



































www.ijmsssr.org


 Global Journal of Education and Allied  

Research (GJEAR) 
Volume.13, Number 3; March-2022; 

ISSN: 2837-3707 | Impact Factor: 6.79 

https://zapjournals.com/Journals/index.php/gjear  

Published By: Zendo Academic Publishing 

 

 

pg. 16 

ANALYZING THE IMPACT OF INTEREST RATES, GDP GROWTH, AND 

PROFITABILITY ON STOCK RETURNS IN INDONESIA'S PROPERTY SECTOR 
 
1Dr. I Gusti Nyoman Rai, 2Prof. Ni Luh Made Astini and 3Dr. Wayan Gede Putra 

 

Article Info  Abstract 

Keywords: Economic growth, 

monetary policy, stock returns, 

interest rates, GDP growth 

 This study investigates the intricate relationship between economic 

growth, monetary policy, and financial indicators, primarily focusing 

on their impact on stock returns in the capital market. Recognizing the 

complexity of stock returns as a pivotal aspect for investors and 

financial analysts, this research delves into the critical factors that shape 

these returns. Utilizing data obtained from www.bi.go.id, this study 

examines the fluctuating trends in Indonesia's average interest rates 

from 2011 to 2019, highlighting the profound influence of these rates 

on investment decisions. Moreover, insights drawn from 

www.bps.go.id and www.idx.go.id elucidate the varying patterns in 

Indonesia's Gross Domestic Product (GDP) growth and Return on 

Equity (ROE) of property sector companies during the same period. 

The analysis underscores that interest rates wield substantial 

attractiveness for investors, with fluctuations potentially impacting 

investment choices between stocks and other financial instruments. 

Moreover, the study underscores the interplay between GDP growth, 

sales turnover, company profits, and subsequent stock price increments, 

emphasizing the significance of macroeconomic factors in determining 

stock returns. Highlighting the role of financial reports, the research 

emphasizes the correlation between sound financial performance and 

positive company operations, corroborating how good financial 

indicators often coincide with successful operations. 

In navigating investment decisions, investors are urged to assess risks 

judiciously. The study suggests that a comprehensive analysis 

combining technical and fundamental assessments offers a robust 

approach to mitigate potential capital losses. This research contributes 

to a nuanced understanding of the intricate dynamics that underlie stock 

returns, providing investors with valuable insights for informed 

decision-making. 
 

                                                      
1Faculty of Economics and Business, Warmadewa University Denpasar, Bali-Indonesia 
2Faculty of Economics and Business, Warmadewa University Denpasar, Bali-Indonesia 
3Affiliation: Faculty of Economics and Business, Warmadewa University Denpasar, Bali-Indonesia 

https://zapjournals.com/Journals/index.php/gjear


Global Research Journal of Management and Social Sciences (GRJMSS) Vol. 13 (3) 
 

pg. 17 

PRELIMINARY   

Economic growth, monetary policy and financial reports are a breath of fresh air for investors because these 

factors can project returns as expected. Stock returns have always been a source of controversy in the capital 

market because it is an interesting phenomenon for investors and financial analysis. In order to get the desired 

stock return, investors must be more selective in choosing a company and pay attention to the supporting factors 

before investing their capital. Based on data sourced from www.bi.go.id the data is processed by the author in 

2021 the average interest rate of Bank Indonesia from 2011-2019 fluctuated, where the lowest interest rate 

occurred in 2017 at 4.56% and the highest interest rate occurred in 2014 at 7.54% According to Adnyana (2017), 

it shows that interest rates are one of the attractions for investors to invest in the form of deposits or SBIs so that 

investments in shares will be rivaled by an increase in interest rates which will cut company profits.   

Based on data sourced from www.bps.go.id the data is processed by the author in 2021 the average growth of 

Indonesia's Gross Domestic Product from 2011-2019 has increased from year to year, but for growth there is 

fluctuation and tends to decrease every year, where the lowest Gross Domestic Product Growth rate occurred in 

2019 which was 6 ,72% and the highest Gross Domestic Product Growth occurred in 2014 at 16.06%. According 

to Wiranata (2021) with an increase in Gross Domestic Product (GDP) it can reflect an increase in the scale of 

the company's sales turnover, an increase in the scale of sales turnover will lead to an increase in company profits 

which will have an impact on rising stock prices so as to increase stock returns. Based on data sourced from 

www.idx.go.id the data is processed by the author in 2021 the average Return on Equity (ROE) of property sector 

companies from 2011-2019 fluctuated, where the lowest average Return on Equity (ROE) occurred in 2019 which 

was 2.59% and the average The highest Return on Equity (ROE) occurred in 2013 at 12.06%. According to Devi 

(2019) that a good financial report is a signal or a sign that the company has also been operating well.   

