Inflation and stock market returns relationship in emerging-inflationary market :: Evidence from Jakarta Stock Exchange

ARMANDO, Ricco, Dr. Marwan Asri SW., MBA

2002 | Tesis | Magister Manajemen

Inflasi sebagai salah satu makroekonomi indicator memegung peranan penting dalam penentuan portfolio. Investor disarankan untuk memperhati kan inflasi terutama selama periode inflasi tinggi ke dalam perhitungan perolehan retun I Menurut hipotesis Fisher diyakini bahwa return saham berhubungan positif dengan inflasi atau dengan kata lain sebagai saran potensial untuk hedge. Oleh karena itu, tujuan dari penelitian ini adalah menginvestigasi hubungan antara inflasi dan return saham menggi inakan Indonesia data. Inflasi dipisahkan menjadi expected (diharapkan) inflasi dari Unexpected (tidak diharapkan) inflasi dengan menggunakan ARIMA model. Bukti empiris menunjukkan adanya hubungan negatif antara iriflasi (expected dan unexpected) dengan return saham. Artinya, memegang saham untuk jangka waktu lama dalam suasana inflasi adalah rentan

Inflation as one of the inacroeconoinic indicators plays an important role in portfolio selection, Investors are suggested to take into account the inflation especially during inflationary inflation into their calculation of return on stocks. According to Fisherian hypothesis, it is believed that stocks returns are positively related to inflation or in other words it is a polential hedge against inflation. Therefore, thc objective of this study is to investigate the relationship between inflation and stocks returns using Indonesian data. The inflation rate IS decoinposed into expected and uiiexpected inflation using UIMA model. The empirical findings suggested that there is negative relittionship between inflation, both expected and unexpected to stocks return. Thus, holding stocks during the period of high inflation is vulnerable.

Kata Kunci : Return Saham,Inflasi, Expected und I Jnexpec f ed influt ion. AIIIM model