Mampukah Model Multi Faktor APT Memberikan Gambaran Hubungan Return Harapan Portofolio Saham LQ45 Dengan Resiko Sistematik Pada Pasar Modal Indonesia
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Dec 16, 2020
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Abstract
Tujuan penelitian ini adalah untuk menguji model APT sebagai model keseimbangan harga pasar modal dalam memprediksi return saham-saham yang tergabung dalam indeks LQ45. Desaim penelitian menggunakan penggujian multipass Regression dalam menguji validitas dan keandalam model CAPM dengan data-data yang digunkan dalam penelitian ini merupakan harga penutupan saham-saham LQ45 dan return bulanan indeks LQ45, varibel digunakan menggunakan kurs US Dollar, Inflasi dan risiko pasar. Untuk analisis data menggunakan two Stage Regresion menggunakan regresi time Series pada tahap satu dan regresi Cross Sectional pada regresi tahap dua. Hasil penelitian menemukan bahwa model APT kurang berkerja dengan baik dalam memprediksi harga saham di pasar modal Indonesia, terutama saham-saham yang tergabung dalam LQ45. Risiko Pasar tidak mampu menjelaskan hubungan risiko ekonomi makro terhadap imbal hasil rata-rata portofolio yang dibentuk dalam penelitian ini.
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Darma, Y. (2020). Mampukah Model Multi Faktor APT Memberikan Gambaran Hubungan Return Harapan Portofolio Saham LQ45 Dengan Resiko Sistematik Pada Pasar Modal Indonesia. Jurnal Manajemen Stratejik Dan Simulasi Bisnis, 1(2), 1-22. https://doi.org/10.25077/mssb.1.2.1-22.2020
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References
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Baghdadabad, M. R. T., & Glabadanidis, P. (2014). An extensile method on the arbitrage pricing theory based on downside risk (D-APT). International Journal of Managerial Finance, 10(1), 54–72. https://doi.org/10.1108/IJMF-12-2011-0095
Rjoub, H., Türsoy, T., & Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul stock market. Studies in Economics and Finance, 26(1), 36–45. https://doi.org/10.1108/10867370910946315
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Fama, E.F. and K.R.French (1992), “The Cross-section of Expected Stock Returns”,Journal of Finance, Vol.47, no.2, pp.427-466.
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Nai Fu Chen, 1983, “Some Empirical Tests of the Theory of Arbitrage Pricing”, Journal of Finance, The Journal of The American Finance Association
Phoebus J. Dhrymes, Irwin Friend, Mustafa N. Gultekin, N. Bulent Gultekin, 1985, “New Tests of the APT and Their Implications”, Journal of Finance, The Journal of The American Finance Association
Richard Roll dan Sthephen Ross, 1980,”An Empirical Investigation of Arbiterage Pricing Theory”, Journal of Finance, 36(3):313-321
Said Kelana dan Chandra Wijaya 2005, Riset Keuangan, “Pengujian-Pengujian Empiris”, Gramedia Pustaka Utama
Stephan A. Ross”Return, Risk and Arbiterage” I. Friend dan J. Bicker, ed, (1976), Risk and Return in Finance, Cambridge MA: Ballinger
Stephan A. Ross, 1976, “Arbiterage Theory of Capital Assets Pricing”, Journal of Economic Theory, 13, 341-360 (1976), Departement of Economic and Finance, University of Pennsylvania, The Wharton School, Philadelphia
Reinganum, M. (1981), “The Arbitrage Pricing Theory: Some Empirical Results”, The Journal of Finance, Vol.37, pp.1037-1042.
Authors, F. (2017). Review of Behavioral Finance Article information : https://doi.org/10.1108/RBF-09-2015-0036
Baghdadabad, M. R. T., & Glabadanidis, P. (2014). An extensile method on the arbitrage pricing theory based on downside risk (D-APT). International Journal of Managerial Finance, 10(1), 54–72. https://doi.org/10.1108/IJMF-12-2011-0095
Rjoub, H., Türsoy, T., & Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul stock market. Studies in Economics and Finance, 26(1), 36–45. https://doi.org/10.1108/10867370910946315
William Sharpe (1964), “Capital Asset Prices : A theory of market equilibrium under conditions of risk” Journal of finance.
Vanita Tripathi (2014), “Relationship between Inflation and Stock Returns – Evidence from BRICS markets using Panel Co integration Test” International Journal of Accounting and Financial Reporting, ISSN 2162-3082, 2014, Vol. 4, No. 2, Doi:10.5296/ ijafr.v4i2.6671 URL: http://dx.doi.org/10.5296/ ijafr.v4i2.6671
Al-Khazali, O.M, dan C.S. Pyun. 2004.”Stock Price and Inflation: New Evidence from Pasific-Basin Countries”, Review of Quantitative Finance and Accounting. Vol. 22 (2) Hal, 123-140Authors, F. (2017). Review of Behavioral Finance Article information : https://doi.org/10.1108/RBF-09-2015-0036
Baghdadabad, M. R. T., & Glabadanidis, P. (2014). An extensile method on the arbitrage pricing theory based on downside risk (D-APT). International Journal of Managerial Finance, 10(1), 54–72. https://doi.org/10.1108/IJMF-12-2011-0095
Rjoub, H., Türsoy, T., & Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul stock market. Studies in Economics and Finance, 26(1), 36–45. https://doi.org/10.1108/10867370910946315
Black. F, Jensen, M.C, dan Scholes. M, (1972), “The Capital Asset Pricing Model : Some Empirical Test”’
Black, Fischer, Michael C. Jensen and Myron Scholes. (1972). “The Capital Asset Pricing Model: Some Empirical Tests,” in Studies in the Theory of Capital Markets. Michael C. Jensen, ed. New York: Praeger, pp. 79-121.
