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Hubungan Ekuilibrium Jangka Panjang Antara Variabel Ekonomi Makro Dan Return Saham

Author

Listed:
  • Atika Jauharia Hatta

    (STIE YKPN Yogyakarta)

Abstract

Penelitian ini bertujuan untuk menginvestigasi hubungan antara variabel makroekonomi dan return saham di Indonesia. Sampel terdiri dari 58 observasi dari data Bursa Efek Indonesia pada tahun 1990 hingga 2004. Penggunaan data tersebut dikarenakan pada tahun 1997 di Indonesia terdapat structural break pada data yang disebabkan oleh krisis ekonomi. Kontribusi dari penelitian ini adalah penggunaan pengujian akar unit Zivot-Andrews untuk mengakomodasi data structural break tersebut. Hasil analisis regresi yang dilakukan dengan menggunakan EngleGranger dan Gregory-Hansen untuk pengujian kointegrasi menunjukkan bahwa hanya variabel output dan nilai tukar yang mempengaruhi keseimbangan hubungan jangka panjang return saham. Hasil yang konsisten juga ditunjukkan oleh model koreksi kesalahan.

Suggested Citation

  • Atika Jauharia Hatta, 2012. "Hubungan Ekuilibrium Jangka Panjang Antara Variabel Ekonomi Makro Dan Return Saham," Jurnal Akuntansi dan Auditing Indonesia, Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia, vol. 16(1), pages 62-78, Juni.
    • Handle: RePEc:uii:jaaife:v:16:y:2012:i:1:p:62-78
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