Investors in making every investment decision try to minimize the various risks that arise. Investors must decide 

what actions to take and what strategies to implement from changes in micro and macro conditions in order to 

keep getting the desired return (Wiranata, 2021). The way that investors can use to avoid the risk of loss (capital 

loss) that may be experienced is to analyze both technically and fundamentally. Technical analysis is stock 

analysis by looking at the behavior of investors in the capital market. While fundamental analysis is an analysis 

conducted by looking at valid data published by the company in the form of financial statements.   

This study uses a fundamental analysis of the external and internal aspects of the company. External aspects can 

be analyzed through monetary theory using the reference interest rate (BI Rate) and through economic growth 

theory using Gross Domestic Product (GDP) growth, while internal aspects can be analyzed using company 

profitability. Based on the above background and the inconsistency of the results of previous research, the authors 

are interested in examining and studying more deeply about the effect of interest rates, gross domestic product 

(GDP), and profitability on stock returns by taking the research title "The Effect of Interest Rates, Growth Gross 

Domestic Product (GDP) and Profitability on Stock Returns of Property Companies Listed on the Indonesia Stock 

Exchange”.   

LITERATURE REVIEW   

(DSta) Bank Indonesia (2016) The BI rate as the reference interest rate is the policy interest rate that reflects the 

monetary policy stance or stance set by Bank Indonesia and announced to the public. McEachern (2015:146) in 

Wiranata (2021) defines Gross Domestic Product (GDP) as a measure of the market value of final goods and 

services produced by resources residing in a country for a certain period of time, usually one year. Profitability is 

a ratio used to measure a company's ability to generate profits. One type of profitability ratio that can be used by 

investors in analyzing the company's financial statements is Return on Equity (ROE). Return on Equity (ROE) is 

a profitability ratio to assess the company's ability to generate profits from the investment of the company's 

shareholders expressed as a percentage (Kasmir, 2018). Stock return is the level of profit enjoyed by investors on 

an investment they make. In capital market theory, the rate of return received by an investor from shares traded 

in the capital market (shares of publicly traded companies) is usually termed Return (Alam, 2016).   

http://www.bi.go.id/
http://www.bi.go.id/
http://www.bps.go.id/
http://www.bps.go.id/
http://www.idx.go.id/
http://www.idx.go.id/


Global Research Journal of Management and Social Sciences (GRJMSS) Vol. 13 (3) 
 

pg. 18 

Previous research relevant to this study is as follows: Adnyana et al (2017) with the title The Effect of Gross 

Domestic Product, Rupiah/US Dollar Exchange Rate, Inflation, and Interest Rates (BI) on Stock Returns of  

Registered Property and Real Estate Sub-Sector Services Companies on the Indonesia Stock Exchange in 

20122017. Afiyati and Topowijono (2018) with the title The Effect of Inflation, BI Rate, and Exchange Rate on 

Stock Returns in the Study of Food & Beverages Sub-Sector Companies listed on the IDX. Suriyani et al (2018) 

with the title The effect of interest rates, inflation and exchange rates on stock returns on the Indonesian stock 

exchange. Maulita (2019) with the title The Effect of Rupiah Exchange Rate, Inflation, Interest Rates, And Gross 

Domestic Product on Stock Returns in Coal Mining Subsector Companies Listed on the Indonesia Stock 

Exchange. Wiranata (2021) with the title The Effect of Gross Domestic Product, Gold Prices, and Interest Rates 

on Stock Returns in the Banking Sector on the Indonesia Stock Exchange. Devi and Artini (2019) with the title 

The Effect of ROE, DER, PER, and Exchange Rate on Stock Returns.   

