no influence of interest rates on consumer goods UK Meat.
stock returns in 2015 – 2020.
3. There is an effect of Exchange Rate on the Stock Return
of consumer goods in 2015 – 2020.
4. There is an effect of Price Earning Ratio (PER) on the
Stock Return of consumer goods in 2015 – 2020
5. There is an effect of Price to Book Value (PBV) on the
Stock Return of consumer goods in 2015 – 2020.

B. Suggestion
Based on the results and conclusions of the research that
have been described, the researchers can provide various
suggestions as follows:
1. Subsequent research uses a larger and more diverse
sample size, not only in the food and beverage and
pharmaceutical sub-sectors for comparison in research in
making investment portfolios.
2. For investors, this finding is expected to further improve
the quality of decision making in choosing consumer
goods stocks.
3. For the government, in this case the OJK and the IDX as
regulators of the Indonesian capital market, this research
should further enhance its capabilities in an effort to
increase market (investor) confidence in the stock
exchange due to the economic crisis during the pandemic.

REFERENCES

[1]. Zhang, T., Wu, Q., & Zhang ,Z. 2020. Probable
Pangolin Origin of SARS-CoV-2 Associated with the
COVID-19 Outbreak.
https://doi.org/10.1016/j.cub.2020.03.022
[2]. Pratama, C.A., Azizah, D.A., & Nurlaily, F. 2019. The
effect of return on equity (roe), earnings per share (eps),
current ratio (cr) and debt to equity ratio (der) on stock
prices. Journal of Business Administration (JAB)|Vol.
66 No. 1
[3]. Ali, H. & Limakrisna. (2013). Research Methods
Practical Instructions for Solving Business Problems,
Preparation of Thesis, Thesis, Dissertation. Jakarta:
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[4]. Ayu, L.D. & Made, N.D. 2019. The Effect of Inflation,
Profitability and Firm Size on LQ45 Indexed Company
Stock Returns, E-Jurnal of Accounting, Udayana
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