PENGARUH VARIABEL MAKROEKONOMI TERHAPAP PENAKSIRAN RETURN SAHAM DAN RISIKO MENGGUNAKAN MODEL ARBITRAGE PRICING THEORY
Risiko adalah besarnya penyimpangan antara tingkat return yang diharapkan dengan tingkat aktual return. Banyakcaradalammengestimasireturnsalahsatunyaadalah model Arbitrage Pricing Theory (APT).Model APT merupakancara lain untukmenghubungkanvariabelmakroekonomidenganreturnsaham. Makroekonomimemperhat...
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2016-08-11.
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| Summary: | Risiko adalah besarnya penyimpangan antara tingkat return yang diharapkan dengan tingkat aktual return. Banyakcaradalammengestimasireturnsalahsatunyaadalah model Arbitrage Pricing Theory (APT).Model APT merupakancara lain untukmenghubungkanvariabelmakroekonomidenganreturnsaham. Makroekonomimemperhatikanpengaruhreturnsahamsertareturnpasarsaham. Dalam model APT returnsahamtidakhanyadipengaruhiolehsatufaktortetapibanyakfaktor, padaskripsiiniakandianalisispengaruhvariabelmakroekonomiterhadapreturn sahamdanpengukuranrisikomenggunakanmodel APT. Perhitunganreturnsaham yang dihasilkandengananalisisregresimenggunakanmetodestandar Ordinary Linear Square (OLS)akandihitungnilai beta danpengaruhreturnsahamterhadapvariabelmakroekonomi. Nilai beta yang diperolehakandiestimasirisikosahamdenganmenggunakanalatukuryaitustandardeviasi.Model APT digunakanuntukmenganalisis data saham Bank BNI padaperiodeDesember 2010 sampai April 2016 denganfaktormakroekonomiyang mempengaruhinyaseperti IHSG, inflasi, nilai tukar rupiah terhadap dolar, jumlah uangberedar, nilai ekspordannilai impor.Hasilpenelitianinimenunjukkanbahwafaktor yang signifikan mempengaruhi return saham bank BNI adalah IHSG dan Uang beredar.;--- Risk is the magnitude of the deviation between expected return rate with the actual rate of return. Many ways to estimate return one of them is a model Arbitrage Pricing Theory (APT). APT models is another way to connect macroeconomic variables with stock returns. In observe to macroeconomic effect of stock returns and stock market return. In APT model stock returns are not only influenced by one factor, but many factors, this essay analyzed the effect of macroeconomic variables on stock returns and risk measurement approaches used model APT. The calculation stock returns generated by regression analysis using standard methods Ordinary Linear Square (OLS) will be calculated value of beta and influence stock return on macroeconomic variables. Beta value obtained will risk stock estimated by measurement tool that is standard deviation. APT model will be usedto analyze Data of Bank BNI stock in period from December 2010 until April 2016 with macroeconomic factors that influence is IHSG, inflation, exchange rate rupiah to dollar, money supply, export value and import values. The results of this study indicate that significant factor that influence stock return BNI is IHSG and Money supply. |
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| Item Description: | http://repository.upi.edu/25784/1/S_MTK_1104632_Title.pdf http://repository.upi.edu/25784/2/S_MTK_1104632_Abstract.pdf http://repository.upi.edu/25784/3/S_MTK_1104632_Table_of_content.pdf http://repository.upi.edu/25784/4/S_MTK_1104632_Chapter1.pdf http://repository.upi.edu/25784/5/S_MTK_1104632_Chapter2.pdf http://repository.upi.edu/25784/6/S_MTK_1104632_Chapter3.pdf http://repository.upi.edu/25784/7/S_MTK_1104632_Chapter4.pdf http://repository.upi.edu/25784/8/S_MTK_1104632_Chapter5.pdf http://repository.upi.edu/25784/9/S_MTK_1104632_Bibliography.pdf http://repository.upi.edu/25784/10/S_MTK_1104632_Appendix.pdf |