METHOD   

This study uses quantitative research methods. This research was conducted on the Indonesia Stock Exchange 

(IDX) by accessing www.idx.co.id to obtain the necessary information about property sector companies as well 

as to obtain the company's annual financial reports, besides that there are also other secondary sources of required 

data that can be obtained. from the Central Statistics Agency (BPS), Magic Securities, BI Rate / BI interest rate 

and Osiris. Data analysis techniques used by researchers to solve problems in problem formulation and test 

hypotheses using statistical analysis are Multiple Linear Regression Analysis, Classical Assumption Test, 

simultaneous test (F test) and partial test (t test) 

RESULTS AND DISCUSSION   

Based on the values from the analysis of research data, the multiple linear regression equation becomes:Y = -

0.223 + -1.136 X1 + 2.537 X2 + 0.827 X3 + e   

From the equation above, it can be interpreted as follows: The constant value is -0.223%, which means that if the 
variables of Interest Rate, Gross Domestic Product Growth (GDP), and Profitability (ROE) are 0 then the stock 

return variable is -0.223%. The regression coefficient value for the Interest Rate of -1.136% is negative, then this 
indicates that every one percent increase in the Interest Rate will reduce stock returns by -1.136%. The regression 

coefficient value for Gross Domestic Product of 2.537% is positive, this indicates that every one percent increase 

in Gross Domestic Product will increase stock returns by 2.537%. The regression coefficient value for profitability 
(ROE) of 0.827% is positive, 

Table 1.Multiple Linear Regression Analysis Test Results 

  
Based on the determinant test of the adjusted R square value of 0.105, it means that the variation in the stock 

return value of 10.5% is influenced by interest rates, growth of gross domestic product (GDP), and profitability 

(ROE) while the remaining 89.5% is influenced by variables outside the model. So this model is quite weak in 

explaining the relationship between the variables in the model on stock returns.   



Global Research Journal of Management and Social Sciences (GRJMSS) Vol. 13 (3) 
 

pg. 19 

Table 2.Results of Determination Analysis (R2)  

 
The F test in this study was used to test whether or not there was a significant effect of the variable Interest Rate 

(X1), Gross Domestic Product Growth (X2), and Profitability (ROE) simultaneously on the dependent variable 

Stock Return (Y), then the F test was carried out and obtained Fcount = 11.770 compared to the value of Ftable 

= 2.60. Where Fcount is greater than Ftable. This means that at the level of = 5% all independent variables (X) 

simultaneously have a significant effect on the Stock Return variable (Y)  

Table 3.F . 

Test 

Results  

ANOVAb  

a. Predictors: (Constant), ROE, BI Rate, PDB  

b. Dependent Variable: Return Saham  

  

  

The t-test in this study was conducted to determine the level of significance between the regression coefficients, 

so that it can be known partially or individually the effect of the Interest Rate variable (X1) on stock returns (Y), 

the influence of the Gross Domestic Product Growth variable (X2) on stock returns (Y). ), and the variable 

influence of profitability (ROE) on stock returns (Y).  

  
From the results of the t test, it was found that the value of tcount (X1) = -0.518 with a value of ttable = -1.660 

then the value of tcount (X1) is greater than the value of ttable (Left side test). This means that the partial effect 

of the Interest Rate (X1) on the company's stock return in the property sector is not a significant negative effect. 

so the second hypothesis (H2) is not supported. From the results of the t-test, it was found that the value of tcount 

(X2) = 3,522 with a value of ttable = 1,660 then the value of tcount (X2) is greater than the value of ttable (Right 

side test). This means that the partial effect of Gross Domestic Product Growth (X2) on the company's stock 

return in the property sector is positive and significant. so that the third hypothesis (H3) is supported. From the 

results of the t test, it was found that the value of tcount (X2) = 3, 596 with a value of ttable = 1.660 then the value 

of tcount (X3) is greater than the value of ttable (Right side test). This means that the partial effect of Profitability 

Influence Growth (X3) on the company's stock return in the property sector is positive and significant. so that the 

fourth hypothesis (H4) is supported.  

Model   Sum of Squares  df  Mean Square  F  Sig.  

