Empirical Study Return Generating Model Unification of Market Model and Multifactor Model

FITRIA AYU SULISTYANINGRUM, Su'ad Husnan, Dr., MBA.

2015 | Tesis | S2 Manajemen

Penelitianinimenelititentangpengaruhdari portfolio pasar, variable-variable makroekonomi, dan residual dari portfolio pasarpada model returnsaham di Indonesia melaluimetodeunifikasi Model Index Tunggal danMultifaktor Model.Hasildaripenelitianinimenunjukkanbahwapada Model Index Tunggal market returnpada portfolio pasarberpengaruhterhadap returnsahamindividu, begitu pula dengan variable-variable makroekonomipadaMultifaktor Model. Akan tetapipenggabunganduajenis variable tersebutternyatamenghasilkan output yang berbedadenganduatessebelumnyadimanaternyatahanya market returndansatu variable makroekonomi yang berpengaruhsecarasignifikanterhadapmodel returnsaham. Hasildari model tersebutjugamenunjukkanadanyaperubahantandapadakoefisienbeberapa variable makroekonomi.Meskipunbegitu, unifikasidari Model Index Tunggal danMultifaktor Model melaluipenggunaan residual dari portfolio pasarmenunjukkanbahwa residual dari portfolio pasarmencerminkan factorfaktor di luar model yang belumdiwakilioleh variable-variable makroekonomidanbelumditangkapoleh variable pasar

This study examines the influence of market portfolio, macroeconomic variables, and market portfolio residual on return generating model in Indonesia through unification of both market model or Single Index Model and Multifactor Model. The result shows that the return market portfolio significantly influences return of individual stock so do the macroeconomic variables but the combination of macroeconomic variables and return market portfolio in Multifactor Macro Market Model presents the different result. Those combination resulted insignificant influence for some macroeconomic variables and change in the sign of coefficient for those variable as well. Nevertheless unification of Single Index Model and Multifactor Model displays the influence of market portfolio residual as the variables that have not been captured by market variables.

Kata Kunci : portfolio pasar, market return, variabelmakroekonomi, residual dari portfolio pasar, return saham