Tommy Andika, Idqan Fahmi, Trias Andati


Surprise macroeconomic news causes high volatility in stock market return to the stock market becomes riskier. This study aims to analyze the effects of surprise from the announcement of the United States (US) and domestic macroeconomic news on the LQ45 stock returns volatility. There are 25 stocks chosen because consistently in LQ45 during the 2013 - 2018 research period. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to analyze the volatility of returns for each stock. The analysis shows that positive surprise from the Bank Indonesia benchmark interest rate, positive surprise from Indonesia’s trade balance, positive surprise from Consumer Price Index US, and positive surprise from ISM Manufacturing US have a significant effect in reducing volatility return and making most LQ45 Stocks return more stable and less risky. Other macroeconomic surprises show different directions of influence. Finally, this study also provides recommendations for the investor to choose stocks according to their respective risk profiles. The risk averse investor can invest in PT Astra International Tbk (ASII), PT Lippo Karawaci Tbk (LPKR) and PT AKR Corporindo Tbk (AKRA) which have low volatility during the release of surprise macroeconomic, while the risk taker investor can invest to PT Astra Agro Lestari Tbk (AALI), PT Vale Indonesia Tbk (INCO), and PT. Media Nusantara Citra Tbk (MNCN) which respond to many surprises of macroeconomic news.


Macroeconomic surprise; volatility; GARCH; LQ45 stocks

Full Text:



Andersen T, Bollerslev T, Diebold FX, Vega C. 2003. Micro effects of macro announcements : real-time price discovery in foreign exchange. American Economic Review 93:38-62.

Andersen T, Bollerslev T, Diebold FX, Vega C. 2007. Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics (2007) 73:251–277

Andritzky JR, Bannister GJ, Tamirisa NT. 2007. The impact of macroeconomic announcements on emerging market bonds. Emerging Markets Review (2007) 8:20–37.

Balciar M, Cakan E, Gupta R. 2017. Does US news impact asian emerging markets? evidence from nonparametric causality-in-quantiles test. North American Journal of Economics and Finance 41 (2017) 32–43.

Balduzzi P, Elton EJ, Green T C. 2001. Economic news and bond prices: evidence from the US treasury market. Journal of Financial and Quantitative Analysis. 36(04), 523-543.

Bernile G, Hu J, Tang Y. 2016. Can information be locked up? Informed trading ahead of macro-news announcements. Journal of Financial Economics 000 (2016) 1–25.

Brown KC, Reilly FK. 2012. Analysis of Investments and Management of Portfolios. Ed ke-10. Thomson South-Western

Cakan E, Doytch N, Upadhyaya KP. 2015. Does u.s. macroeconomic news make emerging financial market riskier?. Borsa Istanbul Review 15-1(2015) 27-43.

Chatrath A, Miao H, Ramchander S, Villupuram S. 2012. Corporate bonds, macroeconomic news, and investor flows. The Journal of Fixed Income (2012) 22:1-25

Elder J, Miao H, Ramchander S. 2012. Impact of macroeconomic news on metal futures. Journal of Banking & Finance (2012) 36:51–65.

Ervina D. 2015. Pengaruh surprise berita makroekonomi domestik dan global pada imbal hasil surat utang negara Indonesia [tesis]. Depok (ID): Universitas Indonesia

Hess D, Huang H, Niessen A. 2008. How do commodity futures respond to macroeconomic news? Financial Markets and Portfolio Management 22 (2) : 127–146.

Hutchison M, Sushko V. 2013. Impact of macro-economic surprises on carry trade activity. Journal of Banking & Finance (2013) 37:1133–1147.

Laakkonen H, Lanne M. 2008. Asymmetric news effects on volatility : good vs. bad news in good vs. bad times. MPRA Paper (2008) No. 8296.

Nachrowi ND, Usman H. 2006. Pendekatan Populer dan Praktis Ekonometrika Untik Analisis Ekonomi dan Keuangan. Jakarta (ID) : Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia.

Nikkinen J, Omran M, Sahlstrom P, Aijo J. 2008. The effects of us macroeconomic news announcements on emerging stock markets in the asia-pacific region. Asia Pacific Journal of Economic & Business vol.12 no.1 (June 2008).

Quadghiri IE, Mignon V, Boitout N. 2016. On the impact of macroeconomic news surprises on Treasury-bond returns. Ann Finance (2016) 12:29–53

Roache SK, Rossi M. 2010. The effects of economic news on commodity prices. The Quarterly Review of Economics and Finance (2010) 50:377–385.

Singh M, Nejadmalayeri A, Lucey B. 2013. Do u.s. macroeconomic surprises influence equity return? An exploratory analysis of developed economies. The Quarterly Review of Economics and Finance 53 (2013) 476-485.

Untoro. 2006. Pengaruh “kejutan” dari berita makro ekonomi terhadap pergerakan nilai tukar rupiah. Buletin Ekonomi Moneter dan Perbankan (Juni 2006).

Vrugt EB. 2009. U.s and japanese macroeconomic news and stock market volatility in asia-pacific. Pacific-Basin Finance Journal 17 (2009) 611-627.

Widarjono A. 2017. Ekonometrika Pengantar dan Aplikasinya Disertai Panduan Eviews. Ed ke-4. Yogyakarta (ID) : UPP STIM YKPN.



  • There are currently no refbacks.