Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah

2017 ◽  
Vol 9 (1) ◽  
pp. 68-84
Author(s):  
Gusni Gusni ◽  
Suskim Riantani
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Factor Loading ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Variable Model ◽  
Pricing Theory

Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investors in 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) using macroeconomic 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

scholarly journals ANALISIS PENGARUH KINERJA KEUANGAN DAN VARIABEL MAKROEKONOMI TERHADAP RETURN SAHAM SUBSEKTOR PERKEBUNAN

2014 ◽  
Vol 3 (2) ◽  
Author(s):  
Faizul Mubarok ◽  
Hermanto Siregar ◽  
Nunung Nuryartono
Keyword(s):  
Stock Return ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Least Square ◽  
Systematic Effect ◽  
Arbitrage Pricing Theory ◽  
Macroeconomic Variables ◽  
Result Show ◽  
Pricing Theory ◽  
Exchange Data

EVA and MVA are used to indicate the creation of value in an investment. Arbitrage Pricing Theory (APT) explained that macroeconomic variables have a systematic effect on return. The aim of this study is to analyze and to measure the effect of financial performance and macroeconomic variables on the stock return of estate plantation sub-sector at Indonesia Stock Exchange. Data are processed by using panel data, analysis which consist of six companies which are listed on the estate plantation sub-sector and using quarterly data from 2007 to 2013. By using the Pooled Least Square (PLS) the result show that the variables of MVA, oil, inflation, interest rate and crisis have significant effects on the stock return of estate plantation sub-sector while the variables of MVA and the world oil price do not have significant effect on the stock return of estate plantation sub-sector.DOI: 10.15408/sjie.v3i2.2058

scholarly journals Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri

2018 ◽  
Vol 1 (2) ◽  
pp. 233-240
Author(s):  
Yetti Afrida Indra
Keyword(s):  
Asset Pricing ◽  
Stock Return ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship. The measure of risk that is an indicator affecting stock in CAPM is indicated by the variable β (beta). The bigger the β of a stock, the greater the risk it contains. This model links the expectation return rate of a risky asset with the risk of the asset in a balanced market condition. The population in this study is the stock price data of companies in the consumption sector and the mining sector listed on the Indonesia Sharia Sharia Index (ISSI) period 2013-2016. Based on the results of research and statistical tests, a more accurate model in predicting future ISSI stock returns is more accurate than the Arbitrage Pricing Theory (APT) model, because MADCAPM (0.0835) value MADAPT (0,5070). Furthermore, based on data processing with MannWhitney test shows that H0 is rejected, in the sense that there is a significant difference of accuracy between Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in predicting ISSI stock return. This is evidenced by the significance value (Sig) (0.002) smaller than (α) 0.05.Keywords: Comparison, Accuracy, Capital Asset Pricing Model (Capm), Arbitrage Pricing Theory (Apt), Stock Return.

Asset Pricing Through Downside Risk Based Arbitrage Pricing Theory: Empirical Evidence from Pakistan Stock Exchange

2020 ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Downside Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Risk Return ◽  
Pricing Theory

This study extends the downside risk applications in multifactor asset pricing model by incorporating the downside risk spillovers from economic and financial factors to stock returns. We amplify the conventional APT model by replacing the variance-based betas with semivariance based downside betas that better capture the risk volatilities in varying market conditions. The inclusion of downside risk betas based on semivariance and semideviation methods in the augmented asset pricing model improves both the theoretical and methodological applications relative to the limitations and restriction of conventional APT factors model. The mean-variance hypothesis replaced by meansemivariance hypothesis and asymmetric behaviour of stock returns distribution, empirically suggest the use of an alternative factors model. The models based on downside risk premia for asset pricing in emerging markets. The study tested the downside risk-return relationship based on the excess monthly stock returns of listed PSX firms and observed economic, financial and global factors representing spillover triangulation from 1997 to 2017. The findings of the study indicate that the augmented DR-APT model with pricing restrictions of unconditional linear factors method could not be deserted over the targeted period of study. The selected observed pricing factors except exports are significant enough for pricing the security returns in the augmented DR-APT Model. Findings of the panel regression, likelihood ratio tests and F-test corroborate DR-APT as a better model to price stock returns in volatile situations compare to conventional APT model. Our findings are consistent with the downside risk-return framework based on mean semi variance hypothesis and have implications for managers and decision markets that incorporate downside risk in asset valuation, cost of capital estimations, portfolio construction and investment analysis decisions. Key Words: Downside Risk, Semi variance, Semi covariance, Downside Beta, Downside risk-based Arbitrage Pricing Theory (DR-APT).

scholarly journals Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange

1986 ◽  
Vol 17 (1) ◽  
pp. 38-42 ◽  
Author(s):  
M. J. Page
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
The United States ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Ex Post ◽  
Pricing Theory ◽  
Security Returns ◽  
Using Data ◽  
Risk Free Rate

