scholarly journals EVALUATING SENSITIVITY OF MACROECONOMIC FACTORS TO STOCK RETURN USING ARBITRAGE PRICING THEORY FRAMEWORK: EVIDENCE FROM INDONESIA STOCK MARKET

2021 ◽  
Vol 69 (1) ◽  
Author(s):  
Jonathan Evan ◽  
Yanuar Dananjaya ◽  
Bertha Silvia Sutejo
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Macroeconomic Factors ◽  
Pricing Theory ◽  
Theory Framework

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 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.

scholarly journals Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

2001 ◽  
Vol 6 (1) ◽  
pp. 55-74
Author(s):  
Ali Ataullah
Keyword(s):  
Asset Pricing ◽  
Empirical Test ◽  
Building Blocks ◽  
Individual Investors ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Macroeconomic Factors ◽  
Corporate Managers ◽  
Asset Pricing Theory ◽  
Pricing Theory

The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others. This paper briefly reviews the theoretical underpinnings underlying the APT and highlights the econometric techniques used to test the APT with pre-specified macroeconomic factors. Besides this, the prime objective of this study is to perform an empirical test of the APT in the Pakistani stock market by using pre-specified macroeconomic factors and employing Iterative Non-Linear Seemingly Unrelated Regressions (ITNLSUR). These empirical results will be, hopefully, helpful for corporate managers undertaking cost of capital calculations, for domestic and international fund managers making investment decisions and, amongst others, for individual investors who wish to assess the performance of managed funds.

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