INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA
| Main Author: | Baroroh, Utami |
|---|---|
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Faculty of Economic and Business Syarif Hidayatullah State Islamic University of Jakarta
, 2013
|
| Subjects: | |
| Online Access: |
http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421 http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421/5019 |
| ctrlnum |
article-2421 |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><title lang="en-US">INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA</title><creator>Baroroh, Utami</creator><subject lang="en-US">Arbitrage Pricing Theory; Stock Return; Granger Causality Test</subject><description lang="en-US">The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI), exchange rate Rupiah to US dollar, money supply and stock return (IHSG). A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI), and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421</description><publisher lang="en-US">Faculty of Economic and Business Syarif Hidayatullah State Islamic University of Jakarta</publisher><contributor lang="en-US"/><date>2013-10-01</date><type>Journal:Article</type><type>Other:info:eu-repo/semantics/publishedVersion</type><type>Journal:Article</type><type>File:application/pdf</type><identifier>http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421</identifier><identifier>10.15408/sjie.v2i2.2421</identifier><source lang="en-US">Signifikan: Jurnal Ilmu Ekonomi; Vol. 2, No. 2, Oktober 2013</source><source>2476-9223</source><source>2087-2046</source><language>eng</language><relation>http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421/5019</relation><recordID>article-2421</recordID></dc>
|
| language |
eng |
| format |
Journal:Article Journal Other:info:eu-repo/semantics/publishedVersion Other File:application/pdf File Journal:eJournal |
| author |
Baroroh, Utami |
| title |
INDIKATOR MAKROEKONOMI DAN RETURN SAHAM SYARIAH DI INDONESIA |
| publisher |
Faculty of Economic and Business Syarif Hidayatullah State Islamic University of Jakarta |
| publishDate |
2013 |
| topic |
Arbitrage Pricing Theory Stock Return Granger Causality Test |
| url |
http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421 http://journal.uinjkt.ac.id/index.php/signifikan/article/view/2421/5019 |
| contents |
The objectives of this study are to examine empirical test the long term equilibrium and simulteneous relationship between macroeconomics variables to stock return in Indonesia and to observe stock return response because shock/innovation of inflation, SBI discount rate and exchange rate Rupiah to US dollar. The data sample used in this study are monthly time series data from 2003.1 – 2010.6. Those data are SBI discount rate, inflation (CPI), exchange rate Rupiah to US dollar, money supply and stock return (IHSG). A method of analysis in this study are Granger Causality Test and Cointegration test. The empirical results shows that SBI discount rate, inflation (CPI), and exchange rate Rupiah to US dollar have causality relationship to stock return.. The cointegration test indicates that among research variables there is long term equilibrium and simultaneous relationshipDOI: 10.15408/sjie.v2i2.2421 |
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