Firm profitability, macroeconomic conditions and stock return in Indonesia’s property sector: Panel evidence
DOI:
https://doi.org/10.12928/optimum.v16i2.16919Keywords:
Firm Profitability, Macroeconomic Condition, Stock Return, Property SectorsAbstract
This study examines the relationship between firm profitability, macroeconomic conditions, and stock returns in the Indonesian property and real estate sector during 2021–2024. The analysis focuses on three firm-specific profitability indicators such as Return on Equity (ROE), Net Profit Margin (NPM), and Return on Investment (ROI) and two macroeconomic variables, namely interest rates and the Rupiah/US dollar exchange rate. Quarterly data from 10 property and real estate companies listed on the Indonesia Stock Exchange were analyzed using panel data regression, producing 160 firm-quarter observations. Based on the model-selection tests, the Fixed Effects Model was selected as the preferred specification. The results show that ROE, NPM, and ROI are positively and statistically significantly associated with stock returns, indicating that stronger profitability is accompanied by higher returns in the property sector. In contrast, interest rates exhibit a negative and statistically significant association with stock returns, consistent with the sector’s sensitivity to financing costs and monetary conditions. The exchange rate shows a negative but statistically insignificant relationship with stock returns. These findings suggest that both firm-level financial performance and macroeconomic conditions are relevant to stock-return dynamics, although profitability indicators appear to play a more prominent role. The study provides practical implications for investors and corporate managers by highlighting the importance of jointly considering company fundamentals and monetary conditions when evaluating property-sector investment performance.
References
Alfatin, R., Rajendra, R., Ratnawati, R. A., & Kusmadi, K. (2026). The effect of return on equity (ROE) and dividend policy on stock returns in property and real estate companies listed on the Indonesia stock exchange period 2020-2024. Multifinance: Jurnal Ekonomi, Manajemen dan Perbankan, 3(3), 51-61. https://doi.org/10.61397/mfc.v3i3.518
Almasyhari, K. A., & Nurcahyono, N. (2021). Factors affecting the stock price: The role of firm performance. The Journal of Asian Finance, Economics and Business, 8(2), 165-173.
Almuttaqin, F., Algifari, M., Azriansyah, A., Nugraha, P. W., & Hendra, K. J. (2025). Analisis efisiensi penggunaan modal dan implikasinya terhadap profitabilitas perusahaan. Jurnal Review Pendidikan dan Pengajaran, 8(2). https://doi.org/10.31004/jrpp.v8i2.46916
Amado, A., & Choon, L. M. (2020). Impact of changes in exchange rate on stock market: An empirical evidence from Indonesia. International Journal of Applied Economics, Finance and Accounting, 7(1). https://doi.org/10.33094/8.2017.2020.71.24.31
Darsono, S. N. A. C., Bi, C., Mutiara, I., Kurniawan, M. L. A., Van Pho, T., & Nguyen, T. T. H. (2025). Drivers of China green bonds: An ARDL analysis of economic policy uncertainty, financial market volatility, exchange rates, and commodity prices. International Journal of Energy Economics and Policy (IJEEP), 15(4), 178-188. https://doi.org/10.32479/ijeep.19188
Digdowiseiso, K. (2023). What drives the stock returns?: Examining the fundamental factors on the consumer defensive sector companies. General Managements, 24(194), 177-186. https://doi.org/10.47750/QAS/24.194.21
Edison, A., Suryana, S., & Arsalan, S. (2019). Share return on sector properties and real estate Indonesia stock exchange. Journal of Advanced Research in Dynamical and Control Systems, 11(8).
Endri, E., Amrullah, D. F., Suparmun, H., Mary, H., Sova, M., & Indrasari, A. (2021). Determinants of stock return of property and real estate companies in the developing market. Corporate Governance and Organizational Behavior Review, 5(2). https://doi.org/10.22495/cgobrv5i2sip6
Evamelia, E., & Panjaitan, Y. (2019). Analisis peranan emas dan obligasi pemerintah sebagai safe haven periode 2014-2018. BALANCE: Jurnal Akuntansi, Auditing dan Keuangan, 16(2), 212-236. https://doi.org/10.25170/balance.v16i2.1624
Gemita, D. H., Muchran, M., & Mira, M. (2026). Comparative analysis of leading and lagging techniques in invesment strategies. Optimum: Jurnal Ekonomi dan Pembangunan, 16(1), 180-189. https://doi.org/10.12928/optimum.v16i1.13641
Gujarati, D. N. (2012). Basic of Econometrics (5th Edition). McGraw-Hill Education. India.
Gumanti, T. A., & Utami, E. S. (2002). Bentuk pasar efisiensi dan pengujiannya. Jurnal Akuntansi dan Keuangan, 4(1), 54-68.
Gusvarizon, M., Ningsih, P. T. S., & Arief, A. M. (2024). Analisis pengaruh kurs, inflasi, suku bunga terhadap return saham properti di PT Bursa Efek Indonesia. Jurnal Ilmu Ekonomi Manajemen dan Akuntansi, 5(2), 560-573. https://doi.org/10.37012/ileka.v5i2.2427
Handayani, H., & Nuswandari, N. (2025). Pengaruh inflasi, suku bunga BI, nilai tukar/kurs dan gross domestic product terhadap indeks harga saham sektor property dan real estate di Bursa Efek Indonesia tahun 2020-2024. JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 11(5), 4680-4690. https://doi.org/10.35870/jemsi.v11i5.5059
Hermuningsih, S., Kari, F., Rahmawati, A. D., & Prajnanta, F. (2024). The role of profitability as a channel on influencing the effect of macroeconomics on stock returns in the Indonesian stock exchange during the covid-19 pandemic. International Journal of Business and Society, 25(1), 242-259. https://doi.org/10.33736/ijbs.6909.2024
Ichsani, S., Widajatun, V. W., Mawarnie, D., & Hertina, D. (2019). Macroeconomic effect to stock returns in property and real estate companies. Journal of Advanced Research in Dynamical and Control Systems, 11(7).
