Mathius Tandiontong_19215181199

KOMPARASI CAPITAL ASSET PRICING MODEL VERSUS ARBITRAGE PRICING THEORY MODEL ATAS VOLATILITAS RETURN SAHAM

Mathius Tandiontong
Prodi Akuntansi Fakultas Ekonomi Universitas Kristen Maranatha
Jl. Prof. Drg. Suria Sumantri No.65 Bandung, 40164, Indonesia

Rusdin
Prodi Administrasi Bisnis FISIP Universitas Padjajaran
Jl. Raya Sumedang-Bandung Km. 21 Jatinangor, Bandung, 45363, Indonesia

Korespondensi dengan Penulis:
Mathius Tandiontong: Telp. +62 22 201 2168 Ext.1525; Fax. +62 22 2012 7625
E-mail: m_tandiontong@yahoo.com

Abstract
Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterm investments to be able to provide added value and the risk for fixed income. This study focused on the difference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. This study was based on the assumption that: there were differences in sectoral stock return volatility, volatility of market risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns; there were differences in the results of testing the validity, robustness unconditional CAPM and APTM multifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetric effect. The method of analysis used nested models with panel data. Data were analyzed by using secondary data from 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returns across sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactor that showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM was valid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of 2008 within the period 2005-2012.

Keywords: arbitrage price theory model, capital asset pricing model, structural break, time-varying volatility, volatility of sectoral stock returns

19215181199_Mathius Tandiontong (Full Text)

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