摘要：The unstable monetary situation reflected in the exchange rate, interest rates, inflation and GDP growth may lead to chaotic situation in the economy sector. This shows the significant effects of the macroeconomic on the stock price index in the stock market. The purpose of this study is to examine the effect of macroeconomic indicators, namely the exchange rate and interest rate, on the LQ-45 stock price index during the period of 2011-2016. The method used in this research is time series analysis model (Granger’s Causality and Error Correction Model). Data were obtained from Monthly Statistic, Indonesia Stock Exchange, and Economic Indicators from Central Bureau of Statistics, Bank Indonesia Monthly Report and Indonesian Capital Market Directory. The results show that exchange rate variable does not have significant positive relationship, and the interest rate variable has significant negative effect on the LQ-45 stock price index. Through error correction model test shows that coefficient variable ECT(-1) is significant, meaning the equilibrium error could affect the LQ45 stock price. It can be interpreted that the LQ-45 stock price adjusts the exchange rate and interest rate in the same period. In other words, the adjustment of one subsequent period to follow a significant long-term period.
