Peer Review: Hubungan Ekuilibrium Jangka Panjang Antara Variabel Ekonomi Makro dan Return Saham

Hatta, Atika Jauharia (2012) Peer Review: Hubungan Ekuilibrium Jangka Panjang Antara Variabel Ekonomi Makro dan Return Saham. Jurnal Akuntansi & Auditing Indonesia, Vol.16 (No.1). pp. 62-78. ISSN 1410-2420

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Official URL: https://journal.uii.ac.id/JAAI/article/view/3757/3...

Abstract

This research aims to investigates the statistical relationship between macroeconomic variables and stock market return in Indonesia. The sample consist of 58 observations from Indonesian Stock Exchange data in 1990 until 2004. The reason for using the data because in 1997 in Indonesia there is a structural break data caused by economic crisis. The contribution of this paper is that it using Zivot-Andrews unit root testing for accommodates the structural break of data. The regression analysis, using Engle-Granger and Gregory-Hansen for the co-integration testing shows that only output and exchange rate influence the long run equilibrium relationship of stock return. The error correction model also has the same result as the co integration testing.

Item Type: Article
Uncontrolled Keywords: long run equilibrium, stock return, macroeconomic variable, co-integration, error correction model.
Divisions: Dosen STIE YKPN > Peer Review
Depositing User: Pustakawan STIE YKPN
Date Deposited: 29 May 2019 01:13
Last Modified: 29 May 2019 01:44
URI: http://repository.stieykpn.ac.id/id/eprint/12

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