Kaluge, D. (2019). Multifactor on macroeconomic fundamentals to explain the behavior of sectoral indices in the Indonesian stock exchange. Entrepreneurship and Sustainability Issues, 7(1). https://doi.org/10.9770/jesi.2019.7.1(4)
Kurniawan, M. L. A., Az Zakiyyah, N. A., & Juwita, A. H. (2025). Does money causes output? evidence from Indonesia. International Journal of Monetary Economics and Finance, 18(6). https://doi.org/10.1504/IJMEF.2025.150816
Medyawati, H., & Yunanto, M. (2017). Factors determining stock returns in property, real estate and construction companies in Indonesia. International Journal of Globalisation and Small Business, 9(1), 3-19. https://doi.org/10.1504/IJGSB.2017.084707
Mohsin, F., Muzammil. M., & Faheem, S. (2025). The effect of return on equity, earnings per share, and price earnings ratio on stock prices in the insurance sector of Pakistan (2019-2023). Archives of Management and Social Sciences, 2(3), 5-22. https://doi.org/10.63516/amss/02.03/003
Newell, G., Wing, C. K., Kei, W. S., & Hiang, L. K. (2009). The significance and performance of property securities markets in the Asian IFCs. Journal of Property Research, 26(2), 125-148. https://doi.org/10.1080/09599910903441721
Nurdina, N., Nurkholis, N., Adib, N., & Atmini, S. (2024). Evaluation of the resilience of real estate and property stocks to inflation and interest rate uncertainty: Implementation of two asset pricing models. Journal of Risk and Financial Management, 17(12), 530-544. https://doi.org/10.3390/jrfm17120530
Nurisnaini, N., Wulandari, R. D., & Supriadi, Y. (2024). The effect of liquidity, profitability, price earning ratio and interest rates on company stock returns. Jurnal Ilmiah Manajemen Kesatuan (JIMKES), 12(6), 2819-2832. https://doi.org/10.37641/jimkes.v12i6.2937
Prastuti, D., & Setianingrum, P. H. (2015). The effect of macroeconomics variables on sectors' index, the case of Indonesia stock exchange market. International Journal of Economic Research, 17(1).
Rofi'i, M. (2026). Fundamental determinants of stock returns: Evidence from property and real estate companies. UPY Business and Management Journal (UBMJ), 5(1), 38-54. https://doi.org/10.31316/ubmj.v5i1.8543
Saputra, D., Yudha, A. M., & Ulnisa, T. (2024). pengaruh tingkat suku bunga, nilai tukar dan inflasi terhadap nilai perusahaan dengan profitabilitas sebagai variabel moderasi pada perusahaan property dan real estate yang terdaftar di BEI 2017-2021. JAF (Journal of Accounting and Finance), 8(1), 54-71. https://doi.org/10.25124/jaf.v8i1.7224
Saraswati, R. A., Ratnawati, A. & Irawan, T. (2024). Determinants of financial distress in property and real estate companies listed on the Indonesian stock exchange. Jurnal Ekonomi Dan Kebijakan Pembangunan (JEKP), 13(2), 80-92. https://doi.org/10.29244/jekp.13.2.2024.80-92
Shahid, Z. A., Tariq, M. I., Paul, J., Naqvi, S. A. N., & Hallo, L. (2024). Signaling theory and its relevance in international marketing: A systematic review and future research agenda. International Marketing Review, 41(2), 514-561. https://doi.org/10.1108/IMR-04-2022-0092
Spence, M. (2018). Job Market Signaling. Oxford University Press.
Sudaryo, Y. (2019). Pengaruh rasio likuiditas, rasio solvabilitas, rasio aktivitas, rasio profitabilitas, dan rasio pasar terhadap harga saham. Jurnal Indonesia Membangun, 18(1), 31-47.
Suhendra, I., & Anwar, C. J. (2022). The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach. Banks and Bank Systems, 17(1), 104-114. https://doi.org/10.21511/bbs.17(1).2022.09
Wahyudi, S. T., & Rahmawati, A. (2025). Examining the link between world oil price volatility and sectoral stock performance in Indonesia. Cogent Economics & Finance, 13(1). https://doi.org/10.1080/23322039.2025.2535484
Winarso, E., Yusuf, P. S., & Lyuzhiba, Z. Z. (2019). Effects on the volume ratio profit abilities stock trades: (A case study on listed companies in jakarta islamic index period 2010-2014). Journal of Advanced Research in Dynamical and Control Systems, 10(11). https://doi.org/10.37200/IJPR/V24I2/PR200710
Winoto, A., Manurung, A. H., Deniswara, K., & Angelus, M. (2022). Analysis of capital structure determinants of property companies listed on Indonesia stock exchange using internal, external, and lag-one variables to measure speed of adjustment. DSDE '22: Proceedings of the 2022 5th International Conference on Data Storage and Data Engineering, 12-17. https://doi.org/10.1145/3528114.3528117
Zulfiatf, L., & Wijaya, P. M. (2015). Firm performance and market reaction. International Journal of Economic Research, 17(2).
Downloads
Published
Issue
Section
License
Copyright (c) 2026 Siti Fatimah Azzahra, Niniek Imaningsih
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
