IDX Panel Dataset: Indonesia Stock Exchange Prices, Fundamentals, and Sharia Classification (2010–2026)

CODEBOOK — IDX PANEL DATASET (2010–2026) DATASET OVERVIEW Item Description Repository https://github.com/lensetek/idx-panel-data-descriptor License CC-BY 4.0 Citation Kesuma, A. & Ismail, A. A Panel Dataset of the Indonesia Stock Exchange: Prices, Fundamentals, and Sharia Classification (2010–2026). Scientific Data (under review). Zenodo. doi:[to be assigned] FILE: idx_stock_prices.csv Daily stock price data downloaded from Yahoo Finance via yfinance v1.4.1. Variable Type Description ticker string Stock ticker symbol. Yahoo Finance .JK suffix removed. date date Trading date in YYYY-MM-DD format. open float Opening price in Indonesian rupiah. high float Highest price of the day in Indonesian rupiah. low float Lowest price of the day in Indonesian rupiah. close float Closing price in Indonesian rupiah, adjusted for splits and dividends. volume float Number of shares traded. Item Description Rows 373,577 Tickers 95 Period 2010-01-04 to 2026-07-01 Missing values None. Only tickers with complete price history were retained. FILE: idx_fundamentals.csv Firm-level financial fundamentals extracted from the Yahoo Finance info endpoint. The data represent a snapshot as of the download date in July 2026. Variable Type Description ticker string Stock ticker symbol. name string Company name. sector string GICS-equivalent sector classification. industry string Industry classification. marketcap integer Market capitalisation in Indonesian rupiah. enterpriseValue float Enterprise value, calculated as market capitalisation plus net debt, in Indonesian rupiah. trailingPE float Trailing price-to-earnings ratio. This value may be NaN. forwardPE float Forward price-to-earnings ratio. This value may be NaN. priceToBook float Price-to-book ratio. returnOnEquity float Return on equity. returnOnAssets float Return on assets. debtToEquity float Debt-to-equity ratio, expressed as a percentage. revenueGrowth float Year-on-year revenue growth. earningsGrowth float Year-on-year earnings growth. This value may be NaN. dividendYield float Dividend yield. This value may be NaN. payoutRatio float Payout ratio. This value may be NaN. beta float Equity beta, based on five-year monthly data. fiftyTwoWeekHigh float 52-week high price in Indonesian rupiah. fiftyTwoWeekLow float 52-week low price in Indonesian rupiah. currency string Currency. All values are in IDR. Item Description Rows 98 Note Values are cross-sectional and represent a single snapshot. They are not time-varying. See the manuscript limitations section for the implications of this treatment. FILE: panel_master.csv Firm-year panel dataset. This is the primary file for econometric analysis. Variable Type Description Source ticker string Stock ticker symbol. Yahoo Finance year integer Calendar year from 2010 to 2026. Aggregated from daily data mean_return_daily float Mean daily log return. Computed from daily price data after winsorisation at the 1st and 99th percentiles median_return_daily float Median daily log return. Computed from daily price data volatility_daily float Standard deviation of daily log returns. Computed and annualised annual_return float Buy-and-hold annual return, calculated as close price at the end of the year divided by close price at the beginning of the year minus one. Computed from daily price data mean_close float Average closing price in Indonesian rupiah. Computed from daily price data mean_volume float Average daily trading volume. Computed from daily price data total_volume float Total shares traded in the year. Computed from daily price data trading_days integer Number of trading days in the year. Counted from daily trading records sector string Sector classification. Yahoo Finance industry string Industry classification. Yahoo Finance marketcap integer Market capitalisation in Indonesian rupiah. yfinance snapshot ev float Enterprise value in Indonesian rupiah. yfinance snapshot tobins_q_proxy float Tobin’s Q proxy, measured using the price-to-book ratio. yfinance roe float Return on equity. yfinance snapshot roa float Return on assets. yfinance snapshot der float Debt-to-equity ratio. yfinance snapshot revenueGrowth float Year-on-year revenue growth. yfinance snapshot earningsGrowth float Year-on-year earnings growth. This value may be NaN. yfinance snapshot beta float Equity beta. yfinance snapshot is_financial boolean Financial sector flag. Derived is_sharia integer Sharia compliance indicator, where 1 means compliant and 0 means not compliant. OJK DES and sector-level mapping Item Description Rows 1,107 Tickers 67 Years 2010–2026 Important note tobins_q_proxy, roa, roe, der, beta, marketcap, ev, revenueGrowth, and earningsGrowth are cross-sectional variables. Their values are constant for each ticker across all years. This limits panel model estimation. See validation_report.md for details. SHARIA CLASSIFICATION Sharia compliance, represented by the variable is_sharia, is assigned through sector-level mapping. Classification Code Sectors Compliant 1 Basic Materials, Communication Services, Consumer Cyclical, Consumer Defensive, Energy, Healthcare, Industrials, Real Estate, Technology, Utilities Not compliant 0 Financial Services This classification is a coarse proxy. Version 2 of the dataset will use firm-level DES membership data from OJK. See the manuscript for further discussion. FILE: idx_ihsg_index.csv Jakarta Composite Index, or IHSG, daily data. Variable Type Description date date Trading date. open float Opening index value. high float Highest index value of the day. low float Lowest index value of the day. close float Closing index value. volume float Market volume. Item Description Rows 3,998 Period 2010-01-04 to 2026-07-01 FILE: idx_tickers_validated.csv Master ticker list with validation status. Variable Type Description ticker string Stock ticker symbol. Yahoo Finance .JK suffix removed. yahoo_ticker string Full Yahoo Finance ticker symbol using the TICKER.JK format. name string Company name. sector string Sector classification. industry string Industry classification. marketCap integer Market capitalisation in Indonesian rupiah. currency string Currency. Item Description Rows 98 PREPROCESSING PIPELINE All preprocessing steps are reproducible through scripts provided in the GitHub repository. Script Purpose 04_download_data.py Downloads raw price data and firm-level fundamental data. 05_panel_regression.py Computes returns, performs annual aggregation, merges fundamentals, and runs the OLS regression. 06_validation.py Runs diagnostic tests, Chow test, and robust standard error estimation. Key processing decisions: No. Processing Decision 1 Log returns were winsorised at the 1st and 99th percentiles. 2 The price-to-book ratio was used as a proxy for Tobin’s Q. 3 Observations with missing ROA, DER, or beta were excluded. 4 Only non-financial firms were retained for the panel master file. LICENSING This dataset is licensed under the Creative Commons Attribution 4.0 International license, or CC-BY 4.0. Users are free to share and adapt the data, provided that appropriate credit is given. CONTACT Name Role Email Ali Kesuma Corresponding author [e-mail] Andy Ismail Author [e-mail] Faculty of Business, Universitas Darwan Ali, Indonesia