ANALISIS PENGARUH MAKROEKONOMI TERHADAP IMBAL HASIL SAHAM PERUSAHAAN FOOD AND BEVERAGE SEBELUM DAN SELAMA PANDEMI COVID-19 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY

DAARIY, ALIFIA (2023) ANALISIS PENGARUH MAKROEKONOMI TERHADAP IMBAL HASIL SAHAM PERUSAHAAN FOOD AND BEVERAGE SEBELUM DAN SELAMA PANDEMI COVID-19 DENGAN PENDEKATAN ARBITRAGE PRICING THEORY. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

We examine the efficiency and efficacy of the Arbitrage Pricing Theory (APT) model in explaining stock returns in the food and beverage industry before and during the pandemic. To that end, we analyze the effect of macroeconomic variables on stock returns. In this paper, we use unexpected changes in economic growth, inflation, interest rate, exchange rate, and crude oil price as generating factors and find that these factors have come to explain stock returns movement. Using the generalized least square (GLS) technique, we study stocks from 19 firms listed in Indonesia Stock Exchange over sixteen months from 2018 to 2021. While most significant relations are negative, some are significantly positive. The significant associations suggest that the theory is supported in that estimated expected returns depend on selected generating factors. The result also shows that investors are rational because they consider these factors as systematic risks influencing their profit. Furthermore, we find that there is a difference in stock returns before and during the pandemic, with the average being greater during the pandemic. We assume that this is due to investors’ choice to accept more economic uncertainty in exchange for potentially higher returns. Keywords: macroeconomic, arbitrage pricing theory, systematic risk, unexpected changes in macroeconomics, stock return, pandemic Studi ini menguji efisiensi dan kemampuan model Arbitrage Pricing Theory (APT) dalam menjelaskan pengembalian saham subsektor food and beverage. Untuk itu, penulis menganalisis pengaruh variabel makroekonomi terhadap imbal hasil saham. Penulis menggunakan perubahan tak terduga dalam pertumbuhan ekonomi, inflasi, suku bunga, nilai tukar, dan harga minyak mentah sebagai faktor variabel independen dan menemukan bahwa faktor-faktor ini dapat menjelaskan pergerakan imbal hasil saham. Dengan menggunakan teknik generalized least square (GLS), peneliti mempelajari saham dari 19 perusahaan yang terdaftar di Bursa Efek Indonesia selama enam belas bulan dari tahun 2018 hingga 2021. Semua variabel tercatat berpengaruh signifikan sehingga membuktikan bahwa model APT dengan sejumlah faktor penyusunnya dapat menjelaskan imbal hasil ekspektasi saham food and beverage. Hasil studi juga menunjukkan bahwa investor rasional mempertimbangkan faktor-faktor tersebut sebagai risiko sistematis yang mempengaruhi pendapatan mereka. Selain itu, penulis menemukan adanya perbedaan imbal hasil saham sebelum dan selama pandemi, dengan rata-rata return selama pandemi lebih besar. Penulis berasumsi bahwa hal ini disebabkan oleh pilihan investor untuk menanamkan modalnya pada aset berisiko dengan harapan memperoleh keuntungan yang lebih besar. Kata kunci: makroekonomi, arbitrage pricing theory, perubahan tidak terduga, return saham, pandemi

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