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Pengasruh variabel-variabel makroekonomi terhadap imbal hasil saham yang terdaftar dalam indeks LQ45 periode tahun 2009
This paper is a quantitative reserach aimed to measure the impact of macroeconomics variables on stock returns. The stocks used in this paper are stocks listed in the LQ45 Index during the period of 2009. The method used in the data analysis is the Vector Autoregressive Method. Variance Decomposition and Impulse Response Function are also utilized as analysis tools. The analysis shows that the impact of macroeconomic variables on the stocks? returns is not significant. The historical return of the stock remains to be the dominant factor when forecasting the future return of a stock. Another conclusion can also be drawn about the Indonesian Securities Market: The market is still in the Weak Form Efficient Form with an ongoing process to become an Semistrong Form Efficient Market. Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6837 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok Departemen Ilmu Manajemen Fakultas Ekonomi Universitas Indonesia., 2010 |
|---|---|
| Edisi | - |
| Subjek | Share valuation Macroeconomics Vector auto regression Efficient market hypothesis |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xiv, 167 p. : diagr ; 30 cm & lamp |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |