David Kaluge_abstract_1432010

PENDEKATAN ERROR CORRECTION MODEL
SEBAGAI PENENTU HARGA SAHAM

David Kaluge
Fakultas Ekonomi Universitas Brawijaya
Jl. MT.Haryono No.165 Malang, 65145

Korespondensi dengan Penulis:
David Kaluge: Telp. +62 341 418 871
E-mail: dkaluge@gmail.com

Abstract
This research was to find the effect of profitability, rate of interest, GDP, and foreign exchange rate on stock prices. Approach used was error correction model. Profitability was indicated by variables EPS, and ROI while the SBI (1 month) was used for representing interest rate. This research found that all variables simultaneously affected the stock prices significantly. Partially, EPS, PER, and Foreign Exchange rate significantly affected the prices both in short run and long run. Interestingly that SBI and GDP did not affect the prices at all. The variable of ROI had only long run impact on the prices.

Key words: error correction model, short run impact, long run impact, stock prices.

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