Analisis Pegaruh Faktor-Faktor Ekonomi Terhadap Return Saham di Bursa Efek Jakarta

Priambada, Bambang Sulistya (Adv: Dr. Jogiyanto HM., MBA), Dr. Jogiyanto HM., MBA

1998 | Skripsi | S1 Extention - Accounting

This thesis tests whether that following macro economics variables would systematically affect stock market returns; industrial production, expected and unexpected inflation, interest rates and exchange rates. This test based on Arbitrage Pricing Theory which recognizes a variety of risks may influence expected security returns. The test is applied to a sample of 105 companies monthly stock return started at Januari 1, 1992 until December 31, 1996.

In principle, the results can be used in any application that requires estimates of expected of expected stock returns. The applications depend on the evidence that factors provide a good description of the cross section of average returns but they do not require that the true factors have been identified.

Kata Kunci : Macro economics variables, expected stock return, Arbitrage Pricing Theory Availability Data : All data used are available in public source