Wijaya, wangsit Suseno (2008) Pengaruh faktor-faktor makroekonomi dan return ihsg terhadap return saham sektor usaha primer, analisis dengan metode garch. Masters thesis, Institut Pertanian Bogor.
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Abstract
ABSTRACT The Effect of Composite Stock Price Index Return and Macroeconomic Variables to Primary Sector Stock Return : GARCH Analysis Suseno Wangsit Wijaya This study examines the effect of Composite Stock Price Index (CSPI) and macroeconomic variables to sectoral stock return. The macroeconomic variables hypothesized to affect the sectoral index performance are change in exchage rate (IDR to US Dollar return), change in SBI rate and inflation level. The selected sectoral stock are Agriculture and Minning sector. Data are collected from January 2002 until Juni 2007. The statistical method used are multiple regression and Generalized Autoregressive Conditional Heterokedasticity (GARCH). The result show that there are positive relationships between CSPI return to Agriculture and Minning stock return. This research also indicate that there are negative relationships between exchage rate return as well as change in SBI rate to Minning stock return. But the result do not show any relation between inflation level to Agriculture and Minning stock return. Sectoral Stock return, CSPI, Macroeconomics Variabel, GARCH
| Item Type: | Thesis (Masters) |
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| Uncontrolled Keywords: | return, volatilitas, IHSS, IHSG, akroekonomi, GARCH |
| Subjects: | Manajemen Keuangan |
| Depositing User: | Library |
| Date Deposited: | 04 Aug 2011 01:24 |
| Last Modified: | 04 Aug 2011 01:24 |
| URI: | http://repository.sb.ipb.ac.id/id/eprint/72 |
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