A Multifactor Model Approach To The Effect Of Macroeconomic Indicators And Market Returns On The Stock Return Of PT Telkom Indonesia (Persero) Tbk, With Covid-19 As A Moderating Variable

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Tirto, Ganesha Wahyu (2026) A Multifactor Model Approach To The Effect Of Macroeconomic Indicators And Market Returns On The Stock Return Of PT Telkom Indonesia (Persero) Tbk, With Covid-19 As A Moderating Variable. Masters thesis, IPMI Institute.

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Abstract

Over twenty million Indonesians (7.12% of the population) have been exposed to capital market instruments by 2025. However, based on national survey data findings, only around 20 percent of them are literate about capital market instruments. Although stock investment is beneficial in the long-term, investors first have to understand the key factors associated with stock price movements before participating in the capital market. This study examines the association between macroeconomic indicators, market return, and the stock return of PT Telkom Indonesia (Persero) Tbk within an APT-inspired multifactor time-series framework, using monthly data from 2017 to 2025, and investigates whether the COVID-19 pandemic moderates this association. As this study employs an observational time- series regression design rather than a randomized or experimental design, all reported relationships are interpreted as statistical associations rather than causal effects. Findings indicate that macroeconomic indicators and market return were not significantly associated with stock return under the direct-effect model. However, a parsimonious moderated model, incorporating COVID-19 dummy variables and interaction terms, was found to be statistically significant, revealing that BI Rate is negatively associated with stock return, and that the association between exchange rate and stock return differs significantly during the acute phase of the pandemic compared to non-crisis periods. This study is limited to a single- firm analysis and should therefore be interpreted as exploratory evidence rather than a generalizable or causal finding

Keywords: capital market, stock return, macroeconomic, moderated regression, COVID-19

Item Type:	Thesis (Masters)
Subjects:	H Social Sciences > H Social Sciences (General)
Divisions:	Thesis > Master of Business Administration
Depositing User:	sandra margaretha
Date Deposited:	30 Oct 2026 02:43
Last Modified:	30 Oct 2026 02:43
URI:	http://repository.ipmi.ac.id/id/eprint/3101

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