SETIAWAN, ANGGI (2020) UJI EMPIRIS CAPITAL ASSET PRICING MODEL DAN ARBITRAGE PRICING THEORY DALAM MENGUKUR RETURN SAHAM SEKTOR PERBANKAN TAHUN 2013-2018. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Penelitian ini bertujuan untuk menguji tingkat keakuratan model Capital Asset Pricing Model (CAPM) dan model Arbitrage Pricing Theory (APT) dalam mengukur return saham sektor perbankan tahun 2013-2018. Variabel yang digunakan dalam penelitian ini yaitu rata-rata return pasar (mikro) untuk model CAPM dan variabel Pertumbuhan Ekonomi, BI Rate, laju Inflasi dan Kurs Rupiah terhadap Dollar Amerika (makro) untuk model APT. Hasil penelitian ini menunjukkan bahwa return pasar berpengaruh terhadap return saham sektor perbankan. Secara parsial Pertumbuhan Ekonomi berpengaruh negatif terhadap return saham. Secara simultan model APT berpengaruh signifikan terhadap return saham sektor perbankan. Kata kunci : CAPM, APT, return saham, return pasar, pertumbuhan ekonomi, BI rate, inflasi, kurs Rupiah terhadap Dollar Amerika, sektor perbankan. This study aims to examine the accuracy of the Capital Asset Pricing Model (CAPM) model and Arbritrage Pricing Theory (APT) model in measuring Banking sector stock returns in 2013-2018. The variabels used in this study are the average market return (micro) for the CAPM model and the variable Economic Growth, BI Rate, Inflation Rate and Rupiah Exchange Rate againts US Dollar (macro) for the APT model. The result of this study indicate that market returns affect the stock returns of the banking sector. Partially economic growth has a negative effect on stock returns. Simultaneously APT model have a significant effect on stock returns in the banking sector. Keywords: CAPM, APT, stock returns, market returns, economic growth, BI Rate, inflation rate, Rupiah exchange rate againts US Dollar, banking sector.
| Item Type: | Thesis (S1) |
|---|---|
| Call Number CD: | FE/MJ. 20 248 |
| Call Number: | SE/31/21/313 |
| NIM/NIDN Creators: | 43115120214 |
| Additional Information: | CAPM, APT, return saham, return pasar, pertumbuhan ekonomi, BI rate, inflasi, kurs Rupiah terhadap Dollar Amerika, sektor perbankan. |
| Subjects: | 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Dede Muksin Lubis |
| Date Deposited: | 07 Jan 2022 14:39 |
| Last Modified: | 25 Mar 2022 06:50 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/53825 |
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