Blume, Marshall and Irwin Friend. 1973. “A New Look at the Capital Asset Pricing Model.” Journal of Finance. 28:1, pp. 19-33.\
Bodie, Kane dan Marcus, 2005, “Investment”, Edisi ke Enam, Mc Grew Hill
Canegrati, Emanuele (2008), “Testing the CAPM: Evidences from Italian Equity Markets” Universitа Cattolica Milano
Charles P. Jones (2010), “Investment Principal and Concept”, Eleventh Edition, North Carolina State University
Chen, N.F., R.Roll and S.Ross (1986), “Economic Forces and the Stock Market”, Journal of Business, Vol.59, pp.383-403
Douglas, George W. (1968). Risk in the Equity Markets: An Empirical Appraisal of Market Efficiency. Ann Arbor, Michigan: University Microfilms, Inc.
Erdinc Altay, 2003. “The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework”. Journal of Finance, Istambul University, Faculty of economic.
Eugene F. Fama dan Kenneth R. French, (2004), Draft Kedua, “The Capital Asset Pricing Model”, artikel Keuangan
Fama, E. F., dan MacBeth, J., 1974, “Test of multiperiod two parameter model”, journal of finance, 47 (juni)
Fama, E.F. and K.R.French (1992), “The Cross-section of Expected Stock Returns”,Journal of Finance, Vol.47, no.2, pp.427-466.
Geske R. and R. Roll. “The Fiscal and Monetary Linkage between Stock Returns and Inflation” Journal of Finance, 1983, Vol. 38, No. 1, pp. 7-33.
Gibbons, M.R. (1982), “Multivariate Tests of Financial Models”, Journal of Financial Economics, Vol.10, pp.3-27.
Harry Markowitz, 1952, “Portofolio Selection”, The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91.
Lakonishok, J. and A.C.Shapiro (1986), “Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns”, Journal of Banking and Finance, Vol.10, pp.115-132.
Mark J. Flannery , Aris Protopapadakis, 2002, “Macroeconomic Factors Do Influence Aggregate Stock Returns”
Michael Drew, (2010), “Beta, Firm Size, Book-to-Market Equity and Stock Returns”, Journal of the Asia Pacific Economy, 354-379, Journal of the Asia Pacific Economy, http://dx.doi.org/10.1080/13547860306289\
Nai Fu Chen, 1983, “Some Empirical Tests of the Theory of Arbitrage Pricing”, Journal of Finance, The Journal of The American Finance Association
Phoebus J. Dhrymes, Irwin Friend, Mustafa N. Gultekin, N. Bulent Gultekin, 1985, “New Tests of the APT and Their Implications”, Journal of Finance, The Journal of The American Finance Association
Richard Roll dan Sthephen Ross, 1980,”An Empirical Investigation of Arbiterage Pricing Theory”, Journal of Finance, 36(3):313-321
Said Kelana dan Chandra Wijaya 2005, Riset Keuangan, “Pengujian-Pengujian Empiris”, Gramedia Pustaka Utama
Stephan A. Ross”Return, Risk and Arbiterage” I. Friend dan J. Bicker, ed, (1976), Risk and Return in Finance, Cambridge MA: Ballinger
Stephan A. Ross, 1976, “Arbiterage Theory of Capital Assets Pricing”, Journal of Economic Theory, 13, 341-360 (1976), Departement of Economic and Finance, University of Pennsylvania, The Wharton School, Philadelphia
Reinganum, M. (1981), “The Arbitrage Pricing Theory: Some Empirical Results”, The Journal of Finance, Vol.37, pp.1037-1042.
Authors, F. (2017). Review of Behavioral Finance Article information : https://doi.org/10.1108/RBF-09-2015-0036
Baghdadabad, M. R. T., & Glabadanidis, P. (2014). An extensile method on the arbitrage pricing theory based on downside risk (D-APT). International Journal of Managerial Finance, 10(1), 54–72. https://doi.org/10.1108/IJMF-12-2011-0095
Rjoub, H., Türsoy, T., & Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul stock market. Studies in Economics and Finance, 26(1), 36–45. https://doi.org/10.1108/10867370910946315
William Sharpe (1964), “Capital Asset Prices : A theory of market equilibrium under conditions of risk” Journal of finance.
Vanita Tripathi (2014), “Relationship between Inflation and Stock Returns – Evidence from BRICS markets using Panel Co integration Test” International Journal of Accounting and Financial Reporting, ISSN 2162-3082, 2014, Vol. 4, No. 2, Doi:10.5296/ ijafr.v4i2.6671 URL: http://dx.doi.org/10.5296/ ijafr.v4i2.6671