In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than just the return on the market as predicted by the Capital Asset Pricing Model (CAPM). Although a considerable amount of empirical research has been carried out into the APT in the United States of America, little appears to have been done in South Africa In this article empirical research is carried out into the APT using data from the JSE. The research involves both attempting to establish the number of 'priced' factors influencing risky security returns on the JSE and comparing the explanatory ability of the APT and CAPM. Factor analysis is used to establish the number of 'priced' APT factors and regression analysis is used to assess the explanatory ability of the models. The findings suggest that at least two factors determine security returns, rather than just the return on the market as predicted by the CAPM, and that a two-factor APT model has significantly better explanatory powers than the CAPM in an ex-post sense. Finally, it is apparent that considerably more empirical research needs to be done if the factors are to be conclusively identified and checked for stability through time.

scholarly journals Analisis Perbandingan Capital Asset Pricing Model Dan Arbitrage Pricing Theory dalam Memprediksi Return Saham pada Perusahaan Telekomunikasi Periode 2016-2018

2020 ◽  
Vol 2 (5) ◽  
pp. 689-698
Author(s):  
Tri Wahyuni ◽  
Eni Kaharti
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

This research aims to determine the influence of each model of balance used for determining the return of shares measured by CAPM and APT in telecommunications sector companies listed on the Indonesia Stock Exchange period 2016-2018. The data collection method uses purposive sampling.  The population used in this research is the stock price on telecommunication  telecommunications sectors listed on the Indonesia Stock Exchange. The purpose of this research is to compare the accuracy of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in estimating the return of telecommunication stock return. From the results of the Median Absolute Deviation (MAD) value has a small difference. Based on the results of Independent Sample T-Test can be concluded that there is no significant difference between CAPM and APT method in predicting the return of telecommunications stocks return.

scholarly journals Apakah Indeks Saham Syariah Indonesia (ISSO) Memediasi Pengaruh Nilai Tukar Terhadap Return Saham Syariah ?

2017 ◽  
Vol 4 (2) ◽  
pp. 185-199
Author(s):  
Sri Hermuningsih ◽  
Hanita Yuniati ◽  
Mujino Mujino
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Data Analysis ◽  
Real Estate ◽  
Stock Return ◽  
Sampling Method ◽  
Stock Exchange ◽  
Stock Index ◽  
Purposive Sampling ◽  
Period Data

This study aims to analyze the effect of Exchange Rate on Stock Return with Sharia Stock Index as Mediation. The population in this study is the sharia shares listing on the Indonesia Stock Exchange. Sampling using purposive sampling method, with criteria List of sharia firms in the Property and Real Estate sectors which are categorized as Sharia (ISSI) Index which is constant (fixed) during December 2015-May 2016 period. Data analysis using regression analysis. The result of the research shows that the exchange rate has an effect on the Return of Sharia Shares and Sharia Stock Index of Indonesia influential on Sharia Return Shares. Indonesia Sharia Stock Index is able to mediate between Exchange Rate and Sharia Return Shares Keywords : Nilai Tukar, Indeks Saham Syariah Indonesia, Return Saham Syariah.

scholarly journals Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia

2019 ◽  
Vol 3 (2) ◽  
pp. 179
Author(s):  
Sakina Ichsani ◽  
Neneng Susanti ◽  
Agatha Rinta Suhardi
Keyword(s):  
Economic Growth ◽  
Exchange Rates ◽  
Stock Returns ◽  
Quantitative Methods ◽  
Stock Exchange ◽  
Theory Model ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Cigarette Industry ◽  
Pricing Theory

The purpose of this study was to applicant the Arbitrage Pricing Theory model in the tobacco and cigarette industry listed on the IDX. The APT model in this study uses macroeconomic variables consisting of exports, inflation, exchange rates, GDP and economic growth. Object of this research is companies listed on the Indonesia Stock Exchange in the period 2012-2017 using monthly periods, which is Gudang Garam Tbk., Handjaya Mandala Sampoerna Tbk., and Bentoel International Investama Tbk. This study uses quantitative methods and analysis will be used with regression analysis methods and data processed using Eviews 10. The results of the study show that there are simultaneous effects between the variables of exports (X1), inflation (X2), exchange rates (X3), GDP (X4), and economic growth (X5) on stock returns (Y). There is a significant positive effect between economic growth on stock returns, while there is a significant negative effect between inflation on stock returns and GDP on stock returns. While exports do not affect the stock returns of the tobacco and cigarette industry as well as the exchange rate does not affect stock returns. Suggestions for investors are if investors are going to invest in the tobacco and cigarette industry, then investors should pay attention to the macroeconomic conditions that affect stocks, while for companies can minimize the risks that might occur through agreements between the destination countries for cigarette sales.

scholarly journals The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan

2018 ◽  
Vol 12 (11) ◽  
pp. 330
Author(s):  
Ibrahim Alshomaly ◽  
Ra’ed Masa’deh
Keyword(s):  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Capital Assets ◽  
Systematic Risks ◽  
Pricing Theory

This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000) to Q4 (2016), using published information obtained from Amman stock exchange (ASE), these models were designed to measure the cost of capital using the coefficient of systematic risk factor, that used in the valuation of capital assets. We reviewed the most important similarities and differences between the two models out of sectors analysis. The study showed, first, there are some differences between the two models in term of the amount of systematic risk that can be eliminated by diversification in the three sectors. Second, the application of APT model showed that large percentage of risk can be eliminated by diversification more than CAPM model. Third, the banking sector in Jordan faces more systematic risks than other sectors.

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