PENGGUNAAN ARBITRAGE PRICING THEORY UNTUK MENGANALISIS RETURN SAHAM SYARIAH

ULTIMA MANAJEMEN

View Publication Info
 
 
Field Value
 
Title PENGGUNAAN ARBITRAGE PRICING THEORY UNTUK MENGANALISIS RETURN SAHAM SYARIAH
 
Creator Gusni, Gusni
Riantani, Suskim
 
Description Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investorsin order to produce capital gain.There are two empirical models  are used in implement the APT: the factor loading model (FLM) and the macro variable model (MVM). Model used in this research was MVM as used by Chen, Roll dan Ross (1986), and Chen, Hsieh dan Jordan (1997). The purpose of this study is to capture the application of APT in Jakarta Islamic Index (JII) usingmacroeconomic variables (inflation, exchange rate, and interest rate) as the determinants of Syariah stock return and found macro economics variables having powerful effect to the Syariah stock return. To achieve the objectives of this study, a total of 11 listed syariah firms of Jakarta Islamic Index (JII) in Indonesia Stock Exchange were selected by using purposive sampling method from the period of 2009 to 2014. Multiple linear regression has been conducted to capture the application of APT in analized determinants of Syariah stock return. The result shows that only interest rate has effect to the syariah (JII) stock return. Meanwhile inflation and exchange rate have no effect to the syariah stock return. Emperical results clearly indicate that application of APT in justifying returns on Syariah stocks is still weak. Keywords: Arbitrage Pricing Theory, Exchange Rate, Inflation, Interest Rate, Stock Return
 
Publisher ULTIMA MANAJEMEN
Jurnal Manajemen
 
Contributor Universitas Multimedia Nusantara
 
Date 2017-06-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Artikel yang dipeer-review
 
Format application/pdf
 
Identifier http://ejournals.umn.ac.id/index.php/manajemen/article/view/598
 
Source ULTIMA MANAJEMEN; Vol 9, No 1 (2017): Ultima Manajemen; 68-84
Jurnal Manajemen; Vol 9, No 1 (2017): Ultima Manajemen; 68-84
2549-404X
2805- 4587
 
Language eng
 
Relation http://ejournals.umn.ac.id/index.php/manajemen/article/view/598/523
 
Rights ##submission.copyrightStatement##
 

Contact Us

The PKP Index is an initiative of the Public Knowledge Project.

For PKP Publishing Services please use the PKP|PS contact form.

For support with PKP software we encourage users to consult our wiki for documentation and search our support forums.

For any other correspondence feel free to contact us using the PKP contact form.

Find Us

Twitter

Copyright © 2015-2018 Simon Fraser University Library