1  Regression  

Residual  

3.238  3  1.079  11.770  .000a 

24.849  271  .092      

Total  28.086  274        



Global Research Journal of Management and Social Sciences (GRJMSS) Vol. 13 (3) 
 

pg. 20 

The results of testing the hypothesis of the effect of interest rates on stock returns in property sector companies 

listed on the Indonesia Stock Exchange from 2011 to 2019 concluded that interest rates do not have a significant 

negative effect on stock returns of property sector companies listed on the Indonesia Stock Exchange. The results 

of this study are in line with the results of research by Ni KadekSuriyani et al (2018) which states that interest 

rates have no significant effect on stock returns but contradict the research results of PutuWidya Putra Adnyana 

et al (2017) which states that interest rates have a significant negative effect on stock returns. In the author's 

opinion, high interest rates cause the price of raw materials to be expensive, the company will choose alternative 

financing that is cheaper and more efficient with a high selling price so that it will not affect the company's 

profitability on stock returns that will be received by investors. High interest rates do not affect investors in 

determining investment in property sector companies because investment decisions involve factors other than 

interest rates such as economic growth, fiscal and monetary policies to the psychology of investors themselves so 

that the existing theory is not always proven. 

The results of hypothesis testing the effect of Gross Domestic Product (GDP) growth on stock returns in property 

sector companies listed on the Indonesia Stock Exchange from 2011 to 2019 concluded that Gross Domestic 

Product (GDP) growth has a positive and significant effect on stock returns in property sector companies that 

listed on the Indonesia Stock Exchange. The results of this study are in line with the results of research by 

Wiranata (2021) which states that Gross Domestic Product (GDP) has a significant positive effect on stock 

returns. The results of this study indicate that the growth of gross domestic product (GDP) has a positive effect 

on stock returns, which means that if the growth of gross domestic product (GDP) increases, the stock return will 

also increase. In the author's opinion Gross Domestic Product Growth (GDP) is a measure of economic growth 

in a country, with an increase in Gross Domestic Product (GDP) growth indicating an increase in the total 

production of goods and services of a country so that it will indirectly lead to an increase in the scale of the 

company's sales turnover. . Increasing the scale of sales turnover will lead to an increase in company profits which 

will have an impact on rising stock prices so as to increase stock returns. On the other hand, a decrease in Gross 

Domestic Product (GDP) growth will cause a decrease in people's purchasing power in real terms. This means a 

decrease in the ability of the public to invest their funds in the stock market which results in a decrease in 

transactions in the stock market. 

The results of testing the hypothesis of the effect of profitability (ROE) on stock returns in property sector 

companies listed on the Indonesia Stock Exchange from 2011 to 2019 concluded that profitability (ROE) has a 

positive and significant effect on stock returns in property sector companies listed on the Indonesia Stock 

Exchange. The results of this study are in line with the research results of Devi and Artini (2019) which state that 

there is a significant positive relationship between ROE and stock returns. The results of the study state that 

profitability (ROE) has a positive and significant effect on stock returns, which means that if profitability (ROE) 

increases, stock returns will also increase. In the author's opinion, the effect of the Profitability (ROE) variable 

on stock prices is because ROE is an important ratio for owners and shareholders because this ratio shows the 

company's ability to manage capital from shareholders to earn net income. The higher the ROE means the better 

the company's performance in managing its capital to generate profits for shareholders. It can be said that the 

company can use the capital from shareholders effectively and efficiently to earn a profit. The higher the ROE 

means the better the company's performance in managing its capital to generate profits for shareholders. It can be 

said that the company can use the capital from shareholders effectively and efficiently to earn a profit. The higher 

the ROE means the better the company's performance in managing its capital to generate profits for shareholders. 

It can be said that the company can use the capital from shareholders effectively and efficiently to earn a profit.  

CONCLUSION 

Based on the research results that have been described, it can be concluded that simultaneously Interest Rates, 

Gross Domestic Product (GDP) and Profitability have a significant effect on stock returns in property sector 

companies listed on the Indonesia Stock Exchange. Partially the interest rate has no significant effect on stock 



Global Research Journal of Management and Social Sciences (GRJMSS) Vol. 13 (3) 
 

pg. 21 

returns. Partially Gross Domestic Product (GDP) growth has a positive and significant effect on stock returns. 

Partially, profitability (ROE) has a positive and significant effect on stock returns in property sector companies 

listed on the Indonesia Stock Exchange. 

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