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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Shinta Heru Satoto_Abstract_1732012

PERGERAKAN HARGA SAHAM AKIBAT PERUBAHAN NILAI TUKAR, INFLASI, TINGKAT BUNGA, DAN GROSS DOMESTIC PRODUCT
 
Shinta Heru Satoto
Sri Budiwati
Jurusan Manajemen Fakultas Ekonomi UPN “Veteran” Yogyakarta
Jl. SWK 104 Ring Road Utara, Condong Catur, Yogyakarta,  55283.
 

Korespondensi dengan Penulis:
Shinta Heru Satoto: Telp. +62 274 486377; Fax. +62 274 486 255
E-mail:shintaherusatoto@yahoo.com

Abstract
The purposes of this study were to provide an empirical evidence of the influence of macroeconomic variables and the time varying volatility phenomena on stock price. This research used manufactured firms that list on Indonesian Capital Market on 2009 until 2011 periods for the sampel. This research also used several macroeconomics variables such as exchange rate, inflation, BI rate, and Gross Domestic Product. The empirical result showed that exchange rate, BI rate, and Gross Domestic Product influenced stock price. The result also showed that time varying volatility was happenend on stock price fluctuation.  This result indicated that Indonesian stock price have high volatility on 2009 til 2011 periods

Keywords: BI rate, exchange rate, gross domestic product, inflation, time varying volatiliy

Full Text (pdf)