Analysis of Structural Break Using Dummy Variable Regression on Industrial Stock Returns in Indonesia Stock Exchange

Abstract

Abstract. This research examines the problem of structural breaks in sectoral stock returns as a result of the global economic crisis in 2022. The focus of this research is an investigation into the impact of fluctuations in global economic factors, which include Japanese capital market returns, the United States inflation rate, the level of Japanese interest rates, and the Japanese currency exchange rate on the return volatility of sectoral stocks on the Indonesia Stock Exchange. This research aims to determine the structural break phenomenon in sectoral stock returns on the Indonesia Stock Exchange in related with the global economic crisis in 2022. This research is quantitative research with the type of verification and explanatory research which tests and explains the existence of global economy factors to the sensitivity of sectoral stock returns. The research method used is multiple linear regression analysis with dummy variables. This research produced two findings, namely: (1) Structural changes in global economic factors between before and during the 2022 economic crisis had different influences on sectoral stock returns on the Indonesia Stock Exchange. (2) Structural changes in global economic factors between during and after the global economic crisis in 2022 have different impacts on the return characteristics of sectoral stocks.