Macroeconomic and Market-Based Determinants of Bank Central Asia’s Stock Returns: An ARDL Bounds Testing Approach, 2016–2025
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Bank Central Asia (BBCA) is one of the largest and most actively traded stocks on the Indonesia Stock Exchange, yet its monthly returns have been volatile during the pandemic, global monetary tightening and rupiah pressure. This study examines how inflation, the rupiah exchange rate, the 10-year government bond yield, trading volume, market capitalization and the COVID-19 period affect BBCA’s stock returns. Arbitrage Pricing Theory is used to justify the selection of variables, and the present value model is used to derive their expected directions. Monthly data from January 2016 to December 2025 are analyzed with an Autoregressive Distributed Lag (ARDL) bounds testing approach. The bounds test (F = 14.71, k = 6) confirms a long-run relationship. In the long run, inflation (positive, contrary to the hypothesis), market capitalization (positive), exchange-rate depreciation (negative) and the pandemic period (negative) are significant, whereas the bond yield and trading volume are not. In the short run, depreciation and trading volume lower returns, and inflation has lag-dependent effects. The market capitalization–return link is partly mechanical because both are derived from the same price. BBCA’s sensitivity to systematic factors therefore differs across horizons.
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