Laporkan Masalah

The Relation between stock market return and inflation

NURSANTYO, Dr. Jogiyanto Hartono, MBA

2002 | Tesis | Magister Manajemen

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There is evidence in many developed countries that stock return relates negatively to expected inflation. This evidence is contrary to what Fisher says about relation between stock return and expected inflation. He states that there should be positive relation between those two variables. In some countries it shows relevant situation. This research wants to reveal relation between stock market return and expected inflation in emerging market by using Indonesia data and also to test whether inflation can be predicted by risk-fiee asset (SBI). Regression and ARIMA test are used to know this relation. Both regression and ARIMA test show that there are negative relationship between stock market return and expected inflation. This result do not consistent to Fisher’s hypothesis but compare to other countries it is. There is also evidence that inflation can be predicted by using SBI’s rate.

Kata Kunci : Pasar Modal, Return, Inflasi


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