Evaluating sensitivity of macroeconomic factors to stock return using arbitrage pricing theory framework: Evidence from Indonesia stock market

Evan, Jonathan (2020) Evaluating sensitivity of macroeconomic factors to stock return using arbitrage pricing theory framework: Evidence from Indonesia stock market. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penting halnya bagi seorang investor untuk memahami faktor-faktor apa saja yang menjadi penggerak stock return pada salah satu aset investasi yaitu saham. Pergerakan nilai stock return didasarkan pada valuasi aset oleh investor. Salah satu metode valuasinya adalah Arbitrage Pricing Theory (APT). metode APT digunakan untuk menguji beberapa faktor yang bersifat sistematis dan diyakini dapat lebih menjelaskan anomali pasar dibandingkan metode pendahulunya yaitu CAPM. Penelitian ini menguji faktor-faktor risiko dari makroekonomi yang bersifat sistematis terhadap pergerakan stock return. Sampel yang digunakan adalah saham-saham yang memiliki fundamental, kapitalisasi dan likuiditas bagus sehingga dapat menjadi anggota indeks Kompas100. Penelitian ini menguji antara risiko sistematis dari masing-masing faktor ekonomi seperti inflasi, tingkat suku bunga, laju PDB, dan perubahan nilai tukar terhadap saham-saham yang terdaftar pada indeks Kompas100 dengan periode sampel yaitu tahun 2015 hingga 2019. Hasil Penelitian menunjukan bahwa risiko dari inflasi dan risiko dari laju PDB memiliki dampak yang positif namun tidak signifikan, sedangkan risiko dari suku bunga dan risiko perubahan nilai tukar menunjukan dampak yang negatif signifikan terhadap nilai stock return. / An investor needs to understand the factors that drive the return of shares in one of the investment assets, namely stocks. The movement of share value is based on the asset valuation by investors. One of the valuation methods is the Arbitrage Pricing Theory (APT). The APT method is used to test several factors that are systematic and can explain market anomalies compared to its predecessor method, CAPM. This study examines risk factors from macroeconomics that are systematic towards stock return movements. The sample used is stocks that have good capitalization, liquidity, and liquidity so that they can become members of the Kompas100 index. This study measures the systematic risk of each economic factor such as inflation, interest rates, GDP rates, and changes in exchange rates for stocks listed on the Kompas100 index with a sample period of 2015 to 2019. The results showed that the risk of inflation and the risk of the GDP rate had a positive but insignificant impact, while the risk of interest rates and the risk of changes in value had a significant negative impact on the value of stock returns.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Evan, JonathanNIM02619190001jonathanevan703@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorDananjaya, Yanuar0715017901yanuar.dananjaya@uph.edu
Thesis advisorSutejo, Bertha Silvia0707038102bertha7381@gmail.com
Uncontrolled Keywords: apt; makroekonomi; risiko
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Surabaya > Business School > Master of Management
Current > Faculty/School - UPH Surabaya > Business School > Master of Management
Depositing User: Users 6459 not found.
Date Deposited: 19 Feb 2021 06:47
Last Modified: 19 Feb 2021 06:47
URI: http://repository.uph.edu/id/eprint/15921

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