MUTHIA, FEDA and Isnurhadi, Isnurhadi and Bakar, Samadi W. (2012) ARBITRAGE PRICING THEORY MODEL TESTING ON SHARESIN BANKING SECTOR. Undergraduate thesis, Sriwijaya University.
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Abstract
This study is trying to see which macroeconomicsfactors that can affect the stock return in banking sector period of2005-2010. Sample used in this study are shares on banking sector in Indonesia Stock Exchange. The macroeconomics variables used in this study are Consumer Price Index, Industrial Production Index, Goldprice and Money Supply. This research used multiple linear regression analysis and BLUE test. The researchflnding shows that none ofthe macroeconomics variables used in the study has positive ejfect on the stock return. The R squaredfor this model is only 0,104 which means that only 10,4% stock return variable can b e explained by the independent variables whereas the rest 89,6% is explained by otherfactors, such as, the internal condition offirm. And out of8 companies tested, the APT model only significant in explaining Bank Central Asia, simultaneously but partially only CP1 andMoney Supply are significant. Keywords: APT, Consumer Price Index, Industrial Production Index, Gold price, Money Supply
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | APT, Consumer Price Index, Industrial Production Index, Gold price, Money Supply |
| Subjects: | H Social Sciences > HG Finance > HG1501-3550 Banking |
| Divisions: | 01-Faculty of Economics > 61201-Management (S1) |
| Depositing User: | Mrs. Elly Suryani |
| Date Deposited: | 26 Apr 2021 23:14 |
| Last Modified: | 26 Apr 2021 23:14 |
| URI: | http://repository.unsri.ac.id/id/eprint/45661 |
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